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q-fin.PM2025
Systemic Risk Management via Maximum Independent Set in Extremal Dependence Networks
Qian Hui, Tiandong Wang
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mi…
q-fin.PM2024
Mitigating Extremal Risks: A Network-Based Portfolio Strategy
Qian Hui, Tiandong Wang
In financial markets marked by inherent volatility, extreme events can result in substantial investor losses. This paper proposes a portfolio strategy designed to mitigate extremal…