Speaker: Dr. Alejandro Rodriguez Dominguez, Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid. Abstract: We introduce a novel framework for portfolio construction, covering both selection and optimization, based entirely on ensemble learning theory. A portfolio is modelled as an ensemble in a multi-hypothesis prediction setting, with each constituent (base learner) focused on […]

Speaker: Prof. Lorenzo Mercuri, Dept of Economics, Management and Quantitative Methods, Univ. of Milan Abstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the Ornstein-Uhlenbeck intensity with a CARMA(p,q) model where the associated state process is […]

Speaker: Prof. Huy Chau, Dept. Mathematics, University of Manchester Abstract: In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new […]

Speaker: Dr. Carlos Andres Zapata Quimbayo, ODEON, Universidad Externado de Colombia, Bogota Abstract: We implement a robust Bayesian framework for portfolio optimization that integrates Bayesian inference with robust optimization techniques. The model considers parameter uncertainty in expected returns and covariances by combining normal-inverse-Wishart and gamma distributions through ellipsoidal uncertainty sets. We apply this methodology to […]

Speaker: Prof. Josep Vives, Department of Economical, Financial and Actuarial Mathematics, University of Barcelona Abstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk neutral filtered probability space (Ω, F, (F(t); t ∈ ), P) for some 0 < T < ∞. Assume that X(t) is a stochastic volatility […]

Speaker: Prof. Marcos Escobar-Anel, Dept. of Statistics & Actuarial Sciences, University of Western Ontario, London Abstract: Abstract: This paper develops an optimal portfolio allocation formula for multi-assets where the covariance structure follows a multivariate affine GARCH(1,1) process. We work under an expected utility framework, considering an investor with constant relative risk aversion (CRRA) utility who […]