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Black Holes, explained
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View ArticleData driven partition-of-unity copulas with applications to risk management....
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative...
View ArticleThe Optimal Dynamic Reinsurance Strategies in Multidimensional Portfolio....
The present paper addresses the issue of choosing an optimal dynamic reinsurance policy, which is state-dependent, for an insurance company that operates under multiple insurance business lines. The...
View ArticleHousing Investment, Stock Market Participation and Household Portfolio...
This paper employs the survey data of CHFS (2013) to investigate the impact of housing investment on household stock market participation and portfolio choice. The results show that larger housing...
View ArticleA Note on Portfolio Optimization with Quadratic Transaction Costs....
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using...
View ArticleClassifying ecosystem disservices and comparing their effects with ecosystem...
To completely understand the effects of urban ecosystems, the effects of ecosystem disservices should be considered along with the ecosystem services and require more research attention. In this study,...
View ArticleDisentangling shock diffusion on complex networks: Identification through...
Large scale networks delineating collective dynamics often exhibit cascading failures across nodes leading to a system-wide collapse. Prominent examples of such phenomena would include collapse on...
View ArticleHedging problems for Asian options with transactions costs....
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in...
View ArticleForecasting Bitcoin closing price series using linear regression and neural...
This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new...
View ArticleA Socioeconomic Well-Being Index. (arXiv:2001.01036v1 [econ.GN])
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of...
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How the bystander effect can explain inaction towards global warming
Not too long ago, I was preparing a lecture about group dynamics for my students at Delft University of Technology. One of the dynamics I wanted to introduce was the bystander effect. The bystander...
View ArticleSEC Investor Advisory Committee to Hold Jan. 24 Telephone Meeting
The Securities and Exchange Commissionâs Investor Advisory Committee (IAC) will meet telephonically on Jan. 24 at 11:30 a.m. Eastern time. The public is invited to listen to the meeting live using...
View ArticleSEC Office of Compliance Inspections and Examinations Announces 2020...
The Securities and Exchange Commissionâs Office of Compliance Inspections and Examinations (OCIE) today announced its 2020 examination priorities. OCIE publishes its examination priorities annually...
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