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

WA-23: New Challenges in Investments Strategies
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: F103
Chair(s): Mario Maggi

• A fused lasso approach in multi-period mean variance portfolio selection
  Valentina De Simone, Stefania Corsaro, Zelda Marino
• Network approaches based on performance and dependence structure for portfolio allocation
  Asmerilda Hitaj, Rosanna Grassi, Gian Paolo Clemente, Paolo Bartesaghi
• Some Formulas for the Bivariate Tail Conditional Expectation in Financial Markets Scenarios
  Arsen Palestini, Roy Cerqueti
• Lifetime Investment with Annuities, Housing and Reverse Mortgages
  Chul Jang, Iqbal Owadally, Andrew Clare, Muhammad Kashif

WB-23: Methods for Financial Modelling
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: F103
Chair(s): Roy Cerqueti

• Communities in complex networks and applications in finance
  Roy Cerqueti
• Structural Pricing of XVA Metrics with Stochastic Recovery Rates
  Rosella Castellano
• Impact of president speech on US dollar value
  rouhollah ebrahimabadi, Gurjeet Dhesi
• The intraday order dynamics: A multivariate Poisson autoregression analysis
  Ana Escribano, Antonio Díaz, Francisco Jareño, Mario Maggi

WC-23: Frontiers of Risk Management
Stream: New Challenges in Investment Strategies, Risk and Financial Modelling
Room: F103
Chair(s): Francesco Cesarone

• A copula approach to integration and diversification in financial markets
  Giulia Rotundo, Roy Cerqueti
• Measuring Risk with COGARCH models
  Lorenzo Mercuri, Francesco Bianchi, Edit Rroji
• Risk Parity with Expectiles
  Francesco Cesarone, Fabio Bellini, Fabio Tardella, Christian Colombo
• Efficient portfolios and leverage analysis
  Mario Maggi, Pierpaolo Uberti