Keyword: portfolio management

Found 84 papers in total
Dynamic Pricing of Peak Production
Dynamic Pricing of Peak Production
2015,
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 and Its Effect on Shortfall and Risk Management in Life Insurance
2014,
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
Augmenting innovation project portfolio management performance: the mediating effect of management perception and satisfaction
2014,
Firms face the challenge of efficiently and effectively investing scarce resources in...
Market efficiency of the Post Communist East European stock markets
Market efficiency of the Post Communist East European stock markets
2014,
The stock markets from Post Communist East‐European Countries are still...
Asset Pricing Restrictions on Predictability: Frictions Matter
Asset Pricing Restrictions on Predictability: Frictions Matter
2012,
U.S. stock portfolios sorted on size; momentum; transaction costs;...
Renewables portfolio, individual preferences and social values towards RES technologies
Renewables portfolio, individual preferences and social values towards RES technologies
2013,
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
Product portfolio architectural complexity and operational performance: Incorporating the roles of learning and fixed assets
2011,
Managers struggle to cope with complexity in their product portfolios. However,...
Intermediated Investment Management
Intermediated Investment Management
2011,
Intermediaries such as financial advisers serve as an interface between portfolio...
Retirement planning in individual asset–liability management
Retirement planning in individual asset–liability management
2012,
Increasing financial pressure on State‐controlled pension systems has caused,...
A Stochastic Portfolio Optimization Model with Bounded Memory
A Stochastic Portfolio Optimization Model with Bounded Memory
2011,
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
Work effort, consumption, and portfolio selection: when the occupational choice matters
2011,
We consider a highly‐qualified individual with respect to her choice between...
Comparative issues in large‐scale mean–variance efficient frontier computation
Comparative issues in large‐scale mean–variance efficient frontier computation
2011,
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
Optimal portfolio selection with liability management and Markov switching under constrained variance
2011,
In this paper, we mainly discuss an optimal portfolio selection model with liability...
Equity home bias, incomplete financial markets, and nominal rigidities
Equity home bias, incomplete financial markets, and nominal rigidities
2011,
This paper analyzes optimal portfolio decisions in a monetary open-economy framework....
Large deviations theorems for optimal investment problems with large portfolios
Large deviations theorems for optimal investment problems with large portfolios
2011,
The thrust of this paper is to develop a new theoretical framework, based on large...
Optimal Bundling of Technological Products with Network Externality
Optimal Bundling of Technological Products with Network Externality
2010,
For many high‐tech and Internet‐related products, utility to consumers...
A log‐robust optimization approach to portfolio management
A log‐robust optimization approach to portfolio management
2011,
We present a robust optimization approach to portfolio management under uncertainty...
Optimal dynamic portfolio selection for projects under a competence development model
Optimal dynamic portfolio selection for projects under a competence development model
2011,
A model for optimizing investments of human resources over time into a given set of...
Portfolio allocation and asset demand with mean‐variance preferences
Portfolio allocation and asset demand with mean‐variance preferences
2011,
We analyze the comparative static effects of changes in the means, the standard...
Portfolio rebalancing model using multiple criteria
Portfolio rebalancing model using multiple criteria
2011,
In order to achieve greater flexibility in portfolio selection, transaction cost,...
Optimal Portfolio Liquidation with Distress Risk
Optimal Portfolio Liquidation with Distress Risk
2010,
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
A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
2010,
We develop and evaluate a two-level simulation procedure that produces a confidence...
Optimal investment for worst-case crash scenarios: A martingale approach
Optimal investment for worst-case crash scenarios: A martingale approach
2010,
We investigate the optimal portfolio problem under the threat of a financial market...
Comparison and robustification of Bayes and Black-Litterman models
Comparison and robustification of Bayes and Black-Litterman models
2010,
For determining an optimal portfolio allocation, parameters representing the...
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