Keyword: financial

Found 1008 papers in total
Quality patterns and critical mass effects in an evolutionary game of public contracting
Quality patterns and critical mass effects in an evolutionary game of public contracting
1994,
We study an evolutionary game of public contracting in which firms are randomly...
Depreciation games
Depreciation games
2008,
The main aim of this paper is to show how Game Theory can be used in the day-to-day...
Fitting the control parameters of a genetic algorithm: An application to technical trading systems design
Fitting the control parameters of a genetic algorithm: An application to technical trading systems design
2007,
This paper studies the problem of how changes in the design of the genetic algorithm...
Compromise programming and an approximation of the optimum portfolio
Compromise programming and an approximation of the optimum portfolio
1998,
The paper examines the portfolio selection problem from the viewpoint of...
Tests for relation type – equivalence or tolerance – in a finite set of elements
Tests for relation type – equivalence or tolerance – in a finite set of elements
2006,
The statistical procedure for determination of the type of relation –...
Analysis of a revenue-sharing contract in supply chain management
Analysis of a revenue-sharing contract in supply chain management
2008,
We consider a supply chain involving one supplier and one retailer in which a...
A real options approach to a classical capacity expansion problem
A real options approach to a classical capacity expansion problem
2005,
Some authors, considering deterministic or stochastic demand patterns and different...
Assets/liabilities portfolio immunization as an optimization problem
Assets/liabilities portfolio immunization as an optimization problem
2006,
The aim of the paper is to present bond portfolio immunization strategies in the case...
Robust multiperiod portfolio management in the presence of transaction costs
Robust multiperiod portfolio management in the presence of transaction costs
2008,
We study the viability of different robust optimization approaches to multiperiod...
Quadratic programming with transaction costs
Quadratic programming with transaction costs
2008,
We consider the problem of maximizing the mean–variance utility function of n...
Neural network-based mean–variance–skewness model for portfolio selection
Neural network-based mean–variance–skewness model for portfolio selection
2008,
In this study, a novel neural network-based mean–variance–skewness model...
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
2008,
In this paper we consider the optimal management of an aggregated dynamic pension...
A spectral method for bonds
A spectral method for bonds
2008,
We present an spectral numerical method for the numerical valuation of bonds with...
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
2008,
This study presents a simple but powerful approximation approach that is both accurate...
Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
2008,
We introduce a general discrete time dynamic framework to value pilot project...
The valuation of multidimensional American real options using the LSM simulation method
The valuation of multidimensional American real options using the LSM simulation method
2008,
In this paper we show how a multidimensional American real option may be solved using...
Evaluating financial time series models for irregularly spaced data: A spectral density approach
Evaluating financial time series models for irregularly spaced data: A spectral density approach
2008,
Engle and Russell's autoregressive conditional duration (ACD) models have been proven...
A note on Bayesian identification of change points in data sequences
A note on Bayesian identification of change points in data sequences
2008,
Recent research in mathematical methods for finance suggests that time series for...
Portfolio performance sensitivity for various asset-pricing kernels
Portfolio performance sensitivity for various asset-pricing kernels
2008,
This paper examines the sensitivity of various measures of portfolio performance to...
Bond portfolio's duration and investment term-structure management problem
Bond portfolio's duration and investment term-structure management problem
2006,
In the considered bond market, there are N zero-coupon bonds transacted continuously,...
Optimal contracts in continuous-time models
Optimal contracts in continuous-time models
2006,
We present a unified approach to solving contracting problems with full information in...
The analysis of tail dependence between stock markets using extreme value theory and copula function
The analysis of tail dependence between stock markets using extreme value theory and copula function
2007,
This article suggests the methods to investigate adverse movement across global stock...
A spatial price equilibrium model in the oligopolistic market for oil derivatives: an application to the Brazilian scenario
A spatial price equilibrium model in the oligopolistic market for oil derivatives: an application to the Brazilian scenario
2007,
This paper presents a spatial price equilibrium model in an oligopoly market for...
Maximin investment problems for discounted and total wealth
Maximin investment problems for discounted and total wealth
2008,
We study an optimal investment problem for a continuous-time incomplete market model...
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