Related papers: Next Generation Models for Portfolio Risk Manageme…
Design and operation of complex engineering systems rely on reliability optimization. Such optimization requires us to account for uncertainties expressed in terms of compli-cated, high-dimensional probability distributions, for which only…
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising approach employing the value-at-risk (VaR) measure to assign…
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
Accounting fraud is a global concern representing a significant threat to the financial system stability due to the resulting diminishing of the market confidence and trust of regulatory authorities. Several tricks can be used to commit…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
What if the main data protection vulnerability is risk management? Data Protection merges three disciplines: data protection law, information security, and risk management. Nonetheless, very little research has been made on the field of…
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a promising method due to today's unstable financial market…
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return. Within this general framework, we focus on maximizing a diversification…
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
Quantile is an important measure in finance and quality assessment in service industry. In this paper, we model the temporal and cross-sectional interactive effect of the quantiles of large-dimensional time series by a latent quantile…
We study the allocation of synthetic portfolios under hierarchical nested, one-factor, and diagonal structures of the population covariance matrix in a high-dimensional scenario. The noise reduction approaches for the sample realizations…
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is…
Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based risk measure, is widely used for assessing tail risk and is…
The integration of Artificial Intelligence (AI) techniques, particularly large language models (LLMs), in finance has garnered increasing academic attention. Despite progress, existing studies predominantly focus on tasks like financial…
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…
Informatics and technological advancements have triggered generation of huge volume of data with varied complexity in its management and analysis. Big Data analytics is the practice of revealing hidden aspects of such data and making…
Financial portfolio management is one of the problems that are most frequently encountered in the investment industry. Nevertheless, it is not widely recognized that both Kelly Criterion and Risk Parity collapse into Mean Variance under…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…