Related papers: Measuring Financial Advice: aligning client elicit…

In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but tractable class of law-invariant coherent risk measures, with a…

This paper presents a novel value-aware approach to product recommendation that simultaneously addresses the high dimensionality and sparsity of user-item data while explicitly incorporating the contribution of each product and user to…

In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…

We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…

When devising recommendation services, it is important to account for the interests of all content providers, encompassing not only newcomers but also minority demographic groups. In various instances, certain provider groups find…

Portfolio optimization involves determining the optimal allocation of portfolio assets in order to maximize a given investment objective. Traditionally, some form of mean-variance optimization is used with the aim of maximizing returns…

Portfolio diversification, traditionally measured through asset correlations and volatilitybased metrics, is fundamental to managing financial risk. However, existing diversification metrics often overlook non-numerical relationships…

This research presents a framework for quantitative risk management in volatile markets, specifically focusing on expectile-based methodologies applied to the FTSE 100 index. Traditional risk measures such as Value-at-Risk (VaR) have…

This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…

Most recommendation benchmarks evaluate how well a model imitates user behavior. In financial advisory, however, observed actions can be noisy or short-sighted under market volatility and may conflict with a user's long-term goals. Treating…

Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…

We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…

Machine Learning has invariantly found its way into various Credit Risk applications. Due to the intrinsic nature of Credit Risk, quantifying the uncertainty of the predicted risk metrics is essential, and applying uncertainty-aware deep…

Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…

A potential objective of every financial organization is to retain existing customers and attain new prospective customers for long-term. The economic behaviour of customer and the nature of the organization are controlled by a prescribed…

We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it…

Robo-advisors (RAs) are automated portfolio management systems that complement traditional financial advisors by offering lower fees and smaller initial investment requirements. While most existing RAs rely on static, one-period allocation…

In multi-criteria decision analysis workshops, participants often appraise the options individually before discussing the scoring as a group. The individual appraisals lead to score ranges within which the group then seeks the necessary…

Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches…

Recommender systems are playing an increasingly important role in alleviating information overload and supporting users' various needs, e.g., consumption, socialization, and entertainment. However, limited research focuses on how values…