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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Date: 01/12/2021 Author(s): L. Merlo; Lea Petrella; Valentina Raponi Document type: Article in Journal (refereed) In this paper, we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, extending Taylor (2019). We generalize the Multivariate Asymmetric Laplace (MAL) joint quantile regression of Petrella and Raponi (2019) to a time-varying setting, which allows ... More information

Here comes the sun

Date: 01/11/2021 Author(s): Victor Martínez de Albéniz; Abdel Belkaid Document type: Article in Journal (refereed) The weather has been identified as an important driver of demand and constitutes a major risk for retailers, especially in goods for which usage is affected by weather conditions, such as soft drinks or fashion apparel. Specifically, weather variations change the propensity to visit the point of sales, because travel cost is affected by weather conditions; ... More information

Digitalization and omnichannel retailing: Innovative OR approaches for retail operations

Date: 01/11/2021 Author(s): A. Hübner; P. Amorim; J. Fransoo; D. Honhon; H. Kuhn; Victor Martínez de Albéniz; D. Robb Document type: Article in Journal (refereed) Omnichannel retailing and digitalization result in considerable challenges for the management and optimization of retail operations. The continued demand of quantitative insights, their practical need, and the growing availability of data motivates an increasing number of scientists and practitioners to intensify research on demand and supply-related ... More information

Time matters! How hybrid organizations use time to respond to divergent stakeholder demands

Date: 01/10/2021 Author(s): Tommaso Ramus; Antonino Vaccaro; Pascual Berrone Document type: Article in Journal (refereed) Researchers have endeavoured to explore how hybrid organizations navigate conflicting institutional demands. Yet, the role of time has often been neglected. We address this oversight through a longitudinal comparative case study, where we investigate how time and stakeholder engagement shape hybrid organizations' capacity to secure support from stakeholders ... More information

The Incentive game under target effects in ridesharing

Date: 01/10/2021 Author(s): Xirong Chen; Zheng Li ; Liu Ming; Weiming Zhu Document type: Article in Journal (refereed) Problem Definition: We study a ridesharing platform’s optimal bonus-setting decisions for capacity and profit maximization problems in which drivers set daily income targets. Academic and Practical Relevance: Sharing economy companies have been providing monetary rewards to incentivize self-scheduled drivers to work longer. We study the effectiveness ... More information

Conditioning the effect of prize on tournament self-selection

Date: 01/10/2021 Author(s): David Pastoriza; Inés Alegre; Miguel Ángel Canela Document type: Article in Journal (refereed) This study examines how past performance moderates the effect of the size of the prize on tournament self-selection. We identify two types of trajectories that play simultaneous and unique roles in moderating the influence of prize on an agent’s decision to enter a tournament: within- period trajectory, which reflects an agent’s short-term performance ... More information

Sustainability-driven decision-making model

Date: 01/10/2021 Author(s): Oriol Pons; Maria del Mar Casanovas-Rubio; Jaume Armengou; Albert de la Fuente Document type: Article in Journal (refereed) Currently, foundation piles for inhabited areas are often constructed using a continuous flight auger, which is a cost- and time-efficient technology that does not require stabilization of the borehole wall; the steel bar reinforcement is embedded after the concrete has been poured. However, this reinforcement operation can lead to severe construction ... More information

Sequence risk

Date: 01/10/2021 Author(s): Javier Estrada Document type: Article in Journal (refereed) Financial planners are keenly aware of, and routinely warn clients about, sequence risk; that is, the possibility of facing a sequence of low returns early in retirement that may force retirees to scale down significantly the plans they had made. This really is a scary scenario, but one that the evidence here shows that retirees are not very likely ... More information

Best of both worlds

Date: 01/09/2021 Author(s): Fabian J. Froese; Sebastian Stoermer; Sebastian Reiche; Sebastian Klar Document type: Article in Journal (refereed) Knowledge transfer within multinational enterprises is a source of competitive advantage. This study investigates the role of repatriates in enabling reverse knowledge transfer upon their return to headquarters (HQ). Using an organizational embeddedness perspective and considering the expatriation cycle, we conceptualized how embeddedness fit established ... More information

Debiasing the measurement of conditional conservatism

Date: 01/09/2021 Author(s): Marc Badia; Miguel Duro; Fernando Peñalva; Stephen Ryan Document type: Article in Journal (refereed) Basu’s [1997] measurement of conditional conservatism as the asymmetric timeliness of earnings underlies hundreds of studies. However, many subsequent studies cast doubt on the extent to which Basu’s measure captures conditional conservatism versus statistical biases or alternative constructs (collectively, “biases”), thereby questioning the validity ... More information
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