This study deals with the dynamic hedging of single-tranche collateralized debt obligations (STCDOs). As a first step, we specify a top-down affine factor model in which a catastrophic risk component is incorporated in order to capture the dynamics of super-senior tranches. Next, we derive the...

We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be controlled by actions of the investor. Using the classical...

In this work, we study the dynamic portfolio optimization problem related to the pairs trading, which is an investment strategy that matches a long position in one security with a short position in an another security with similar characteristics. The relation between pairs, called spread, is...

We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model is consistent with stylized facts of high frequency...

In this article, we analyze the possibility to do well, while doing good from a passive portfolio management strategy. In this analysis, we distinguish the regions Europe and the US and refer to the stock price data of composites from the most important indices in these regions. Based on these,...

In this paper, we expand the literature on multi-criteria portfolio modeling for social responsible investments using multi-directional efficiency analysis (MEA). We apply a positive screening according to MEA efficiency scores, but also exploit the information contained in the efficiency score...