Preface -- Contents -- Part I Risk Modeling -- 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach -- 1.1 Introduction and Literature Review -- 1.2 Data Collection and Preparation -- 1.3 Methodology: Two-Step Cluster Analysis -- 1.4 Gold with Clusters -- 1.4.1 Training Set...

A sensitivity analysis of the impact of Cumulative Prospect Theory (CPT) parameters on a Mean/Risk efficient frontier is performed, through a simulation procedure, assuming a Multivariate Variance Gamma distribution for log-returns. The optimal investment problem for an agent with CPT...

The improvements in mortality rates have been under investigation in many studies across the 20th century, especially in developed countries. Current literature assumes that mortality indice can be forecasted independently through the model ARIMA (Autoregressive Integrated Moving Average)....