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Program for stream Modern Decision Making in Finance and Insurance
Sunday
Monday
Monday, 8:30-10:00
MA-57: Modelling commodity markets dynamics
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Lorenz Schneider
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Assessing the Profitability of Large-Scale Batteries in the UK Electricity Market
Nina Lange, Stefan Ropke -
Commodity Forward Curves with Stochastic Time Change
Maren Diane Schmeck -
Calendar Spread Options and the Term Structure of Volatility
Malthe Rauh Johansen, Nina Lange -
Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models
Lorenz Schneider, Bertrand Tavin
Monday, 10:30-12:00
MB-57: Decision making in Insurance and Pensions
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Peter Hieber
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Optimal consumption, investment, and insurance under state-dependent risk aversion
Mogens Steffensen -
Value-at-Risk estimation in nested simulations
Alexander Strack -
Catastrophe Risk Management
Tadashi Uratani -
The Value of Lender-Initiated Loan Credit Insurance in Supplier Financing
Hechen Zhong, Nina Yan, Jizhou Lu, Kin Keung Lai
Monday, 12:30-14:00
MC-57: Dynamic portfolio selection: stochastic optimization, filtering, and learning techniques
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Sebastien Lleo
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Reinforcement Learning Methods in Risk-Sensitive Investment Management
Wolfgang Runggaldier, Sebastien Lleo -
Robust Utility Maximization in Continuous Time: Filtering for Shaping the Uncertainty Sets
Jörn Sass -
Expert Opinions and Power Utility Maximization in a Market with Partially Observable Gaussian Drift
Ralf Wunderlich -
Portfolio optimization based on multiperiod continuous stochastic dominance principles
Giorgio Consigli
Monday, 14:30-16:00
MD-57: Methodology in asset allocation and banking
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Rita Pimentel
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Accelerated Static Hedging Method for Pricing American Options
Lung-fu Chang -
Portfolio selection based on the Herd Behavior Index
Churui Li, Daniel Linders, Wing Fung Chong -
You Shall Not Pass - Minimizing false-positive ensemble classification through threshold optimization
Richard Oberdieck, Ruben Menke, Christian Møller Karsten
Tuesday
Tuesday, 8:30-10:00
TA-57: Robust decisions in finance and investments
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Bertrand Tavin
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Real options under ambiguity with rare events
Benoit Chevalier-Roignant, Andrianos Tsekrekos, Athanasios Yannacopoulos -
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Sebastien Lleo, Wolfgang Runggaldier -
Decision criteria under ambiguity for robust portfolio choice given a sample of assets’ returns
Eric André -
Management of adverse events: risk mitigation or exiting?
Carlos Oliveira, Rita Pimentel
Tuesday, 10:30-12:00
TB-57: Risk management and valuation of financial contracts
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Eric André, Bertrand Tavin
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Insurer's management discretion: Self-hedging participating life insurance
Peter Hieber -
Merged LSTM-MLP for option pricing
Rita Pimentel, Morten Risstad, Erlend Stegavik Rygg, Jacob Vinje, Sjur Westgaard, Cassandra Wu -
A constrained simulation approach to robust risk management of derivative products.
Bertrand Tavin
Tuesday, 12:30-14:00
TC-57: Market dynamics and implications for portfolio decisions
Stream: Modern Decision Making in Finance and Insurance
Room: S06 (building: 101)
Chair(s):
Jörn Sass
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Investor activity in EFSF/ESM secondary bond markets
Peter Schwendner -
A Novel Approach to Thematic Portfolio Construction: Patent-based Investment Decision Making
David Jaggi, Alexander Posth, Carsten C. Guderian -
Stochastic dynamic optimization in strategic financial management
Antti Korhonen -
Utilizing realized covariance estimators in finding safe haven evidence
Josip Arneric, Tea Šestanović