We consider portfolio optimization in a regime-switching market. The assets of the portfolio are modeled through a hidden Markov model (HMM) in discrete time, where drift and volatility of the single assets are allowed to switch between different states. We consider different parametrizations of...

Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projected to a latent space of a much smaller dimension, the use of a variational autoencoder (VAE) for estimating the VaR...

Corporate credit spreads are modelled through a Hidden Markov model (HMM) which is based on a discretised Ornstein-Uhlenbeck model. We forecast the credit spreads within this HMM and filter out state-related information hidden in the observed spreads. We build a long short-term memory recurrent...

Nachhaltige Entwicklung hat in vielen wissenschaftlichen Disziplinen Einzug gehalten. Gegenwärtig findet sie jedoch eher von einer Minderheit der Vertreterinnen und Vertreter der verschiedenen Disziplinen eine kontinuierliche wissenschaftliche Zuwendung. Dennoch wächst die Literatur, die in...