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. […]
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 […]
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 […]
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 […]
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 […]
Speaker: Dr. Jean-Loup Dupret, Department of Mathematics, ETH Zurich Abstract: We present ABIDES-MARL, a framework that combines a new multi-agent reinforcement learning (MARL) methodology with a new realistic limit-order-book (LOB) […]
