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Visualizing and measuring software portfolio architectures : a flexibility analysis

Lagerström, Robert; Baldwin, Carliss Y.; MacCormack, Alan - 2014

Persistent link: https://www.econbiz.de/10010258696

Simulation-optimization via kriging and bootstrapping : a survey

Kleijnen, Jack P. C. - 2013 - Revision of CentER DP 2011-064

Persistent link: https://www.econbiz.de/10010228792

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10010490408

Stochastic intrinsic kriging for simulation metamodelling

Mehdad, Ehsan; Kleijnen, Jack P. C. - 2014

Persistent link: https://www.econbiz.de/10011283893

Classic Kriging versus Kriging with bootstrapping or bonditional simulation : classic Kriging's robust confidence intervals and optimization

Mehdad, Ehsan; Kleijnen, Jack P. C. - 2014 - Revised version of CentER DP 2013-038

Persistent link: https://www.econbiz.de/10011285515

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

Stochastic intrinsic kriging for simulation metamodelling

Mehdad, Ehsan; Kleijnen, Jack P. C. - 2015 - Revised version of CentER Discussion Paper No. 2014-054

Persistent link: https://www.econbiz.de/10011349910

Does the stochastic specification matter?

Mari, Konstantina - 2017

Persistent link: https://www.econbiz.de/10011670182

Impact analysis of financial regulation on multi-asset markets using artificial market simulations

Hirano, Masanori; Izumi, Kiyoshi; Shimada, Takashi; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/75, pp. 1-20

of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed …

Persistent link: https://www.econbiz.de/10012302643

Efficient retirement portfolios : using life insurance to meet income and bequest goals in retirement

Dong, Fangyuan; Halen, Nick; Moore, Kristen; Zeng, Qinglai - In: Risks : open access journal 7 (2019) 1/9, pp. 1-11

Life Insurance Retirement Plans (LIRPs) offer tax-deferred cash value accumulation, tax-free withdrawals (if properly structured), and a tax-free death benefit to beneficiaries. Thus, LIRPs share many of the tax advantages of other retirement savings vehicles but with less restrictive...

Persistent link: https://www.econbiz.de/10012018693