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Enhancing CVaR portfolio optimisation performance with GAM factor models
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes.
Unifying Market Microstructure and Dynamic Asset Pricing
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microstructure phenomena.
Hedonic Models of Real Estate Prices: GAM and Environmental Factors
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U. S. cities, contrasting their predictive efficiency against linear and polynomial based generalized linear models.
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
ESG ratings provide a quantitative measure for socially responsible investment.
