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Portfolio optimization in deformed time
via ZoomSpeaker: 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
via ZoomSpeaker: 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 […]
Custom ESG Indexing: How Direct ESG Indexing Can Solve Many Responsible Investing Problems
via ZoomSpeaker: Prof. Dr. Dirk Soehnholz, CEO: Soehnholz ESG GmbH and Soehnholz Asset Management GmbH; Prof. of Asset Management, Leipzig University Abstract: Responsible investments are booming, but criticism has been growing, […]
Option pricing in a stochastic delay volatility model
via ZoomSpeaker: 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 […]
Drought parametric insurances by a Two-Step machine learning approach under climate change scenarios
via ZoomSpeaker: Dr. Hirbod Assa, Founding team | Quantitative researcher, Edge Technologies; Director and founder, Model Library Ltd. Abstract: In this paper, we utilize data from the IPCC to develop a […]
ESG Mania and Institutional Trading
via ZoomSpeaker: 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 […]
Discrete-time hedging, basis risk, and covariance-dependent pricing kernels
via ZoomSpeaker: Prof. Maciej Augustyniak, Dept. of Mathematics & Statistics, University of Montreal Abstract: Basis risk arises when hedging a financial derivative with an instrument different from its underlying asset. This […]
Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing
via ZoomSpeaker: Dr. Jean-Phillipe Aguilar, Head of Pricing Models Audit, Societe Generale, Paris La Defense Abstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models, […]
New runs-based approach to testing value at risk forecasts
via ZoomSpeaker: Prof. Marta Malecka, Dept. of Statistical Methods, Univ. of Lodz, Lodz, Poland Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating […]
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Multi-hypothesis prediction for portfolio optimization: A structured ensemble learning approach to risk diversification
via ZoomSpeaker: 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, […]