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 […]

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: 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. […]

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 […]

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 […]

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) […]

Speaker: Dr. Kirill Golubnichiy, Department of Mathematics & Statistics, Texas Tech University Abstract: A new mathematical model describing the evolution of a corrupted hierarchy is derived. This model is based […]