The Quadratic Knapsack Problem (QKP) is a combinatorial optimization problem that has attracted much attention over the past four decades. In this problem, o...

This paper studies linear-quadratic Stackelberg games with a major player (leader) and \(N\) minor players (followers). To design decentralized strategies ...

Robotic Process Automation has emerged in recent years as an important field by allowing faster and more secure processes through a reduction in the risks or...

We explore the factor exposure heterogeneity in green and brown stocks using the peer-exposure ratio. By creating peer groups of S&P 500 index firms over 201...

The estimation of the structural model poses a major challenge as its underlying asset (the firm's asset value) is not directly observable. We extend the m...

The Twelfth Montreal IPSW took place on August 22-26, 2022, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for D...

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

In this paper, we study a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Specifically, we addres...

We study how the financial literature has evolved in scale, research team composition, and article topicality across 32 finance-focused academic journals fro...

Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations ei...

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

A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...

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...

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

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

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

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

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

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...

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...