In this article, we construct a structural model with jumps and regime switching to price banks' contingent convertible debt (CoCos) and deposit insurance. We use an Esscher transform that is applicable to regime switching double exponential jump diffusions to move from the historical world to...

This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change-point detection is employed to better construct mixture R-vine...

This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

This article aims to combine factor investing and reinforcement learning (RL). The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive closed forms for the policy gradients and analytical...

This letter applies Siniscalchi (2009)’s Vector Expected Utility to introduce ambiguity aversion into factor models for assets’ returns. The resulting criterion is tractable and its adjustment for ambiguity vanishes as initial wealth increases. Finally, it can be related to shrinkage...

This article aims to enhance factor investing with reinforcement learning (RL) techniques. The agent learns through sequential random allocations which rely on firms' characteristics. Using Dirichlet distributions as the driving policy, we derive closed forms for the policy gradients and...