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We discuss and extend a powerful, geometric framework to represent the set of portfolios, which identifies the space of asset allocations with the points lying in a convex polytope. Based on this viewpoint, we survey certain state-of-the-art tools from geometric and statistical computing to handle important and difficult problems in digital finance. Although our tools are quite general, in this paper, we focus on two specific questions. The first concerns crisis detection, which is of prime interest for the public in general and for policy makers in particular because of the significant impact that crises have on the economy. Certain features in stock markets lead to this type of anomaly detection: Given the assets’ returns, we describe the relationship between portfolios’ return and volatility by means of a copula, without making any assumption on investors’ strategies. We examine a recent method relying on copulae to construct an appropriate indicator that allows us to automate crisis detection. On real data the indicator detects all past crashes in the cryptocurrency market and from the DJ600-Europe index, from 1990 to 2008, the indicator identifies correctly 4 crises and issues one false positive for which we offer an explanation. Our second contribution is to introduce an original computational framework to model asset allocation strategies, which is of independent interest for digital finance and its applications. Our approach addresses the crucial question of evaluating portfolio management, and is relevant the individual managers as well as financial institutions. To evaluate portfolio performance, we provide a new portfolio score, based on the aforementioned framework and concepts. In particular, it relies on statistical properties of portfolios, and we show how they can be computed efficiently.

Abstract: The Semantic Web is the next step of the current Web where information will become more machine-understandable to support effective data discovery and integration. Hierarchical schemas, either in the form of tree-like structures (e.g., DTDs, XML schemas), or in the form of hierarchies on a category/subcategory basis (e.g., thematic hierarchies of portal catalogs), play an important role in this task. They are used to enrich semantically the available information. Up to now, hierarchical schemas have been treated rather as sets of individual elements, acting as semantic guides for browsing or querying data. Under that view, queries like “find the part of a portal catalog which is not present in another catalog” can be answered only in a procedural way, specifying which nodes to select and how to get them. For this reason, we argue that hierarchical schemas should be treated as full-fledged objects so as to allow for their manipulation. This work proposes models and operators to manipulate the structural information of hierarchies, considering them as first-class citizens. First, we explore the algebraic properties of trees representing hierarchies, and define a lattice algebraic structure on them. Then, turning this structure into a boolean algebra, we present the operators S-union, S-intersection and S-difference to support structural manipulation of hierarchies. These operators have certain algebraic properties to provide clear semantics and assist the transformation, simplification and optimization of sequences of operations using laws similar to those of set theory. Also, we identify the conditions under which this framework is applicable. Finally, we demonstrate an application of our framework for manipulating hierarchical schemas on tree-like hierarchies encoded as RDF/s files. [Copyright &y& Elsevier]