Euro Working Group for Commodities and Financial Modelling 2014

Transcription

1 Euro Working Group for Commodities and Financial Modelling Meeting - Milano, Italy - Dec. 4-6, 2014 Scientific Program Thursday, December 4 Friday, December 5 Saturday, December 6 08:30-10:00 Registration and Welcome Ceremony 10:00-10:30 Coffee Break 10:30-11:30 Invited Session Alain Chevalier 11:30-13:30 Contributed Session 13:30-14:30 Lunch 14:30-15:30 Invited Session Burak Kazaz 15:30-16:30 Contributed Session 16:30-17:00 Coffee Break 17:00-19:00 Contributed Sesstion 09:30-10:30 Invited Session Markku Kallio 10:30-11:00 Coffee Break 11:00-13:00 Contributed Session 13:00-14:00 Lunch 14:00-16:00 Contributed Sesstion 16:00-16:30 Coffee Break 16:30-17:30 Round Table 20:00 Social Dinner 09:30-10:30 Invited Session Werner De Bondt 10:30-11:00 Coffee Break 11:00-13:00 Contributed Session

2

3 CONTRIBUTED SESSIONS THURSDAY THU 11:30-13:30 BUILDING U7 - ROOM 4064 DIVERSIFICATION Sergio Ortobelli University of Bergamo, Italy Portfolio selection based on risk profile analysis Alessandro Sbuelz Catholic University, Milan, Italy Dynamic asset allocation with default and systemic Heidi Raubenheimer Stellenbosch University Business School A simulation study to quantify the impact of long-only investment in a concentrated market with varying cross-sectional variation (csv) Ian A Cooper London Business School The behaviour of sentiment-induced share returns: Measurement when fundamentals are observable Fabio Bellini University of Milano-Bicocca Portolio Optimization with Expectiles Blanca Pérez-Gladish University of Oviedo (Spain) Investing with social consciousness THU 15:30-16:30 A BUILDING U7 - ROOM 4064 FACTOR MODELS John Beasley Brunel University, Uxbridge UB8 3PH, UK Factor Neutral Portfolios James Foye University of Ljubljana Rethinking the International Application of the Factor Models: Broad Sample Evidence from Europe Alberto Santangelo University of Milano-Bicocca Measuring Portfolio Diversification Based on Optimized Uncorrelated Factors THU 15:30-16:30 B BUILDING U7 - ROOM 4066 NETWORK Marco D'Errico University of Zurich Opinion Dynamics and Price Formation: a Nonlinear Network Model Andreas Karpf Université Paris 1 Sorbonne A network-based analysis of the EU-ETS Alberto Arcagni University of Milano Bicocca Analysis of Input - Output networks via Inequality Measures THU 17:00-19:00 A BUILDING U7 - ROOM 4064 INSURANCE Bogdan Norkin V.M. Glushkov Institute of Cybernetics, Kyiv Multiobjective stochastic optimization in insurance Qianqian Cui Nanjing University of Science and Technology Multidimensional credibility estimators with random common effects and time effects Giorgio Consigli University of Bergamo, Italy Applying stochastic programming to insurance portfolios stress-testing Jiri Valecky VSB-TU Ostrava, Faculty of Economics Calculation of SCR on non-life underwriting risk by using various techniques within individual risk model THU 17:00-19:00 B BUILDING U7 - ROOM 4066 COMMODITIES Brajesh Kumar Jindal Global Business School Commodity Futures Trading and Spot Market Price Dynamics in India Jaime Casassus Universidad Catolica de Chile Spanned and Unspanned Risks in Commodity Futures Markets

4 FRIDAY FRI 11:00-13:00 BUILDING U7 - ROOM 4064 ENERGY Paolo Pisciella University of Bergamo, Italy A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion Ruggero Caldana Università del Piemonte Orientale On the Rational Construction of Electricity Forward Curves with Hourly Granularity Niaz Bashiri Fondazione Eni Enrico Mattei (FEEM) The Effects of Oil Related Shocks on Volatility of Commodity Markets Angelica Gianfreda London Business School Quantifying Model Risk in Electricity Markets Neil Kellard Essex Business School, University of Essex BUBBLING OVER! THE BEHAVIOUR OF OIL FUTURES ALONG THE YIELD CURVE Ezgi AVCI-SURUCU Department of Business Administration On the Sustainability of Electricity Market Development Strategies: at Bilkent University, Ankara, Turkey Evidence from an emerging market FRI 1:400-16:00 A BUILDING U7 - ROOM 4064 PRICING Anna Maria Gambaro University of Milano Bicocca Approximated pricing of swaptions in general interest rate models Erik Lindstrom Lund University Tuned Sequential Calibration of Options Carlo Sala University of Lugano (USI) A Bayesian non parametric estimate of the physical measure and its use for the investigation of the pricing kernel puzzle Ilaria Peri ESC Rennes School of Business Back-testing and comparing V ar and V ar Giovanni Barone-Adesi University of Lugano (USI) Estimating the joint tail risk under the filtered historical simulation. An application to the CCP s default and waterfall fund. FRI 14:00-16:00 B BUILDING U7 - ROOM 4066 CRISIS Paolo Falbo University of Brescia Claudiu Botoc West University of Timişoara STRUCTURAL BREAKPOINTS IN VOLATILITY IN CENTRAL EUROPEAN REGION Gulbaz Mahmood Air University, Islamabad Financial Modelling for Volatility Spillovers from the Larger to Smaller Stock Market in the Context of Global Financial Crisis Haim Shalit University of the Negev Optimizing MCSD Portfolios Sebastiano Vitali University of Bergamo, Italy Stochastic Dominance and Investment Behavior

5 SATURDAY SAT 11:00-13:00 A BUILDING U9 ROOM 5 ALTERNATIVE INVESTMENTS Asmerilda Hitaj University of Milano-Bicocca Hedge Funds and Smart Beta Portfolio Selection Models: an Empirical Analysis Ghulame Rubbaniy COMSATS University Alternative investments: inflation hedger or mean-variance efficient? Vinodh Madhavan Institute for Financial Management and Research (IFMR) Modelling the Long-Term and Short-Run Relationship between Indian Local Exchange Traded Funds (ETFs) and their Underlying Indices Michi Nishihara Osaka University, Japan Valuation of sequential R&D investment Muhammad Zubair Mumtaz National University of Sciences and Technology, Pakistan An examination of short-run underpricing of IPOs using Extreme Bounds Analysis Edit Rroji University of Milano-Bicocca Multivariate Mixed Tempered Stable for Asset Allocation SAT 11:00-13:00 B BUILDING U9 ROOM 7 BANK Alex Weissensteiner Technical University of Denmark Analyzing the Swiss National Bank's Euro Exchange Rate Guarantee A Latent Likelihood Approach Lavinia Stoppani Catholic University of Milan Public Guarantees to SME Borrowing. An RDD Evaluation Chiara Benazzoli Università di Trento OPTIMAL EXECUTION STRATEGY IN LIQUIDITY FRAMEWORK UNDER EXPONENTIAL MARKET IMPACT Bruce Morley University of Bath, UK A Taylor Rule Based Model of the Exchange Rate with Wealth Effects Haejun Jeon Osaka University Patent infringement, Litigation, and Settlement Mariacristina Uberti Universit a degli studi di Torino, Turin, Italy. Migration Rates and Credit Risk Economic Capital