Universitätsplatz 1
Bolzano, 39100
Free University of Bolzano Bozen
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Portfolio Optimization, Feature Selection, Agglomerative Hierarchical Clustering
Dynamic stochastic programming, Cash management, Market price of risk, Change of measure, Scenario generation
life-cycle asset allocation, stochastic linear programming, scenario trees
exchange rate options, latent exchange rate
Portfolio Choice, Predictability, Parameter Uncertainty, Ambiguity Aversion, Strategic Asset Allocation
Swiss franc; Latent exchange rate; Currency options; Latent likelihood approach
asset-liability management, predictability, stochastic programming, scenario generation, VAR process
Finance, Uncertainty modelling, Scenario trees, Sparse trees, Asset-liability management
Commodity Futures, Sieve Bootstrapping, Omega Ratio, Portfolio Optimization, Stochastic Programming
Ambiguity, uncertainty, learning, portfolio flows, equilibrium asset prices, heterogeneous agents
Scenario trees, No arbitrage, Financial optimization, Scenario reduction
break-even inflation, Cochrane-Piazzesi factor, Nelson-Siegel model, parameter uncertainty
Dynamic stochastic optimisation, Treasury management, Market price of risk, Change of measure, Scenario generation
mean-variance optimization, the 1/N rule, parameter uncertainty, optimal portfolio granularity
LASSO, cross-validation, return predictability, parameter uncertainty, portfolio selection
Predictability of Returns, Supply Chain, Scenario Generation, Portfolio Selection, Stochastic Programming
no-arbitrage bounds, scenario generation, financial optimization
scenario trees, financial optimization, no-arbitrage
Dynamic Programming, Reinforcement Learning, Q-learning, Self-organizing Maps, Finance, Asset Allocation
Forecast precision; Efficient markets, Inefficient markets, Passive investment
financial analyst, forecast accuracy, recommendation profitability, full communication equilibrium
Financial sector, Rank correlation, Tail dependence, Sovereign credit risk, Italy
Forecast accuracy, Analysts' recommendation profitability, Information asymmetry
Stochastic discount factor, Pricing kernel puzzle, Time-varying risk aversion
COVID-19, Risk-neutral Densities, Equity Index Options
annuities, household, stochastic programming
financial conglomerates, discount, expected returns, skewness
semivariance, smoothed semicovariance, portfolio optimization, skewness
Forecast accuracy, analysts recommendation profitability, learning, Kalman filter
parameter uncertainty, portfolio choice
Inflation-linked annuity, Retirement planning, CRRA utility, Loss disutility, Multi-stage stochastic programming
Actuarial soundness, Agricultural insurance markets, Anti-hail nets, Hail, Expected utility
Actuarial soundness, Agricultural insurance, Anti-hail nets, Hail, Panel data
Election winner probabilities, Political prediction markets, Election portfolios
financial intermediaries, corporate value, stock returns, option-implied skewness
banks; stock returns; skewness; coskewness; crisis
Savings, interest rates, aging
betting odds, election portfolios, political uncertainty
betting odds; political events; exchange rate risk
exchange rates, forecasting, risk-neutral densities, betting quotes
ROM simulation, multivariate skewness, risk factors