Multi-asset return risk measures

via Zoom

Speaker:</strong? Dr. Christian Laudagé, Dept. Mathematics, RPTU Kaiserslautern-Landau Abstract: We revisit the recently introduced concept of return risk measures (RRMs). We extend it by allowing risk management via multiple so-called […]

Water as a commodity in hydropower generation

via Zoom

Speaker: Prof. Eduardo Schwartz, Beedie School of Business, Simon Fraser Univ. Abstract: The increased impact of extreme weather events and draughts has prompted the rapid growth of the water market. […]

Portfolio optimization in deformed time

via Zoom

Speaker: Assoc. Prof. Malick Fall, Center for Research in Economics and Management, Univ. of Rennes, Fr. Abstract: The expected return and covariance matrix are commonly calculated on a calendar time […]

Measures of stochastic non-dominance in portfolio optimization

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Speaker: Prof. Miloš Kopa, Dept. Probability & Mathematics, Charles University, Prague Abstract: Stochastic dominance rules are well-characterized and widely used. This work aims to describe and better understand the situations […]

Option pricing in a stochastic delay volatility model

via Zoom

Speaker: Prof. Álvaro Guinea Julia, Dept. Industrial Org., Comillas Pontifical University ICADE-ICAI, Madrid Abstract: This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending […]

Title: To be provided

via Zoom

Speaker: Dr. Assa Hirbod, Founding team| Quantitative researcher, Edge Technologies; Director and founder, Model Library Ltd. Abstract: To be provided

ESG Mania and Institutional Trading

via Zoom

Speaker: Prof. Riza Demirer, Dept. Economics & Finance, School of Business, Southern Illinois University, Edwardsville, IL Abstract: Recent years have seen that institutional investors simultaneously crowd in (buy) the ESG […]