Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
4.5
Journals
JRFM
Special Issues
Featured Papers in Finance and Society Wellbeing—in Honor of Professors...
share announcement

Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".

Deadline for manuscript submissions: 31 December 2024 | Viewed by 8002

Special Issue Editors

Dr. Shuangzhe Liu

E-Mail Website
Guest Editor
Department of Mathematics and Statistics, University of Canberra, Canberra, Australia
Interests: financial time series; multivariate analysis; statistical diagnostics
Special Issues, Collections and Topics in MDPI journals
Prof. Dr. Svetlozar (Zari) Rachev

E-Mail Website
Guest Editor
Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409-1042, USA
Interests: mathematical and empirical finance; probability metrics; mass transportation problems
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue is a heartfelt tribute to the remarkable Professors Joseph Mark Gani and Christopher Charles Heyde. Their legacies continue to illuminate the path of applied mathematics, financial and social wellbeing. As we approach the centennial of Prof. Gani and the 85th year of Prof. Heyde, we are reminded of their unparalleled contributions that have profoundly influenced probability, statistics and the broader spectrum of applied mathematics and finance.

Prof. Gani, revered for masterfully integrating theoretical precision with practical insights, has left an indelible mark on generations of scholars. Prof. Heyde, remembered for his pioneering work in probability theory and statistical methods, has deeply impacted diverse domains with his analytical prowess. This volume is a convergence of contributions from esteemed peers and protégés, mirroring the vast expanse of influence wielded by these two giants of mathematics. It is a compendium that celebrates not only their academic brilliance, but also the perpetual relevance of their work, fortifying the foundations of the mathematical community.

Scope and Topics: This issue invites a rich tapestry of contributions across various facets of finance, such as:

  1. Stochastic Modeling in Financial Risk: Exploration of advanced stochastic processes and their applications in financial modeling, particularly in the context of epidemic events.
  2. Statistical Methods for Risk Assessment: Cutting-edge methodologies for evaluating financial risks during epidemic times, focusing on extreme value analysis and post-COVID dynamics.
  3. Portfolio Optimization and Asset Allocation: Insightful approaches to optimize investment portfolios, incorporating epidemic-induced uncertainties using probabilistic models.
  4. Insurance and Actuarial Science: Innovative applications in assessing and managing epidemic-related risks within insurance and actuarial frameworks.
  5. Economic Impact Assessment: Utilizing statistical tools to gauge the influence of epidemics on financial markets and global economic structures.
  6. Statistical Learning and Predictive Analytics: Advanced predictive models for financial risk forecasting during or after epidemic events, encompassing credit risk and market prediction.
  7. Dynamic Asset Pricing: Delving into asset pricing models that capture long-range dependencies, heavy-tailed distributions and market asymmetries.
  8. Health Care Finance: Analyzing how financial resources are used in health systems, including revenue raising, the pooling of funds and purchasing services, with a focus on ensuring that the health system can adequately cover the collective health needs of every person.
  9. Alternative Financial Markets—ESG Finance and Investing: Exploring how financial wellbeing is closely linked to perceptions of social relationships, with a focus on financial wellbeing for a sustainable society.

Dr. Shuangzhe Liu
Prof. Dr. Svetlozar (Zari) Rachev
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • stochastic modeling in financial risk
  • statistical methods for risk assessment
  • portfolio optimization and asset allocation
  • insurance and actuarial science
  • economic impact assessment
  • statistical learning and predictive analytics
  • dynamic asset pricing
  • health care finance
  • alternative financial markets
  • ESG finance and investing

Benefits of Publishing in a Special Issue

  • Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
  • Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
  • Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
  • External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
  • e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.

Further information on MDPI's Special Issue polices can be found here.

Published Papers (6 papers)

Download All Papers
Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

20 pages, 288 KiB  
Article
The Relationship Between Sociodemographic Attributes and Financial Well-Being of Low-Income Urban Families Amid the COVID-19 Pandemic: A Case Study of Malaysia
by Abdullah Sallehhuddin Abdullah Salim, Norzarina Md Yatim and Al Mansor Abu Said
J. Risk Financial Manag. 2024, 17(12), 544; https://doi.org/10.3390/jrfm17120544 - 29 Nov 2024
Viewed by 477
Abstract
The COVID-19 pandemic and the Movement Control Order (MCO) have had a negative impact on the financial well-being of low-income families in urban areas. This study involved respondents living in the public housing project (PPR) residential areas in Kuala Lumpur—the capital of Malaysia. [...] Read more.
The COVID-19 pandemic and the Movement Control Order (MCO) have had a negative impact on the financial well-being of low-income families in urban areas. This study involved respondents living in the public housing project (PPR) residential areas in Kuala Lumpur—the capital of Malaysia. The key finding is that the financial well-being of low-income urban families was negatively impacted due to the COVID-19 pandemic and the MCO implementation. Furthermore, the impact on the financial well-being of low-income urban families is significantly different in terms of types of families, type and sector of employment, type of home ownership, household monthly income, and education level. Reforms to the financial assistance system and the community empowerment of low-income urban families are necessary to increase the community’s preparedness and resilience in the face of new shocks in the future. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
31 pages, 565 KiB  
Article
Environmental, Social and Governance Awareness and Organisational Risk Perception Amongst Accountants
by Hok-Ko Pong and Chun-Cheong Fong
J. Risk Financial Manag. 2024, 17(11), 480; https://doi.org/10.3390/jrfm17110480 - 24 Oct 2024
Viewed by 615
Abstract
The relationships between accountants’ environmental, social and governance (ESG) awareness and their perceptions of organisational risk are examined in this study. The emphasis is on the operational, strategic, financial and compliance risks of business organisations. A total of 462 accountants in Hong Kong [...] Read more.
The relationships between accountants’ environmental, social and governance (ESG) awareness and their perceptions of organisational risk are examined in this study. The emphasis is on the operational, strategic, financial and compliance risks of business organisations. A total of 462 accountants in Hong Kong were included via stratified random sampling and snowball sampling to ensure population diversity. A stratified random approach was used to include factors such as age, gender, income and experience, and snowball sampling amongst professional networks was used to ensure representativeness. A significant positive relationship exists between ESG awareness and risk perception, with environmental and governance factors emerging as the strongest predictors. Accountants with deep ESG awareness, especially in the aforementioned areas, can successfully identify and manage nontraditional risks such as regulatory changes and environmental threats. The findings highlight the need for institutionalising ESG-focused education in accounting and corporate governance to improve risk management capabilities. Increased ESG awareness can ensure responsible and sustainable business behaviour. Future research can expand the sample of accountants to executives and use longitudinal designs to capture the dynamic nature of ESG awareness and risk perception. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
►▼ Show Figures

Figure 1

32 pages, 552 KiB  
Article
Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty
by Tak Kuen Siu
J. Risk Financial Manag. 2024, 17(10), 436; https://doi.org/10.3390/jrfm17100436 - 29 Sep 2024
Viewed by 618
Abstract
This paper aims to leverage Bayesian nonlinear expectations to construct Bayesian lower and upper estimates for prices of Ether options, that is, options written on Ethereum, with conditional heteroscedasticity and model uncertainty. Specifically, a discrete-time generalized conditional autoregressive heteroscedastic (GARCH) model is used [...] Read more.
This paper aims to leverage Bayesian nonlinear expectations to construct Bayesian lower and upper estimates for prices of Ether options, that is, options written on Ethereum, with conditional heteroscedasticity and model uncertainty. Specifically, a discrete-time generalized conditional autoregressive heteroscedastic (GARCH) model is used to incorporate conditional heteroscedasticity in the logarithmic returns of Ethereum, and Bayesian nonlinear expectations are adopted to introduce model uncertainty, or ambiguity, about the conditional mean and volatility of the logarithmic returns of Ethereum. Extended Girsanov’s principle is employed to change probability measures for introducing a family of alternative GARCH models and their risk-neutral counterparts. The Bayesian credible intervals for “uncertain” drift and volatility parameters obtained from conjugate priors and residuals obtained from the estimated GARCH model are used to construct Bayesian superlinear and sublinear expectations giving the Bayesian lower and upper estimates for the price of an Ether option, respectively. Empirical and simulation studies are provided using real data on Ethereum in AUD. Comparisons with a model incorporating conditional heteroscedasticity only and a model capturing ambiguity only are presented. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
►▼ Show Figures

Figure 1

24 pages, 349 KiB  
Article
Extended Least Squares Making Evident Nonlinear Relationships between Variables: Portfolios of Financial Assets
by Pierpaolo Angelini
J. Risk Financial Manag. 2024, 17(8), 336; https://doi.org/10.3390/jrfm17080336 - 2 Aug 2024
Viewed by 1749
Abstract
This research work extends the least squares criterion. The regression models which have been treated so far in the literature do not study multilinear relationships between variables. Such relationships are of a nonlinear nature. They take place whenever two or more than two [...] Read more.
This research work extends the least squares criterion. The regression models which have been treated so far in the literature do not study multilinear relationships between variables. Such relationships are of a nonlinear nature. They take place whenever two or more than two univariate variables are the components of a multiple variable of order 2 or an order greater than 2. A multiple variable of order 2 is not a bivariate variable, and a multiple variable of an order greater than 2 is not a multivariate variable. A multiple variable allows for the construction of a tensor. The α-norm of this tensor gives rise to an aggregate measure of a multilinear nature. In particular, given a multiple variable of order 2, four regression lines can be estimated in the same subset of a two-dimensional linear space over R. How these four regression lines give rise to an aggregate measure of a multilinear nature is shown by this paper. In this research work, such a measure is an estimate concerning the expected return on a portfolio of financial assets. The metric notion of α-product is used to summarize the sampling units which are observed. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
27 pages, 1263 KiB  
Article
On Smoothing and Habit Formation of Variable Life Annuity Benefits
by Mogens Steffensen and Savannah Halling Vikkelsøe
J. Risk Financial Manag. 2024, 17(2), 75; https://doi.org/10.3390/jrfm17020075 - 13 Feb 2024
Viewed by 1576
Abstract
This paper studies optimal consumption and investment strategies with lifetime uncertainty to design a smooth pension product. In a simplified Black–Scholes market, we investigate three strategies for consumption and investment: the classical strategy, the habit strategy, and the hybrid strategy. Incorporating additive habit [...] Read more.
This paper studies optimal consumption and investment strategies with lifetime uncertainty to design a smooth pension product. In a simplified Black–Scholes market, we investigate three strategies for consumption and investment: the classical strategy, the habit strategy, and the hybrid strategy. Incorporating additive habit formation in preferences leads to a request for less consumption volatility. Studying the consumption dynamics, it turns out that the hybrid strategy complies with the same preferences as the habit strategy. In our design of a smooth pension product, we are highly inspired by the consumption structure under the hybrid strategy and let consumption be specified as a time-dependent weighted average of last year’s consumption level and a standard market rate life annuity. We give two approaches for the investment portfolio. The numerical examples show that consumption under these approaches is less volatile than consumption under the classical strategy. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
►▼ Show Figures

Figure 1

22 pages, 356 KiB  
Article
The Duality Principle for Multidimensional Optional Semimartingales
by Mahdieh Aminian Shahrokhabadi, Alexander Melnikov and Andrey Pak
J. Risk Financial Manag. 2024, 17(2), 43; https://doi.org/10.3390/jrfm17020043 - 25 Jan 2024
Viewed by 1434
Abstract
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, this leads to a knowledge of the joint distributions and complicated integration procedures. This paper develops an alternative approach that converts [...] Read more.
In option pricing, we often deal with options whose payoffs depend on multiple factors such as foreign exchange rates, stocks, etc. Usually, this leads to a knowledge of the joint distributions and complicated integration procedures. This paper develops an alternative approach that converts the option pricing problem into a dual one and presents a solution to the problem in the optional semimartingale setting. The paper contains several examples which illustrate its results in terms of the parameters of models and options. Full article
(This article belongs to the Special Issue Featured Papers in Finance and Society Wellbeing—in Honor of Professors Joe Gani and Chris Heyde)
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-6
Back to TopTop