Results 201 to 210 of about 23,032 (275)

Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions

Canadian Journal of Statistics, EarlyView.
Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni, Luca Merlo, Lea Petrella   +2 more
wiley   +1 more source

Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method

, 2017
Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima C. Klebaner, Kaïs Hamza   +5 more
openalex   +1 more source

T‐calibration in semi‐parametric models

Canadian Journal of Statistics, EarlyView.
Abstract This article relates the calibration of models to the consistent loss functions for the target functional of the model. Correctly specified models are calibrated. Conversely, we demonstrate that if there is a parameter value that is optimal under all consistent loss functions, then a model is calibrated.
Anja Mühlemann, Johanna Ziegel
wiley   +1 more source

Playing with fire? A mean‐field game analysis of fire sales and systemic risk under regulatory capital constraints

Canadian Journal of Statistics, EarlyView.
Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley   +1 more source

A novel portfolio optimization method and its application to the hedging problem [PDF]

Nikolaos Halidias
openalex   +1 more source

A Markov approach to credit rating migration conditional on economic states

Canadian Journal of Statistics, EarlyView.
Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley   +1 more source

A Facile Protocol for C(sp2)–C(sp3) Bond Formation Reactions Toward Functionalized E3 Ligase Ligands

ChemMedChem, EarlyView.
A robust C(sp2)–C(sp3) decarboxylative coupling strategy enables access to new CRBN ligands and degraders with improved physicochemical properties. This synthetic approach is expanding the chemical space beyond C(sp2)–N linkages, fine‐tuning proteolysis‐targeting chimera activities and unlocking previously inaccessible degrader chemotypes.
Anita Maksutova, Thomas M. Geiger, Lorenzo Cianni, Dominika E. Pieńkowska, Jan Gerhartz, Lina Read, Aleša Bricelj, Alexander Herrmann, Maurice Leon Nelles, Yuen Lam Dora Ng, Marcus D. Hartmann, Jan Krönke, Izidor Sosič, Radosław P. Nowak, Michael Gütschow, Christian Steinebach   +15 more
wiley   +1 more source

ESG Performance Evolution in Retail: A Systematic Review and Meta‐Analysis

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Environmental, social, and governance (ESG) practices have transformed from peripheral corporate social responsibility initiatives into core strategic imperatives in retail. Despite growing interest, the literature remains fragmented across disciplines and geographic contexts, with no comprehensive sector‐specific analysis examining the ...
Jiyeon Kim, Wooyoung Yang
wiley   +1 more source

Whale Optimization Algorithm for Multiconstraint Second-Order Stochastic Dominance Portfolio Optimization. [PDF]

Comput Intell Neurosci, 2020
Zhai QH, Ye T, Huang MX, Feng SL, Li H.
europepmc   +1 more source