12 citations · 45 across the 49 of their papers we have counts for
4 papers · 1 filter
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…
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…
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…
Option pricing using a skew random walk pricing tree
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev +1
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following Itô-Mckean skew Browni…