When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the...

Design/methodology/approach: Research and development (R&D) activities are crucial if companies are to adapt to technology changes, but budget constraints and limited resources often force companies to select a subset of candidate projects through portfolio selection techniques. However,...

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

We develop a novel approach to understand the dynamic diversification of decision makers with quantile preferences. Due to unavailability of analytical solutions to such complex problems, we suggest to approximate the behavior of agents with a Quantile Deep Reinforcement Learning (Q-DRL)...

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...