Research
Ongoing Research
Energy Finance
In collaboration with Professor Mike Ludkovski at UC Santa Barbara, I have developed a probabilistic framework for structuring renewable energy portfolios to achieve specific carbon-free electricity (CFE) performance targets. This approach combines scenario-based simulation with chance constraints to optimize renewable energy procurement while ensuring predetermined confidence levels for CFE goals. Moving forward, I plan to extend this work by incorporating more advanced scenario generation techniques and auction-based market mechanisms.
Sustainable Finance and Causal Factor Models in Finance
Building on my prior work analyzing the cross-section of equity returns and risk, I am now exploring novel applications of causal inference in financial economics. Specifically, I am developing rigorous frameworks with Professor Gareth Peters to distinguish genuine causal relationships from statistical associations in asset pricing models. This involves using techniques like matching methods and synthetic controls to better identify the true drivers of security returns.
R-squared and Factor Pricing Model Performance
Alongside Professors Fangfang Wang and Paulo Maio, I am deriving the asymptotic distribution theory for model comparison tests based on differences in "centered" cross-sectional R-squared metrics. This extends prior research on the two-pass cross-sectional regression methodology, providing formal tools for evaluating and validating competing factor models.
Publications
Working Papers
Least-cost structuring of 24/7 carbon-free electricity procurements
M. Ludkovski, **S. Mouti**, G. Swindle. Conference paper, presented at PES Seattle, 2024.
Rough volatility: Evidence from range volatility estimators
**S. Mouti**. Working paper, 2023.
Books
Sustainable life insurance: Managing risk appetite for insurance savings and retirement products
A. Kalife, L. Goodenège, T. Xiaolu, **S. Mouti**, M. Bellmane. CRC Press, 2023.
Published Papers
X. Dai, **S. Mouti**, M. L. do Vale, S. Ray, J. Bohn, L. Goldberg. Statistics in Biosciences (SIBS), 2023.
C. R. Tramontt, **S. Mouti**, M. R. L. do Vale, X. Li, Christine Delon, S. Armes, R. Golubic, S. Ray. BMJ Nutrition, Prevention & Health, 2023.
Sustainable investing and the cross-section of returns and maximum drawdown
L. Goldberg and **S. Mouti**. The Journal of Finance and Data Science, 2022.
M. L. do Vale, L. Buckner, C. G. Mitrofan, C. R. Tramontt, S. K. Kargbo, A. Khalid, S. Ashraf, **S. Mouti**, X. Dai, and D. Unwin. Cambridge University Press, 2021.
Optimal behavior strategy in the Guaranteed Minimum Income Benefit product
A. Kalife, G. L. Ruiz, **S. Mouti**, and X. Tan. Insurance Markets and Companies, 2018.
Rough volatility: Evidence from option prices
G. Livieri, **S. Mouti**, A. Pallavicini, and M. Rosenbaum. IISE Transactions, 2018.
On optimal options book execution strategies with market impact
A. Kalife and **S. Mouti**. Market Microstructure and Liquidity, 2016.
Minimizing the market impact of hedging insurance liabilities within risk appetite constraints
A. Kalife, **S. Mouti** and X. Tan. Insurance Markets and Companies: Analysis and Actuarial Computations, 2015.
L. Wang, A. Kalife, X. Tan, B. Bouchard, **S. Mouti**. Insurance Markets and Companies, 2015.
Managing gap risks in iCPPI for life insurance companies: a risk-return cost analysis
A. Kalife, L. Goudenege and **S. Mouti**. Insurance Markets and Companies: Analysis and Actuarial Computations, 2014.
Financial risk management and the rational lapse strategy in life insurance policies
A. Kalife, **S. Mouti** and L. Wang. Insurance Markets and Companies: Analysis and Actuarial Computations, 2013.