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 […]
Speaker: Alexander Schied, Professor and Munich Re Chair in Stochastic Finance, Dept. of Statistics and Actuarial Science, University of Waterloo Abstract: We investigate Lambda Value-at-Risk (ΛVaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for increasing Lambda functions, the robust (i.e., worst-case) ΛVaR under such an ambiguity […]
Speaker: Prof. Andrey Itkin, Department of Finance and Risk Engineering, Tandon School of Engineering, NYU Abstract: The Marketron model, introduced by , describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multidimensional space comprising the log-price x, a memory variable y encoding past money flows, and unobservable […]
Speaker: Prof. Pierpaolo Uberti, Department of Statistics and Quantitative Methods, University of Milano-Bicocca Abstract:> Given a reference risk measure, risk budgeting defines a portfolio in which each asset contributes a predetermined amount to the total risk. We propose a novel approach—alternative to those proposed in the literature—for the computation of the risk budgeting portfolio. We […]
Speaker: Prof. Igor Cialenco, Dept. of Applied Mathematics, Illinois Institute of Technology Abstract: We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators—functionals of P&L samples inheriting the economic properties of risk measures—are defined and characterized through robust representations linked to L-estimators. The framework provides a […]
Speaker: Prof. Davide Lauria, Department of Management, University of Bergamo Abstract: The ESG score of a company is a measure of its commitment to environmental, social and governance investing standards. ESG scores are produced by rating agencies using unique and proprietary methodologies. The complexity of measurement and the lack of widely accepted standards contribute to […]
Speaker: Prof. Ralf Wunderlich, Institute of Mathematics, Brandenburg University of Technology Cottbus-Sentenberg, Germany Abstract: This paper investigates the optimal selection of portfolios for power utility maximizing investors in a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in […]
Speaker: Professor Antonis Papapantoleon, Delft Institute of Applied Mathematics, EEMCS, Delft University of Technology Abstract: We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial differential equation is reformulated as an energy minimization […]
