Keyword: portfolio management
Dynamic Pricing of Peak Production
Bunn Derek W
Peak producers of nonstorable products, such as electricity, provide crucial flexible...
Mortality Risk and Its Effect on Shortfall and Risk Management in Life Insurance
Mortality risk is a key risk factor for life insurance companies and can have a...
Augmenting innovation project portfolio management performance: the mediating effect of management perception and satisfaction
Firms face the challenge of efficiently and effectively investing scarce resources in...
Market efficiency of the Post Communist East European stock markets
The stock markets from Post Communist East‐European Countries are still...
Asset Pricing Restrictions on Predictability: Frictions Matter
de Roon Frans
U.S. stock portfolios sorted on size; momentum; transaction costs;...
Renewables portfolio, individual preferences and social values towards RES technologies
The massive deployment of renewable energy sources represents a high priority for...
Product portfolio architectural complexity and operational performance: Incorporating the roles of learning and fixed assets
Managers struggle to cope with complexity in their product portfolios. However,...
Intermediated Investment Management
Stoughton Neal M
Intermediaries such as financial advisers serve as an interface between portfolio...
Retirement planning in individual asset–liability management
Increasing financial pressure on State‐controlled pension systems has caused,...
A Stochastic Portfolio Optimization Model with Bounded Memory
This paper considers a portfolio management problem of Merton's type in which the...
Work effort, consumption, and portfolio selection: when the occupational choice matters
We consider a highly‐qualified individual with respect to her choice between...
Comparative issues in large‐scale mean–variance efficient frontier computation
One of the functions of a portfolio management system is to return quickly an...
Optimal portfolio selection with liability management and Markov switching under constrained variance
In this paper, we mainly discuss an optimal portfolio selection model with liability...
Equity home bias, incomplete financial markets, and nominal rigidities
This paper analyzes optimal portfolio decisions in a monetary open-economy framework....
Large deviations theorems for optimal investment problems with large portfolios
The thrust of this paper is to develop a new theoretical framework, based on large...
Optimal Bundling of Technological Products with Network Externality
For many high‐tech and Internet‐related products, utility to consumers...
A log‐robust optimization approach to portfolio management
We present a robust optimization approach to portfolio management under uncertainty...
Optimal dynamic portfolio selection for projects under a competence development model
A model for optimizing investments of human resources over time into a given set of...
Portfolio allocation and asset demand with mean‐variance preferences
We analyze the comparative static effects of changes in the means, the standard...
Portfolio rebalancing model using multiple criteria
In order to achieve greater flexibility in portfolio selection, transaction cost,...
Optimal Portfolio Liquidation with Distress Risk
Lobo Miguel Sousa
We analyze the problem of an investor who needs to unwind a portfolio in the face of...
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
We develop and evaluate a two-level simulation procedure that produces a confidence...
Optimal investment for worst-case crash scenarios: A martingale approach
Seifried Frank Thomas
We investigate the optimal portfolio problem under the threat of a financial market...
Comparison and robustification of Bayes and Black-Litterman models
For determining an optimal portfolio allocation, parameters representing the...
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