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METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240913T140000
DTEND;TZID=America/Chicago:20240913T150000
DTSTAMP:20260605T052208
CREATED:20240729T183816Z
LAST-MODIFIED:20240729T195839Z
UID:1488-1726236000-1726239600@www.math.ttu.edu
SUMMARY:Optimal Portfolios with Sustainable Assets - Aspects for Life Insurers
DESCRIPTION:Speaker: Prof. Ralf Korn\, Dept. of Mathematics\, RPTU Kaiserslautern-Landau\nAbstract: Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence\, the provider has to be prepared to offer suitable investment opportunities. Further\, the provider has to manage the new risks and chances of those assets in the whole portfolio. We therefore especially look at possible consequences for optimal portfolio decisions of a life insurer and suggest modeling approaches for the evolution of the demand and the sustainability ratings for sustainable assets. We will solve various portfolio problems under sustainability constraints explicitly and suggest further research topics. As a special feature for a life insurer\, we particularly look at the role of the actuarial reserve fund and the annual declaration of its return.
URL:https://www.math.ttu.edu/mathematicalfinance/event/optimal-portfolios-with-sustainable-assets-aspects-for-life-insurers/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/07/Ralf_Korn.jpg
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DTSTART;TZID=America/Chicago:20240920T120000
DTEND;TZID=America/Chicago:20240920T130000
DTSTAMP:20260605T052208
CREATED:20240430T213543Z
LAST-MODIFIED:20240508T155354Z
UID:1385-1726833600-1726837200@www.math.ttu.edu
SUMMARY:To hedge or not to hedge? Cryptocurrencies\, gold and oil against stock market risk
DESCRIPTION:Speaker: Prof. Agata Kliber\, Dept of Applied Mathematics\, Poznan University of Economics & Business\nco-Authors: Prof. Krzysztof Echaust\, Dept. of Operations Research & Mathematical Economics\, Poznan University of Economics & Business\nProf. Małgorzata Just\, Dept. of Finance & Accounting\, Poznan University of Life Sciences \nAbstract: The article aims to determine whether any hedging strategy against stock market risk\, performed using instruments popular in the literature (gold\, cryptocurrencies and oil)\, can beat index futures. As a hedging strategy\, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark\, we analyse optimal and naive hedging strategies with futures contracts. We demonstrate that\, regardless of the stock market\, the best hedging strategy focused on variance minimisation requires using index futures. Both strategies: the optimisation-based one and the naive one\, beat the dynamic strategies utilising the remaining hedging assets. Therefore\, from a risk-minimisation point of view\, investors have no motivation to implement cryptocurrencies\, gold or oil in hedging strategy against stock market risk. The results are robust with respect to hedging against tail risk.
URL:https://www.math.ttu.edu/mathematicalfinance/event/to-hedge-or-not-to-hedge-cryptocurrencies-gold-and-oil-against-stock-market-risk/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/Kliber.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240927T120000
DTEND;TZID=America/Chicago:20240927T130000
DTSTAMP:20260605T052208
CREATED:20240501T152309Z
LAST-MODIFIED:20240501T152309Z
UID:1396-1727438400-1727442000@www.math.ttu.edu
SUMMARY:ESG performance and investment efficiency: The impact of information asymmetry
DESCRIPTION:Speaker: Prof. Seda Erdogan\, Dept. International Trade & Finance\, Kadir Has University \nAbstract: This paper investigates the relationship between firms’ engagement in environmental\, social\, and governance (ESG) activities and corporate investment efficiency\, using 1\,094 firms from 21 countries in Europe\, covering the years 2002–2019. We conduct our estimations using fixed effects panel data techniques and address potential endogeneity with instrumental variables (IV) estimations. We provide evidence that overall ESG engagement is positively and significantly associated with investment efficiency. Analyzing overinvestment and underinvestment scenarios shows that ESG engagement decreases only overinvestment problems. Within the underinvestment scenario\, we observe that ESG engagement is beneficial only for firms with higher information asymmetries. Thus\, information asymmetry matters in the underinvestment case. We next show that four firm-level channels—information asymmetry\, financial constraints\, cash flows\, and risk—link ESG performance to investment inefficiency. Additional analysis shows that firms with extreme ESG scores (i.e.\, very low and very high) do not experience significant reductions in investment inefficiency. Altogether\, our findings draw attention to the critical role of ESG performance and information asymmetry in determining corporate investment efficiency.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-performance-and-investment-efficiency-the-impact-of-information-asymmetry/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/erdogan.jpg
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