Related papers: Carbon-Sensitive Fund Construction and Hedging for…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
Despite the amount of savings available and the money supply managed by financial institutions, significant market failures and the failure of carbon pricing strategies prevent sufficient financing of the transition, notably through bank…
The daily operation of real-world power systems and their underlying markets relies on the timely solution of the unit commitment problem. However, given its computational complexity, several optimization-based methods have been proposed to…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
Deep learning applications at the network edge lead to a significant growth in AI-related carbon emissions, presenting a critical sustainability challenge. The existing edge computing frameworks optimize for latency and throughput, but they…
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For this to be a viable financial product, it is necessary to know…
Federated Learning (FL) holds the potential to advance equality in health by enabling diverse institutions to collaboratively train deep learning (DL) models, even with limited data. However, the significant resource requirements of FL…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
US transmission systems and wholesale electricity markets, albeit federally regulated, often span across multiple state jurisdictions. In this environment, state regulators can strategically exploit this techno-economic coupling to advance…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
Electric utilities must make massive capital investments in the coming years to respond to explosive growth in demand, aging assets and rising threats from extreme weather. Utilities today already have rigorous frameworks for capital…
Certification of low emissions products is crucial to ensure that they can attract a "green premium" in international markets but need to be designed so that they do not impose undue regulatory burden or drive-up production costs. In this…
Tree-structured models are a powerful alternative to parametric regression models if non-linear effects and interactions are present in the data. Yet, classical tree-structured models might not be appropriate if data comes in clusters of…
The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This model is an extension of the well-known Heston model…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
This paper aims to extend downside protection to a hedge fund investment portfolio based on shared loss fee structures that have become increasing popular in the market. In particular, we consider a second tranche and suggest the purchase…
This paper focuses on a dynamic multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and…
This paper investigates the problem of ensembling multiple strategies for sequential portfolios to outperform individual strategies in terms of long-term wealth. Due to the uncertainty of strategies' performances in the future market, which…
This study investigates the impact of loss-framing and individual risk attitude on willingness- to purchase insurance products utilizing a game-like interface as choice architecture. The application presents events as experienced in real…