3 papers
q-fin.MF2024
An Empirical Implementation of the Shadow Riskless Rate
Davide Lauria, JiHo Park, Yuan Hu +3
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in…
q-fin.PM2023
Enhancing CVaR portfolio optimisation performance with GAM factor models
Davide Lauria, W. Brent Lindquist, Svetlozar T. Rachev
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particula…
q-fin.MF2023
Unifying Market Microstructure and Dynamic Asset Pricing
Davide Lauria, W. Brent Lindquist, Svetlozar T. Rachev +1
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microst…