| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
Regularized Multi-Currency Expected Shortfall Portfolios
Marți, 14 ianuarie 2025 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Patrick Lucescu
University of Zurich; patrick.lucescu@df.uzh.ch
Abstract:
This paper introduces a sparse and stable optimization approach for multi-currency asset allocation, where the investor minimizes the expected shortfall of their portfolio. We study the industry-standard currency overlay strategies, where the desired asset allocation is determined first, followed by the optimal currency allocation. Additionally, we propose a joint expected shortfall optimization approach that integrates assets and currencies, and analyze its performance compared to currency overlay strategies. This study provides insights into the effectiveness of holistic optimization in managing currency and asset risks, particularly in tail events, and examines the impact of regularization on portfolio performance and risk levels.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Zăganu – Romanian Craft Beer Bar&Bistro
Dividend policy with Explainable AI
Marți, 21 ianuarie 2025 – ora 16:40 – sala 3M4 (etaj 1, clădirea Moxa)
Codruț Ivașcu
Bucharest University of Economic Studies; codrut.ivascu@fin.ase.ro
Abstract:
TBA
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: Beer o’Clock – Craft Beer Bar