This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset …/1/2008 and 1/7/2011 in the United States alone. Such events highlighted the need for the renovation of the financial risk …

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump …-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number … processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …

across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a … between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …