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A Political Capital Asset Pricing Model
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)
We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...
Risk management for sovereign financing within a debt sustainability framework
(European Stability Mechanism Working Paper No. 31, 2018-09)
The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
Politics, policy, and international stock peturns
(2018-08)
Politics and policy are distinct, though interrelated, factors affecting the economy. Using novel measures of political stability and confidence in economic policy we document predictable variation in stock market returns ...
Preface
(2012)
Optimization for financial engineering: a special issue
(Springer US, 2017)
Integrated dynamic models for hedging international portfolio risks
(2020)
We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide increasing level of integration in managing market and foreign exchange (FX) risks. ...
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(2018)
We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional value at risk) risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and ...