This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean-variance framework. We also study the efficient boundary frontiers with and without risk-free security.

We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular...

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM) and mixture-based clustering for an ordered stereotype model (OSM). The latter is for modeling of ordinal...

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

A time-series basis decomposition and trend extraction technique known as Empirical Mode Decomposition (EMD), designed for multi-scale time-frequency decomposition in non-stationary time-series settings, will be combined with Regularised Covariance Regression (RCR) methods to produce a framework...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

In this paper, a continuous-time, structural model of a dealer-bank is presented to derive fair value equations for credit-risky financial products that are not perfectly hedged. The impact these contracts have on the dealer-bank's earnings volatility, and consequently, their solvency and...

The paper discusses the lower partial moments for the return of the investment portfolio which consists of the assets whose random incomes are modeled by variance-gamma, gamma distributions and constants.The formulas depend on values of generalized hypergeometric functions. As a corollary, the...