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In epidemiological cohort studies, the relative risk (also known as risk ratio) is a major measure of association to summarize the results of two treatments or exposures. Generally, it measures the relative change in disease risk as a…
For modeling multivariate financial time series we propose a single factor copula model together with stochastic volatility margins. This model generalizes single factor models relying on the multivariate normal distribution and allows for…
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky…
Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the stock management of correlated marketable merchandise when…
Identifiability of a mathematical model plays a crucial role in parameterization of the model. In this study, we establish the structural identifiability of a Susceptible-Exposed-Infected-Recovered (SEIR) model given different combinations…
This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an…
In property and casualty insurance, particularly in automobile insurance, risk exposure is commonly assumed to be proportional to the duration of coverage. This assumption leads to two standard estimation strategies: the ratio approach,…
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion factor process. The…
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility: a historical volatility consistent with statistical…
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock incurs a strictly positive transaction cost. Using the…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor rough stochastic volatility model, any option may be…
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of…
We consider the mean--variance portfolio optimization problem under the game theoretic framework and without risk-free assets. The problem is solved semi-explicitly by applying the extended Hamilton--Jacobi--Bellman equation. Although the…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b). In…
We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…