2 papers
cs.CE2021
Multicriteria asset allocation in practice
Kerstin Dächert, Ria Grindel, Elisabeth Leoff +3
In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz propose…
q-fin.ST2016
Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models
Vikram Krishnamurthy, Elisabeth Leoff, Jörn Sass
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to…