Program for stream New Challenges in Investment Strategies, Risk and Financial Modelling

MD-04: Corporate Finance and Portfolio Management
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Victor Dragota

• Portfolio selection under cumulative prospect theory with piecewise exponential value functions
  Suleyman Ozekici, Nuri Şensoy
• Optimal financing strategy when considering R&D innovation
  Jiang Wang, Changchang Wu, Lihua Chen
• A hybrid belief rule based decision support system for assessing credit risk for mortgage lending
  Swati Sachan, Jian-Bo Yang, Dong-Ling Xu
• Dividend policy: estimating the duration of making systematically bad decisions
  Victor Dragota, Camelia Delcea

TA-04: Financial Modelling and Applications
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Giulia Rotundo

• Evidence regarding external financing in Romanian exporting medium sized enterprises from manufacturing sector
  Eduard Gabriel Ceptureanu
• Debt growth as a leading indicator for stock returns: evidence from an emerging market
  rouhollah ebrahimabadi, Gurjeet Dhesi
• Capturing long-term coupling and short-term decoupling crude oil and natural gas prices
  Hayette Gatfaoui
• Estimating enterprise values based on linear optimization
  Soeren Guntram Harms, Marcel Clermont, Heinz Ahn

TB-04: Investments and Asset Allocations: Methods and Applications
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Anna Maria D'Arcangelis

• Multivariate count processes analysis of defaults
  Ana Escribano, Mario Maggi
• Optimal investment and deferred annuity choice with inflation and labour income risks
  Chul Jang, Andrew Clare, Iqbal Owadally
• Intertemporal analysis of mutual funds investing in European stocks: the analysis of herding through centrality measures
  Giulia Rotundo, Anna Maria D'Arcangelis

TC-04: Dynamic Asset allocation
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Roy Cerqueti, Mario Maggi

• Networks and market-based measures of systemic risk: the global banking system in the aftermath of the financial crisis
  Chiara Pederzoli, Gian Paolo Clemente, Rosanna Grassi
• Optimal investment strategies with stochastic interest rate and minimum performance constraint
  Daniele Marazzina
• Discounting of mean reverting cash flows
  Henrik Andersson
• A beta decomposition to set up a low beA asset allocation strategy
  Mario Maggi, Antonio Amendola, Dennis Montagna

TD-04: Portfolio Modelling
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Francesco Cesarone

• On the numerical stability of asset allocation models
  Pierpaolo Uberti, Maria Laura Torrente
• The l1-regularization for dynamic-portfolio selection
  Stefania Corsaro, Valentina De Simone, Zelda Marino, Francesca Perla
• On the stability of portfolio selection models
  Francesco Cesarone, Fabio Tardella, Carlo Mottura, Jacopo Maria Ricci
• Robustness via noncooperative games
  Giancarlo Bigi, Simone Sagratella

WA-04: Advances in Risk Management
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: SOUTH BUILDING UV S104 (building 0)
Chair(s): Roy Cerqueti

• Dependency and systemic risk in banking and insurance
  Rosanna Grassi, Gian Paolo Clemente, Asmerilda Hitaj
• Green bonds funds: efficiency and concentration risk
  Anna Maria D'Arcangelis, Giulia Rotundo
• Non stationarity of high order return distribution moments and their irrational fractional Brownian motion modelling
  Gurjeet Dhesi, Muhammad Bilal Shakeel, Thamila Madji, Marcel Ausloos
• Systemic risk assessment through adjacency clustering coefficient
  Roy Cerqueti, Rosanna Grassi, Gian Paolo Clemente