Economy and finance

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Cahiers du GERAD

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

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

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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...

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

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

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

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

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

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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...

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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...

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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...

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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...

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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 ...

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

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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...

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

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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...

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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...

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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...

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

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