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. 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 […]
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: 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 […]
