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Integrating Different Informations for Portfolio Selection
Following the idea of Bayesian learning via Gaussian mixture model, we organically combine the backward-looking information contained in the historical data and the forward-looking information implied by the market portfolio, which is affected by heterogeneous expectations and noisy trading behavior.
Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
In this paper, we regard the issue of the optimal bailout (capital injection) as a black-box optimization problem, where the black box is characterized as a fixed-point system that follows the E-N framework for measuring the systemic risk of the financial system.
Systemic Risk of Optioned Portfolios: Controllability and Optimization
We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR.
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