Over the last decades passive investment products have continuously increased in importance. The efficiency of financial markets is often identified as the main reason for this development. We propose a theoretical framework which reverses the causality by showing that market efficiency might...

We consider a short-term investor who exploits return predictability in stocks and bonds to maximize mean-variance utility. Since the true parameters are unknown, we resort to portfolio optimization in form of linear regression with LASSO in order to mitigate problems related to estimation...

In this paper we consider optimal consumption and strategic asset allocation decisions of an investor with a finite planning horizon. A Q-learning approach is used to maximize the expected utility of consumption. The first part of the paper presents conceptually the implementation of Q-learning...

We consider a cash management problem where a company with a given financial endowment and future cash flows minimizes the Conditional Value at Risk of final wealth using a lower bound for the expected terminal wealth. We formulate the optimization problem as a multi-stage stochastic linear...

In several areas of the world, hail is one of the most detrimental atmospheric phenomenon for agriculture, causing a significant loss of output and, consequently, of farms' revenues. Despite being a highly stochastic and localized phenomenon, thus allowing for a sustainable insurance market to...

In this paper, we consider hail as a single source weather shock and we analyse the trade-off between anti-hail nets and insurance. We propose a simple theoretical model that is rooted into expected utility theory. After describing the basic model, we perform some comparative static analyses to...

We show the practical viability of a short-term treasury management model which is formulated as a multi-stage stochastic linear program. A company minimises the Conditional Value at Risk of final wealth, subject to given future cash flows and the uncertain future development of interest rates...