Program for stream Decision Making Modeling and Risk Assessment in the Financial Sector

MA-28: Portfolio optimization
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: G102
Chair(s): Cristinca Fulga

• Approximation of Value at Risk using models derived from the Cornish-Fisher expansion
  Cristinca Fulga
• Behavioral Portfolio Theory Revisited: Lessons Learned from the Field
  Andreas Oehler, Matthias Horn
• Optimal Portfolio Positioning under Ambiguity: The Multidimensional case.
  hachmi ben ameur, Jean-Luc Prigent, mouna Boujelbène, Emna Triki
• Nested Conditional Value-at-Risk portfolio selection: a model with temporal dependence driven by market-index volatility
  Alessandro Staino, Emilio Russo

MB-28: Risk Analysis and Management 1
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: G102
Chair(s): Erik Winands

• Household Portfolio Optimization with XTFs? An Empirical Study Using the SHS-base
  Hans Philipp Wanger, Andreas Oehler
• Portfolio Risk Management Using Statistical Process Control
  Robert Mefford
• Naïve diversification in thematic investing – Heuristics for the core-satellite investor
  Florian Methling, Rüdiger von Nitzsch
• Capital reserve management for a multi-dimensional risk model
  Erik Winands

MC-28: Finance and Banking 1
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: G102
Chair(s): Georges Tsafack

• Consumption-Based Downside Risk
  Georges Tsafack
• Stabilizing financial networks via mergers and acquisitions
  Markku Kallio, Aien khabazian
• Understanding spill-over effects in financial constraints for UK SMEs
  Antonia Gieschen, Raffaella Calabrese, Jake Ansell, Belen Martin Barragan
• Detecting Market Manipulation and Abusive Trading Using Anomaly Detection Techniques
  Robert James, Artem Prokhorov, Henry Leung

TA-28: Risk Analysis and Management 2
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: G102
Chair(s): Alessandro Staino

• Optimal Mean-Variance Rules for Pairs Trading Strategy
  Vladimír Holý
• An application of a weighted law of large numbers to portfolio credit risk
  David Christen
• Portfolio selection models as a decision-making tool
  Juraj Pekár, Ivan Brezina, Zuzana Čičková
• Do diamond stocks sparkle in investors’ portfolios?
  Rita D'Ecclesia, Vera Jotanovic

TB-28: Finance and Banking 2
Stream: Decision Making Modeling and Risk Assessment in the Financial Sector
Room: G102
Chair(s): Mario Maggi, Matthias Horn

• Real-time multi-criteria consumer credit offer optimization
  Johannes Müller
• Automated Portfolio Rebalancing: Autonomous Erosion of Investment Performance?
  Matthias Horn, Andreas Oehler
• LGD-Modelling, Stochastic Collaterals and Banking Regulation
  Daniel Börstler, Sascha H. Moells
• Inside the Factor Zoo: Optimizing ESG Factors with Extreme Risk Control for Goal-Driven Portfolios
  Gordon Dash, Nina Kajiji