One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Using a multi-stage stochastic programming method, we suggest an optimal liability-driven investment(LDI) strategy for a closed defined-benefit pension fund including real assets. The objective is to jointly optimize contribution, funding ratio, and buyout cost, subject to a constraint on...

In this contribution we propose a dynamic tracking error problem and we consider the problem of monitoring at discrete point the shortfall of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic...

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

In this paper we propose an alternative and modified Generalized Regression Neural Networks Autoregressive model (GRNN-AR) in S&P 500 and FTSE 100 index returns, as also in Gross domestic product growth rate of Italy, USA and UK. We compare the forecasts with Generalized Autoregressive...

In this paper we examine feed-forward neural networks using genetic algorithms in the training process instead of error backpropagation algorithm. Additionally real encoding is preferred to binary encoding as it is more appropriate to find the optimum weights. We use learning and momentum rates...

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...