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Network origins of portfolio risk
Zareei, Abalfazl - In: Journal of banking & finance 109 (2019), pp. 1-29
Persistent link: https://www.econbiz.de/10012224980
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Estimating the contagion effect through the portfolio channel using a network approach
Schiavone, Alessandro - In: The journal of network theory in finance 5 (2019) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10012489023
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Optimal network compression
Amini, Hamed; Feinstein, Zachary - In: European journal of operational research : EJOR 306 (2023) 3, pp. 1439-1455
Persistent link: https://www.econbiz.de/10014279832
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Strategic asset allocation of a reserves' portfolio : hedging against shocks
Torriani, Mario L.; Orazi, Pablo; Vicens, Matias - In: Open economies review 33 (2022) 5, pp. 973-995
Persistent link: https://www.econbiz.de/10014227374
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Essays on barriers to growth, strategic behavior and uncertainty
Livshits, Igor - 2002
Persistent link: https://www.econbiz.de/10003777015
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Technology adoption, external financing frictions, and the cross sectional returns
Lin, Xiaoji; Palazzo, Berardino - 2015
flexibilities in upgrading to the latest technology, making them more exposed to technology frontier shocks. Consistent with the … year among U.S. public companies. A proxy for technology frontier shocks captures the variation of the capital age …
Persistent link: https://www.econbiz.de/10010531879
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Stochastic Areas of Diffusions and Applications in Risk Theory
Cui, Zhenyu - 2013
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This … and the stopping time of another associated time-homogeneous diffusion. Then we characterize the Laplace transform of the … stochastic area in terms of the eigenfunctions of the associated diffusion. We also explicitly obtain the integer moments of the …
Persistent link: https://www.econbiz.de/10013072263
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Degenerate Diffusion Processes in Portfolio Management
Lehoczky, John P. - 2020
degenerate diffusion control problem which can be solved completely. The solution satisfies a related variational inequality …
Persistent link: https://www.econbiz.de/10012833277
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Energy Technology R&D Portfolio Management : Modeling Uncertain Returns and Market Diffusion
Bistline, John E. - 2016
The allocation of research and development (R&D) funds across a portfolio of programs must simultaneously consider uncertainty from research outcomes and from market acceptance of the resulting technologies. We introduce a stochastic R&D portfolio management framework for addressing both sources...
Persistent link: https://www.econbiz.de/10012988416
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Structured XVAs : Diffusive Portfolios
Renzitti, Stefano - 2023
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...
Persistent link: https://www.econbiz.de/10014351024