Keyword: portfolio analysis

Found 35 papers in total
Creditworthiness dynamics and Hidden Markov Models
Creditworthiness dynamics and Hidden Markov Models
2014,
A dynamic monitoring of credit risky portfolios is described. In the first section, it...
Stress testing credit card portfolios: an application in South Africa
Stress testing credit card portfolios: an application in South Africa
2014,
Motivated by a real problem, this study aims to develop models to conduct stress...
Integration–segregation decisions under general value functions: ‘Create your own bundle–choose 1, 2 or all 3!’
Integration–segregation decisions under general value functions: ‘Create your own bundle–choose 1, 2 or all 3!’
2014,
Whether to keep products segregated (e.g., unbundled) or integrate some or all of them...
Optimal pricing models in B2B organizations
Optimal pricing models in B2B organizations
2012,
This article discusses the application of value‐based pricing strategies in B2B...
The synergistic effects of IT‐enabled resources on organizational capabilities and firm performance
The synergistic effects of IT‐enabled resources on organizational capabilities and firm performance
2012,
Computing the value of IT investments and clarifying how the portfolio of IT/IS...
Assessment of projects, portfolios and dissertations: Achieving equity
Assessment of projects, portfolios and dissertations: Achieving equity
2013,
A variety of different assessment formats has evolved in higher education in recent...
A Global Equilibrium Asset Pricing Model with Home Preference
A Global Equilibrium Asset Pricing Model with Home Preference
2012,
We develop a global equilibrium asset pricing model assuming that investors suffer...
Using semi‐supervised classifiers for credit scoring
Using semi‐supervised classifiers for credit scoring
2013,
In credit scoring, low‐default portfolios (LDPs) are those for which very...
Commitment and Lapse Behavior in Long-Term Insurance: A Case Study
Commitment and Lapse Behavior in Long-Term Insurance: A Case Study
2011,
This article presents a case study of a portfolio of individual long‐term...
Portfolio symmetry and momentum
Portfolio symmetry and momentum
2011,
This paper presents a novel theoretical framework to model the evolution of a dynamic...
A Framework of Peak Load Pricing with Strategic Firms
A Framework of Peak Load Pricing with Strategic Firms
2010,
We analyze firms' investment incentives in markets where demand at spot markets is...
The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies
The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies
2011,
Standalone levelised cost assessments of electricity supply options miss an important...
Robust portfolio asset allocation and risk measures
Robust portfolio asset allocation and risk measures
2010,
Many financial optimization problems involve future values of security prices,...
Robust portfolios: contributions from operations research and finance
Robust portfolios: contributions from operations research and finance
2010,
In this paper we provide a survey of recent contributions to robust portfolio...
Perturbation solution of optimal portfolio theory with transaction costs for any utility function
Perturbation solution of optimal portfolio theory with transaction costs for any utility function
2002,
The solution to the optimal portfolio selection and consumption rule with small...
Sharpe style analysis in the Morgan Stanley Capital International sector portfolios: A Monte Carlo Integration approach
Sharpe style analysis in the Morgan Stanley Capital International sector portfolios: A Monte Carlo Integration approach
2002,
We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style...
On the steady state of the replicating portfolio: accounting for a growth rate
On the steady state of the replicating portfolio: accounting for a growth rate
2003,
For the risk management and transfer pricing of non-maturity liabilities, banks in...
Basket problems in margin calculation: Modelling and algorithms
Basket problems in margin calculation: Modelling and algorithms
2001,
This paper considers combinatorial models and algorithms for the problems of...
Optimal portfolio for nonstationary security market
Optimal portfolio for nonstationary security market
2000,
A new interpretation of the classical portfolio problem is suggested. It is based on...
Approximate portfolio analysis
Approximate portfolio analysis
1999,
This paper presents a portfolio selection model based on the idea of approximation....
On value preserving and growth optimal portfolios
On value preserving and growth optimal portfolios
1999,
In a discrete-time financial market setting, the paper relates various concepts...
The mean-semivariances approach to realistic portfolio optimization subject to transaction costs
The mean-semivariances approach to realistic portfolio optimization subject to transaction costs
1998,
In this paper, we present a realistic portfolio optimization problem which takes into...
Epsilon-dominating solutions in mean-variance portfolio analysis
Epsilon-dominating solutions in mean-variance portfolio analysis
1998,
In this paper the problem of finding the efficient set of portfolios, in a general...
Transaction costs and efficiency of portfolio strategies
Transaction costs and efficiency of portfolio strategies
1996,
Some recent results for frictionless economies show that popular dynamic portfolio...
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