3 papers
q-fin.RM2025
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
Suparna Biswas, Rituparna Sen
Historically, financial risk management has mostly addressed risk factors that arise from the financial environment. Climate risks present a novel and significant challenge for com…
stat.ME2024
Estimation of Spectral Risk Measure for Left Truncated and Right Censored Data
Suparna Biswas, Rituparna Sen
Left truncated and right censored data are encountered frequently in insurance loss data due to deductibles and policy limits. Risk estimation is an important task in insurance as…
q-fin.ST2023
Study of Stylized Facts in Stock Market Data
Vaibhav Sherkar, Rituparna Sen
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This pap…