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Sparse Portfolio Selection via Topological Data Analysis based Clustering
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction.
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Exploiting the Bayesian nature of GPR, we introduce the mean-variance optimal portfolio with respect to the predictive uncertainty distribution of the expected stock returns.
A contagion process with self-exciting jumps in credit risk applications
Finally, we present the sensitivity analysis to demonstrate the effect of different parameters governing the contagion effect on the spread of tranches and the expected loss of the CDO.
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