Die Mehrheit des globalen Finanzvermögens wird heute von professionellen Asset Managern investiert, welche häufig vergleichbare Prozesse und quantitative Techniken anwenden. Dies trifft vor allem auf die strategische Asset-Allokation auf Asset-Klassen, Regionen und Währungen zu. Am weitesten...

The define–measure–analyze–improve–control (DMAIC) approach is a five-strata approach, namely DMAIC. This approach is the scientific approach for reducing the deviations and improving the capability levels of the manufacturing processes. The present work elaborates on DMAIC approach...

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for...

Inflation and its adverse impacts on the economy are attacking Vietnamese enterprises at two-digit level at present. The managers need the effective foreseeing tools to prepare their budget to be suit to the complex evolvement of market economy and wait in front of the possible risks in future....

In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic volatility) model - which allows to account for time-varying risk aversion. Thereby, we are able to capture the empirical properties of pricing kernels, such as time-variation and the typical S-shape,...

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

In this paper, we consider the infinite-dimensional integration problem on weighted reproducing kernel Hilbert spaces with norms induced by an underlying function space decomposition of ANOVA-type. The weights model the relative importance of different groups of variables. We present new...