Výsledky vyhledávání - "S.I.: Recent Developments in Financial Modeling and Risk Management"

Crypto price discovery through correlation networks Autor Giudici, Paolo, Polinesi, Gloria

“…We aim to understand the dynamics of crypto asset prices and, specifically, how price information is transmitted among different bitcoin market exchanges, and…”
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Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation Autor Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan

“…Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability…”
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Detecting bubbles in Bitcoin price dynamics via market exuberance Autor Cretarola, Alessandra, Figà-Talamanca, Gianna

“…Empirical evidence suggests the presence of bubble effects on Bitcoin price dynamics during its lifetime, starting in 2009. Previous research, mostly…”
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Trimmed fuzzy clustering of financial time series based on dynamic time warping Autor D’Urso, Pierpaolo, De Giovanni, Livia, Massari, Riccardo

“…In finance, cluster analysis is a tool particularly useful for classifying stock market multivariate time series data related to daily returns, volatility…”
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Asset allocation: new evidence through network approaches Autor Clemente, Gian Paolo, Grassi, Rosanna, Hitaj, Asmerilda

“…The main contribution of the paper is to unveil the role of the network structure in the financial markets to improve the portfolio selection process, where…”
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Forecasting bankruptcy using biclustering and neural network-based ensembles Autor du Jardin, Philippe

“…Most bankruptcy prediction models that have been analyzed in the literature, and that are estismated using ensemble-based techniques, are still not able to…”
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Fused Lasso approach in portfolio selection Autor Corsaro, Stefania, De Simone, Valentina, Marino, Zelda

“…In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a…”
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Systemic risk assessment through high order clustering coefficient Autor Cerqueti, Roy, Clemente, Gian Paolo, Grassi, Rosanna

“…In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which…”
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Modelling tail risk with tempered stable distributions: an overview Autor Fallahgoul, Hasan, Loeper, Gregoire

“…In this study, we investigate the performance of different parametric models with stable and tempered stable distributions for capturing the tail behaviour of…”
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Minimum Rényi entropy portfolios Autor Lassance, Nathan, Vrins, Frédéric

“…Accounting for the non-normality of asset returns remains one of the main challenges in portfolio optimization. In this paper, we tackle this problem by…”
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Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy Autor Benedetti, Davide, Biffis, Enrico, Chatzimichalakis, Fotis, Fedele, Luciano Lilloy, Simm, Ian

“…There is an increasing likelihood that governments of major economies will act within the next decade to reduce greenhouse gas emissions, probably by…”
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Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? Autor Guidolin, Massimo, Pedio, Manuela

“…The aim of this paper is to assess whether three well-known commodity-specific variables (basis, hedging pressure, and momentum) may improve the predictive…”
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Enterprise risk management and economies of scale and scope: evidence from the German insurance industry Autor Altuntas, Muhammed, Berry-Stölzle, Thomas R., Cummins, J. David

“…Enterprise risk management (ERM) is the approach of managing all risks faced by an enterprise in an integrated, holistic fashion. This research investigates…”
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Investment and operational decisions for start-up companies: a game theory and Markov decision process approach Autor Archibald, Thomas W., Possani, Edgar

“…This paper analyses the contract between an entrepreneur and an investor, using a non-zero sum game in which the entrepreneur is interested in company survival…”
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Dealing with complex transaction costs in portfolio management Autor Beraldi, Patrizia, Violi, Antonio, Ferrara, Massimiliano, Ciancio, Claudio, Pansera, Bruno Antonio

“…This paper deals with the problem of modelling complex transaction cost structures within portfolio management models in an efficient and effective way. We…”
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Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system Autor Devolder, Pierre, Levantesi, Susanna, Menzietti, Massimiliano

“…Since the mid 1990s some European countries (including Italy) implemented a Notional Defined Contribution (NDC) pension system. Such a system is based on…”
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CVA and vulnerable options pricing by correlation expansions Autor Antonelli, F., Ramponi, A., Scarlatti, S.

“…We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting…”
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Volatility in the stock market: ANN versus parametric models Autor D’Ecclesia, Rita Laura, Clementi, Daniele

“…Forecasting and adequately measuring equity returns volatility is crucial for portfolio selection and trading strategies. Implied volatility is often…”
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The value of knowing the market price of risk Autor Colaneri, Katia, Herzel, Stefano, Nicolosi, Marco

“…We study an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of…”
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Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach Autor Dhesi, Gurjeet, Shakeel, Bilal, Ausloos, Marcel

“…This paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational…”
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