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In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10011553110
The recurrent economic and financial crises expose the state, enterprises, and households to a range of financial risks and negative financial consequences. As a result, governments are seeking the most efficient measures of legal regulation and other measures ensuring financial security in...
Persistent link: https://www.econbiz.de/10012872778
Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of...
Persistent link: https://www.econbiz.de/10013273487
A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...
Persistent link: https://www.econbiz.de/10013206042
Risk management has been a topic of great interest to Michael McAleer. Even as recent as 2020, his paper on risk management for COVID-19 was published. In his memory, this article is focused on bankruptcy risk in financial firms. For financial institutions in particular, banks are considered...
Persistent link: https://www.econbiz.de/10012745256
Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can reduce significant idiosyncratic operational losses. A systemic risk event that leads to significant losses in a bank holding company (BHC) can expose them to become insolvent...
Persistent link: https://www.econbiz.de/10012484192
This paper explores how to construct a fair and optimal compensation system between the principal and the agent in the face of financial compensation agency problems during a limited period in relation to the concept of sustainability. In the construction of the principal’s compensation...
Persistent link: https://www.econbiz.de/10012485062
In this study, we explore the emerging derisking phenomenon by identifying and analysing the main factors that are affected by, and the implications of, the derisking process by focusing on the key drivers and implications of derisking specific to Malta. To do this, we carried out 32 interviews...
Persistent link: https://www.econbiz.de/10012384363