Publications
Management Science (2023). With Patrick Augustin and Donghwa Shin
Bitcoin is the first widely used cryptocurrency that has been traded in many online platforms since 2009. This trading constitutes what we call the cash market. Futures contracts on bitcoin were introduced in December 2017. Was this introduction successful in improving cash markets? In this research we show that the cash market became more efficient, had fewer arbitrage opportunities, got more liquidity, etc.
Financial Industry Forum on Artificial Intelligence: A Canadian Perspective on Responsible AI
With Patrick Cane, Mark Engel, Ana Garcia, Romana Mizdrak, and Obim Okongwu.
Financial Industry Forum on Artificial Intelligence (FIFAI), advanced the conversation around appropriate safeguards and risk management in the use of Artificial Intelligence (AI) at Financial Institutions. Ideas discussed to support safe AI development are grouped into Explainability, Data, Governance, and Ethics - the “EDGE” principles.
Dynamic Portfolio Decisions with Climate Risk and Model Uncertainty
Journal of Sustainable Finance and Investment (2022). With Sally Shen
Climate change is always perceived as a long-term risk. However, should short-term investors (2-10-year investment horizons) worry about climate change when making investment decisions? We show that investors are better off including climate risk (and uncertainty about climate change) in their models. We also quantify, in today's dollars, the losses from ignoring climate change.
Systemic Risk Driven Portfolio Selection
Operations Research (2022). With Agostino Capponi
Examples of systemic events are the global financial crisis of 2007-2008 and COVID-19 pandemic. Is it possible to construct stock portfolios that perform relatively well during systemic events? In this paper we develop a methodology that allows to explicitly account for systemic events. We test our approach on S&P500 stocks and show that it beats well-known benchmarks.
International Portfolio Choice under Multifactor Stochastic Volatility
Quantitative Finance (2022). With Marcos Escobar, Sebastian Ferrando, and Christoph Gschnaidtner
How do you construct stock portfolios that include assets from home and international markets? One would clearly need to take the exchange rate into account. We develop a flexible model that allows to construct financial portfolios and minimize risks coming from stochastic volatilities and stochastic correlations among assets and exchange rate. We also allow our investor to hedge various risks by trading in derivative securities (e.g., options).
Price of Climate Risk Hedging under Uncertainty
Technological Forecasting & Social Change 165, 1-10 (2021). With Wei Xu, Aleksandar Sevic, and Zeljko Sevic
Optimal Pricing of Climate Risk
Computational Economics (2021). Thomas F. Coleman, Nicole Dumont, Wanqi Li, and Wenbin Liu
Trajectorial asset models with operational assumptions
Quantitative Finance and Economics 3(4), 661-708 (2019). With Sebastian Ferrando, Andrew Fleck, Alfredo Gonzalez
Robust multivariate portfolio choice with stochastic covariance in presence of ambiguity
Quantitative Finance 18(8), 1265-1294 (2018). With Volker Bergen, Marcos Escobar, Rudi Zagst
Analysis of the SRISK Measure and Its Application to the Canadian Banking and Insurance Industries
Annals of Finance 14(4), 547-570 (2018). Thomas F.Coleman, Alex LaPlante
Dynamic Derivative Strategies with Stochastic Interest Rates and Model Uncertainty
Journal of Economic Dynamics and Control 86, 49-71 (2018). With Marcos Escobar, Sebastian Ferrando
Optimal Investment under Multi-factor Stochastic Volatility
Quantitative Finance, 1-20 (2016). With Marcos Escobar, Sebastian Ferrando
Model Misspecification and Pricing of Illiquid Claims
Finance Research Letters 18, 242-249 (2016)
Robust Portfolio Choice with Derivative Trading under Stochastic Volatility
Journal of Banking and Finance 61, 142-157 (2015). With Marcos Escobar, Sebastian Ferrando
Portfolio Choice with Stochastic Interest Rates and Learning about Stock Return Predictability
International Review of Economics and Finance 41, 347-370 (2016). With Marcos Escobar, Sebastian Ferrando
Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity
Annals of Finance 10(3), 419-455 (2014). With Claus Munk
Other publications (not peer-reviewed):
Adversarial Machine Learning: Risks and Opportunities for Financial Institutions
Financial Innovation Series, Global Risk Institute (2022)
Reinforcement Learning: Risks and Challenges for Financial Institutions
Financial Innovation Series, Global Risk Institute (2022)
Machine Learning: Unsupervised Learning in Finance
Financial Innovation Series, Global Risk Institute (2021)
International Survey of Earthquake Insurance Guarantee Schemes
Global Risk Institute (2021). With Erik Brown
Machine Learning: The Benefits and Pitfalls
Financial Innovation Series, Global Risk Institute (2020). With John C. Hull and Niti Mishra
Financial Innovation Series, Global Risk Institute (2020)
Building Explainable Machine Learning Systems in Finance: Fuzzy Logic-Based Neural Networks
Financial Innovation Series, Global Risk Institute (2019)
Artificial Neural Networks in Financial Modelling
Financial Innovation Series, Global Risk Institute (2019). With Alex LaPlante
Financial Innovation Series, Global Risk Institute (2018). With Alex LaPlante and Charlotte Watson
Blockchain and Its Applications to Cryptocurrencies
Financial Innovation Series, Global Risk Institute (2018). With Alex LaPlante