We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of a portfolio's return distribution. The main purpose of the paper is to investigate the empirical performance of the selected portfolios, especially...

In this paper, we measure the systemic risk with a novel methodology, based on a 'spatial-temporal' approach. We propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension. The aim is to highlight the 'time-space dynamics' of...

Do tail events in the oil market trigger extreme responses by the clean-energy financial market (and vice versa)? This paper investigates the relationship between oil price and clean-energy stock with a novel methodology, namely extreme events study. The aim is to investigate an asymmetry effect...

China has accelerated its banking sector reform in recent years, paying particular attention to non-performing loans (NPLs). The paper's scope is to analyse the relationship between NPLs and macroeconomic variables in China using quarterly data from 2008/Q1 to 2021/Q1 applying wavelet analysis,...

In a European context in which the objectives of climate neutrality and digitalization appear fundamental, the work analyzes the relationships between the price of the main stock market indices and the most representative variables such as carbon emissions, digitalization, use of renewable...

The EU faces two economic challenges: managing non-performing exposures (NPEs) and climate change. This paper analyzes the relationship between the NPEs of domestic banking groups and climate risks, including macroeconomic variables such as the GDP growth rate, unemployment rate (UnEmp), and the...

In this paper, we measure the systemic risk with a novel methodology, based on a “spatial-temporal” approach. We propose a new bank systemic risk measure to consider the two components of systemic risk: cross-sectional and time dimension. The aim is to highlight the “time-space dynamics”...