This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...
Classical theory asserts that the formation of prices is the result of aggregated decisions of
economics agent such as households or corporation. However central banks are very important
agents that have often been neglected in asset pricing models. Centra ...
Given the urgency of deploying all possible ways to combat climate change, and in light of lessons learned from the Covid-19 pandemic outbreak that it was a mistake to ignore signals and not prepare for worst-case scenarios, this article suggests that tech ...
The current pandemic caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has affected most of the world in a profound way. As an indirect consequence, the general public has been put into direct contact with the research process, almost ...
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 ...
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 ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...
