Solving high-dimensional optimal stopping problems using deep learning....
Nowadays many financial derivatives which are traded on stock and futures exchanges, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives...
View ArticleRelatively growth optimal investment strategies in a market model with...
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of existence and uniqueness of a strategy, called...
View ArticleCollaborative knowledge creation: Evidence from Japanese patent data....
This paper presents micro-econometric evidence for collaborative knowledge creation at the level of individual researchers. The key determinant for developing new ideas is the exchange of...
View Articlecalculation worst-case Value-at-Risk prediction using empirical data under...
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also...
View ArticleRisk-Control Strategies. (arXiv:1908.02228v1 [q-fin.RM])
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Guaranteed investment...
View ArticleDynamic Optimal Portfolios for Multiple Co-Integrated Assets....
In this paper we construct and analyse a multi-asset model to be used for long-term statistical arbitrage strategies. A key feature of the model is that all assets have \textit{co-integration}, which,...
View ArticleGlobal Fixed Income Portfolios: A Macroeconomic Invariant Solution....
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard...
View ArticleEvaluating Pest Management Strategies: A Robust Method and its Application to...
Farmers use pesticides to reduce yield losses. The efficacies of pesticide treatments are often evaluated by analyzing the average treatment effects and risks. The stochastic efficiency with respect to...
View ArticleStochastic ordering of Gini indexes for multivariate elliptical random...
In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that...
View ArticleA memory-based method to select the number of relevant components in...
We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose time autocorrelation...
View ArticleICT Capital-Skill Complementarity and Wage Inequality: Evidence from OECD...
Although it is well known that wage inequality has evolved over recent decades, it is not known the extent to which the evolution of wage inequality is attributed to observed factors such as capital...
View ArticleLinkages and systemic risk in the European insurance sector: Some new...
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of...
View ArticleThe Time Importance for Prospect Theory. (arXiv:1908.01709v1 [econ.GN])
A theory usually comprises assumptions and deduced predictions from them. In this paper, empirical evidences corroborate with assumptions about time for a decision making facing known probabilities and...
View ArticleStrategic Payments in Financial Networks. (arXiv:1908.01714v1 [cs.GT])
In their seminal work on systemic risk in financial markets, Eisenberg and Noe proposed and studied a model with $n$ firms embedded into a network of debt relations. We analyze this model from a...
View ArticleRisk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm...
Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters...
View ArticleCollaborative knowledge creation: Evidence from Japanese patent data....
This paper presents micro-econometric evidence for collaborative knowledge creation at the level of individual researchers. The key determinant for developing new ideas is the exchange of...
View ArticleSolving high-dimensional optimal stopping problems using deep learning....
Nowadays many financial derivatives which are traded on stock and futures exchanges, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives...
View ArticleRelatively growth optimal investment strategies in a market model with...
We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of existence and uniqueness of a strategy, called...
View Articlecalculation worst-case Value-at-Risk prediction using empirical data under...
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also...
View ArticleRisk-Control Strategies. (arXiv:1908.02228v1 [q-fin.RM])
In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), Guaranteed investment...
View Article