Keyword: investment

Found 1239 papers in total
The Innovest Austrian Pension Fund Financial Planning Model InnoALM
The Innovest Austrian Pension Fund Financial Planning Model InnoALM
2008,
This paper describes the financial planning model InnoALM we developed at Innovest for...
Efficient Computation of Hedging Parameters for Discretely Exercisable Options
Efficient Computation of Hedging Parameters for Discretely Exercisable Options
2008,
We propose an algorithm to calculate confidence intervals for the values of hedging...
OR PRACTICE—Assisting Defined-Benefit Pension Plans
OR PRACTICE—Assisting Defined-Benefit Pension Plans
2008,
The defined–benefit pension system poses substantial, long–term risks for...
Fast Simulation of Multifactor Portfolio Credit Risk
Fast Simulation of Multifactor Portfolio Credit Risk
2008,
This paper develops rare–event simulation methods for the estimation of...
The errors‐in‐variable model in the optimal portfolio construction
The errors‐in‐variable model in the optimal portfolio construction
2007,
A modification of Sharpe's method used in classical portfolio analysis for optimal...
Competition among virtual communities and user valuation: The case of investing-related communities
Competition among virtual communities and user valuation: The case of investing-related communities
2007,
Virtual communities are a significant source of information for consumers and...
On the trend recognition and forecasting ability of professional traders
On the trend recognition and forecasting ability of professional traders
2007,
Empirical research documents that temporary trends in stock price movements exist, so...
Optimal strategies and utility-based prices converge when agents' preferences do
Optimal strategies and utility-based prices converge when agents' preferences do
2007,
A discrete–time financial market model is considered with a sequence of...
A limit theorem for financial markets with inert investors
A limit theorem for financial markets with inert investors
2006,
We study the effect of investor inertia on stock price fluctuations with a market...
TSD-consistent performance assessment of mutual funds
TSD-consistent performance assessment of mutual funds
2008,
This paper presents three new data envelopment analysis–based approaches to...
Portfolio selection under DEA-based relative financial strength indicators: case of US industries
Portfolio selection under DEA-based relative financial strength indicators: case of US industries
2008,
Fundamental analysis is an approach for evaluating a firm for its...
Proposal to improve brand value evaluation model for selecting standard enterprise published by the Ministry of Economy, Trade and Industry of Japan
Proposal to improve brand value evaluation model for selecting standard enterprise published by the Ministry of Economy, Trade and Industry of Japan
2008,
In this paper, we propose to improve the applicability of the brand value evaluation...
Optimal control and hedging of operations in the presence of financial markets
Optimal control and hedging of operations in the presence of financial markets
2006,
We consider the problem of dynamically hedging the profits of a corporation when these...
Building a business case for revenue management
Building a business case for revenue management
2004,
As more companies debate the merits of investing scarce resources to develop and...
Reexamining the impact of information technology investment on productivity using regression tree and multivariate adaptive regression splines (MARS)
Reexamining the impact of information technology investment on productivity using regression tree and multivariate adaptive regression splines (MARS)
2008,
As health care costs increased significantly in the 1990s, investments in information...
Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets
Statistical estimation of optimal portfolios for non-Gaussian dependent returns of assets
2008,
This paper discusses the asymptotic efficiency of estimators for optimal portfolios...
Single-index and portfolio models for forecasting value-at-risk thresholds
Single-index and portfolio models for forecasting value-at-risk thresholds
2008,
The variance of a portfolio can be forecast using a single index model or the...
Smart institutions, foolish choices: the limited partner performance puzzle
Smart institutions, foolish choices: the limited partner performance puzzle
2007,
The returns that institutional investors realize from private equity differ...
On the importance of measuring payout yield: implications for empirical asset pricing
On the importance of measuring payout yield: implications for empirical asset pricing
2007,
We investigate the empirical implications of using various measures of payout yield...
Participation costs and the sensitivity of fund flows to past performance
Participation costs and the sensitivity of fund flows to past performance
2007,
We present a simple rational model to highlight the effect of investors' participation...
Cyclic behavior in dynamic investment decisions for deregulated energy markets
Cyclic behavior in dynamic investment decisions for deregulated energy markets
2008,
In the first years after the deregulation of the electricity industry, investment into...
How costly is external financing? Evidence from a structural estimation
How costly is external financing? Evidence from a structural estimation
2007,
We apply simulated method of moments to a dynamic model to infer the magnitude of...
Linear filtering of systems with memory and application to finance
Linear filtering of systems with memory and application to finance
2006,
We study the linear filtering problem for systems driven by continuous Gaussian...
A method of determining risk zones of investment in real estate
A method of determining risk zones of investment in real estate
2006,
In the real estate sector, especially in construction or purchasing of commercial...
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