Keyword: investment

Found 1239 papers in total
Technical Note–On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
Technical Note–On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
2015,
Hong (2009) [Hong LJ (2009) Estimating quantile sensitivities. Oper. Res....
Managing Underperformance Risk in Project Portfolio Selection
Managing Underperformance Risk in Project Portfolio Selection
2015,
We consider a project selection problem where each project has an uncertain return...
A General Framework for Pricing Asian Options Under Markov Processes
A General Framework for Pricing Asian Options Under Markov Processes
2015,
A general framework is proposed for pricing both continuously and discretely monitored...
Dynamic Trading with Reference Point Adaptation and Loss Aversion
Dynamic Trading with Reference Point Adaptation and Loss Aversion
2015,
We formalize the reference point adaptation process by relating it to a way people...
Predicting Systemic Risk with Entropic Indicators
Predicting Systemic Risk with Entropic Indicators
2017,
This paper concentrates on quantifying the behavioral aspects of systemic risk by...
Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis
Forecasting the US Term Structure of Interest Rates Using Nonparametric Functional Data Analysis
2017,
In this paper we consider a novel procedure to forecasting the US zero coupon bond...
Forecasting Ability of a Periodic Component Extracted from Large-Cap Index Time Series
Forecasting Ability of a Periodic Component Extracted from Large-Cap Index Time Series
2017,
We develop a method to extract periodic variations in a time series that are hidden in...
Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns
Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns
2016,
This paper evaluates the accuracy of 1‐month‐ahead systematic (beta)...
Two-Dimensional Kernel Smoothing of Mortality Surface: An Evaluation of Cohort Strength
Two-Dimensional Kernel Smoothing of Mortality Surface: An Evaluation of Cohort Strength
2016,
Accurate mortality forecasts are of primary interest to insurance companies, pension...
The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach
The Relation Between Overreaction in Forecasts and Uncertainty: A Nonlinear Approach
2016,
This paper examines overreaction of oil price forecasters. It takes into account...
Out-of-sample testing price discovery in commodity markets: the case of soybeans
Out-of-sample testing price discovery in commodity markets: the case of soybeans
2016,
Price discovery, a central function of futures markets, has been usually tested...
Exploring the widening food gap: an international perspective
Exploring the widening food gap: an international perspective
2016,
Using data for a long panel of 90 developed and developing countries, this article...
Supplier Encroachment and Investment Spillovers
Supplier Encroachment and Investment Spillovers
2016,
It is conventional wisdom that a manufacturer's encroachment into retail space will...
LBMIC: communication-aware load balancing in distributed ASMs with evolving social networks
LBMIC: communication-aware load balancing in distributed ASMs with evolving social networks
2016,
Multi‐agent‐based simulation for artificial stock market (ASM) is an...
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
2016,
In this paper, a continuous time mean‐variance portfolio optimization problem...
Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
2016,
The problem of finding static‐arbitrage bounds on basket option prices has...
Hidden Illiquidity with Multiple Central Counterparties
Hidden Illiquidity with Multiple Central Counterparties
2016,
Regulatory changes are transforming the multitrillion dollar swaps market from a...
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
2016,
By exploiting basic common practice accounting and risk‐management rules, we...
An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
2016,
Financial institutions are interconnected directly by holding debt claims against each...
What drives stock market integration? An analysis using agribusiness stocks
What drives stock market integration? An analysis using agribusiness stocks
2016,
This article explores the drivers of regional stock market integration with a focus on...
Linear programing relaxations for a strategic pricing problem in electricity markets
Linear programing relaxations for a strategic pricing problem in electricity markets
2017,
Strategic bidding problems in energy markets have been vastly studied in the...
A fuzzy-based multi criteria decision making approach for supply chain risk assessment in Indian pharmaceutical industry
A fuzzy-based multi criteria decision making approach for supply chain risk assessment in Indian pharmaceutical industry
2016,
Being a highly significant part of healthcare system, developing the nation's...
A portfolio analysis approach to assist socially responsible investors in making decisions
A portfolio analysis approach to assist socially responsible investors in making decisions
2016,
The main research question addressed in this paper is concerned with the cost of being...
Determining attribute weights to improve solution reliability and its application to selecting leading industries
Determining attribute weights to improve solution reliability and its application to selecting leading industries
2016,
In multiple attribute decision analysis, many methods have been proposed to determine...
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