A 700-seat no-loss composition for the 2019 European Parliament....
The following paper is part of the authors' response to an invitation from the Constitutional Affairs Committee (AFCO) of the European Parliament to advise on mathematical methods for the allocation of...
View ArticleCreative Courage: Leveraging Imagination, Collaboration, and Innovation to...
Creative Courage challenges you to step outside of your comfort zone and truly make an impact. Set aside the same old routine and break the status quobecause you can only rise to new heights if you...
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G2: Building the Next Generation
Vital guidance to ensuring the future of your firmread more...
View ArticleEnterprise Knowledge Capital
Thoroughly grounded in an extensive body of international research and analysis, this book investigates the concepts surrounding a firm’s knowledge capital. These concepts play an integral part in the...
View ArticleScarcity of CEO Talent? Are Board Members Right?
Joann Lublin of the Wall Street Journal reports today on directors' beliefs about the CEO talent pool. She writes:The pool of executives qualified to take over the top job at the biggest U.S. companies...
View ArticleA General Framework for Portfolio Theory. Part I: theory and various models....
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a...
View ArticleComputational Analysis of the structural properties of Economic and Financial...
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial...
View ArticleWeekly Top 5 Papers â October 16th, 2017
1. The Rise of Behavioral Economics: Richard Thaler’s ‘Misbehaving’ by Cass R. Sunstein ( Harvard Law School)read more...
View ArticleGeometric Learning and Filtering in Finance. (arXiv:1710.05829v1 [q-fin.MF])
We develop a method for incorporating relevant non-Euclidean geometric information into a broad range of classical filtering and statistical or machine learning algorithms. We apply these techniques to...
View ArticleEfficient hedging in Bates model using high-order compact finite differences....
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite...
View ArticleRobust Maximum Likelihood Estimation of Sparse Vector Error Correction Model....
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable...
View ArticleSequential Design and Spatial Modeling for Portfolio Tail Risk Measurement....
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate...
View ArticleDynamic Portfolio Optimization with Looping Contagion Risk....
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself...
View ArticleMean Field Game Approach to Production and Exploration of Exhaustible...
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes...
View ArticleArbitrage-Free Regularization. (arXiv:1710.05114v1 [q-fin.MF])
We introduce a path-dependent geometric framework which generalizes the HJM modeling approach to a wide variety of other asset classes. A machine learning regularization framework is developed with the...
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Loss Leader or Value Creator? Deconstructing Amazon Prime
I am an Amazon Prime member and have been one for a long time, and I am completely hooked. Not only do I (and my family) use Amazon Prime for items ranging from tissue paper to big screen televisions,...
View ArticleIntroduction and Keynote Remarks: Commissioner Quintenz before the Federal...
Introduction and Keynote Remarks: Commissioner Quintenz before the Federal Reserve Bank of Chicagoâs Fourth Annual Conference on CCP Risk Management
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