This paper proposes a novel approach to the estimation of Customer Lifetime Value (CLV). CLV measures give an indication of the profit-generating potential of customers, and provide a key business tool for the customer management process. Existing approaches show unsatisfactory performance in...

We provide a roadmap to understand and develop resilience, based on the realisation that resilience is the complement of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for resilience build-up and management based on a novel...

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...

Since 2009, stock markets have resided in a long bull market regime. Passive investment strategies have succeeded during this low-volatility growth period. From 2018 on, however, there was a transition into a more volatile market environment interspersed by corrections increasing in amplitude...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...