We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

We assess different scenarios for a transition to zero-net emissions in Qatar. The key technologies involved in the transition include electric mobility, hyd...

Using a multi-level perspective approach combined with top-down macroeconomic models, we analyse the situation of the GCC countries in the perspective of a...

A compact operations research (OR) model is proposed to analyse the prospects of meeting the Paris Agreement targets when direct air capture technologies can...

This study assesses the contribution of various forest-based bioenergy technologies when transitioning to a low carbon economy. A detailed modeling of differ...

Optimization with stochastic dominance constraints has recently received an increasing amount of attention in the quantitative risk management literature. In...

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be...

Motivated by the application of equal-risk pricing and hedging of a financial derivative, where two operationally meaningful hedging portfolio policies needs...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they co...

The Tenth Montreal IPSW took place on August 13-27, 2020, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for Dat...

Optimal stopping is the problem of deciding the right time at which to take a particular action in a stochastic system, in order to maximize an expected rewa...

Robotic process automation (RPA) is used in various fields of human activity in order to implement faster and more secure processes through a reduction in th...

We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation is ...

The structural model of Merton (1974) gives rise to multiple applications and extensions in corporate credit-risk analysis. The estimation of this fram...

We consider a two-stage game in a differentiated duopoly, where firms can pursue both a financial and an environmental objective. We assume that the maximu...

We empirically test the prediction of Pastor, stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increas...

The Ninth Montreal IPSW took place on August 19-23, 2019, and was jointly organized by the CRM and IVADO (Institute for Data Valorization). The workshop welc...

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con...

In recent years, we have witnessed a mini-revolution around early-stage financing. In some places, like the UK, more money is raised on Equity Crowdfunding...

Utility-based shortfall risk measure (SR) effectively captures decision maker’s risk attitude on tail losses by an increasing convex loss function. In this ...