Related papers: General framework for a portfolio theory with non-…
In this paper, a new bivariate discrete distribution is introduced which called bivariate discrete exponentiated Weibull (BDEW) distribution. Several of its mathematical statistical properties are derived such as the joint cumulative…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
In this paper we extend the Weibull power series (WPS) class of distributions and named this new class as extended Weibull power series (EWPS) class of distributions. The EWPS distributions are related to series and parallel systems with a…
We are concerned with the flexible parametric analysis of bivariate survival data. Elsewhere, we have extolled the virtues of the "power generalized Weibull" (PGW) distribution as an attractive vehicle for univariate parametric survival…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
Probabilistic forecasting is crucial in multivariate financial time-series for constructing efficient portfolios that account for complex cross-sectional dependencies. In this paper, we propose Diffolio, a diffusion model designed for…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricing measure in incomplete markets. The abstracted problem…
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distributed $ALD(\mu,\sigma,\kappa)$ returns and compare them with…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
Heavy-tailed distributions are widely used in robust mixture modelling due to possessing thick tails. As a computationally tractable subclass of the stable distributions, sub-Gaussian $\alpha$-stable distribution received much interest in…
An expanded family of mixtures of multivariate power exponential distributions is introduced. While fitting heavy-tails and skewness has received much attention in the model-based clustering literature recently, we investigate the use of a…
This paper is devoted to study a new three- parameters model called the Exponential Flexible Weibull extension (EFWE) distribution which exhibits bathtub-shaped hazard rate. Some of it's statistical properties are obtained including…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…
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…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more…