Publications related to Asset allocation

Subjective performance evaluation of bitrate allocation strategies for MPEG and JPEG Pleno point cloud compression

Touradj Ebrahimi, Michela Testolina, Davi Nachtigall Lazzarotto

The recent rise in interest in point clouds as an imaging modality has motivated standardization groups such as JPEG and MPEG to launch activities aiming at developing compression standards for point clouds. Lossy compression usually introduces visual arti ...

Springer2024

Maximising Climate and Employment Benefits From COVID-19 Recovery Packages: A Multi-Model Assessment of Optimal Clean Technology Portfolios

Marc Vielle, Sigit Pria Perdana

Since the beginning of the COVID-19 pandemic and its economic impacts, scientists and policymakers alike have been advocating for green recovery packages focusing on clean energy technologies, to align economic recovery with climate change mitigation. In t ...

SSRN Paper2022

Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...

EPFL2021

Improving frequency containment reserve provision in run-of-river hydropower plants

Mario Paolone, Elena Vagnoni, Francesco Gerini

The paper presents a model-based control strategy for optimal asset management of hydroelectric units in run-of-river hydropower plants. The proposed control strategy aims to operate the unit at the best efficiency while improving water flow management and ...

2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

The Advent of the Sharing Culture and its Effect on Product Pricing

Thomas Alois Weber, Maryam Razeghian Jahromi

Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...

2019

The Jacobi stochastic volatility model

Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018

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Asset allocation

Subjective performance evaluation of bitrate allocation strategies for MPEG and JPEG Pleno point cloud compression

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

Maximising Climate and Employment Benefits From COVID-19 Recovery Packages: A Multi-Model Assessment of Optimal Clean Technology Portfolios

Predicting the stressed expected loss of large US banks

COVID-19: data-driven dynamic asset allocation in times of pandemic

Essays in Banking and Financial Regulation

Improving frequency containment reserve provision in run-of-river hydropower plants

Liquidity regimes and optimal dynamic asset allocation

The Advent of the Sharing Culture and its Effect on Product Pricing

The Jacobi stochastic volatility model

Graph Chatbot

Chat with Graph Search

COVID-19: data-driven dynamic asset allocation in times of pandemic

Subjective performance evaluation of bitrate allocation strategies for MPEG and JPEG Pleno point cloud compression

Maximising Climate and Employment Benefits From COVID-19 Recovery Packages: A Multi-Model Assessment of Optimal Clean Technology Portfolios

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

Predicting the stressed expected loss of large US banks

Essays in Banking and Financial Regulation

Liquidity regimes and optimal dynamic asset allocation

Improving frequency containment reserve provision in run-of-river hydropower plants

The Advent of the Sharing Culture and its Effect on Product Pricing

The Jacobi stochastic volatility model