We introduce a novel criterion for performance measure combination designed to be used as an equity screening algorithm. The proposed approach follows the general idea of linearly combining existing performance measures with positive weights and the combination weights are determined by means of...

This paper shows optimal asset allocation during these two phases must be different.

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.

This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers, (ii) investigating the role of portfolio...

We present a rational learner agent, which considers the information coming from a behavioral counterpart during the allocation process. The learner agent adopts a herding behaviour by conditioning her choice on the selection of the portfolio's constituents. The considered framework has...