Behaving Optimally in Solar Renewable Energy Certificate Markets....
SREC markets are a relatively novel market-based system to incentivize the production of energy from solar means. A regulator imposes a floor on the amount of energy each regulated firm must generate...
View ArticlePortfolio optimization with two coherent risk measures. (arXiv:1903.10454v2...
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection...
View ArticleTop performing stocks recommendation strategy for portfolio....
Stock return forecasting is of utmost importance in the business world. This has been the favourite topic of research for many academicians since decades. Recently, regularization techniques have...
View ArticleSampling Distributions of Optimal Portfolio Weights and Characteristics in...
Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor want to realise the position suggested by the optimal portfolios he/she...
View ArticleA Proposal for Multi-asset Generalised Variance Swaps. (arXiv:1908.03899v1...
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized...
View ArticleStochastic integration with respect to arbitrary collections of continuous...
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$...
View ArticlePortfolio Optimization managing Value at Risk under heavy tail distribution....
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the Value at Risk (VaR)...
View ArticleFast Training Algorithms for Deep Convolutional Fuzzy Systems with...
A deep convolutional fuzzy system (DCFS) on a high-dimensional input space is a multi-layer connection of many low-dimensional fuzzy systems, where the input variables to the low-dimensional fuzzy...
View ArticlePortfolio optimization while controlling Value at Risk, when returns are...
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a...
View ArticleCritical Decisions for Asset Allocation via Penalized Quantile Regression....
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation...
View ArticleForecast Encompassing Tests for the Expected Shortfall. (arXiv:1908.04569v1...
In this paper, we introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). Forecasting and forecast evaluation techniques for the ES are rapidly gaining attention through...
View ArticleA zero interest rate Black-Derman-Toy model. (arXiv:1908.04401v1 [econ.EM])
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest...
View ArticleWasserstein Index Generation Model: Automatic Generation of Time-series Index...
I propose a novel method, called the Wasserstein Index Generation model (WIG), to generate public sentiment index automatically. It can be performed off-the-shelf and is especially good at detecting...
View ArticleRandom walk model from the point of view of algorithmic trading....
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the...
View ArticleTotal positivity and the classification of term structure shapes in the...
Using methods from the theory of total positivity, we provide a full classification of attainable term structure shapes in the two-factor Vasicek model. In particular, we show that the shapes normal,...
View ArticleNonparametric modeling cash flows of insurance company. (arXiv:1908.05200v1...
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on...
View ArticleComputational method for probability distribution on recursive relationships...
In quantitative finance, it is often necessary to analyze the distribution of the sum of specific functions of observed values at discrete points of an underlying process. Examples include the...
View ArticleAccurate Finite Difference Scheme with Hermite Interpolation for Pricing...
We consider a system of coupled free boundary problems for pricing American put options with regime switching. To solve this system, we first fix the optimal exercise boundary for each regime resulting...
View ArticlePerformance of tail hedged portfolio with third moment variation swap....
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset...
View ArticleModeling microstructure price dynamics with symmetric Hawkes and diffusion...
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper...
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