Narrow search
Showing 1 - 10 of 777
Cover Image
The impact of background risk
Alghalith, Moawia - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6506-6508
In this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so … doing, we show the impact of background risk on the investment decisions. …
Persistent link: https://www.econbiz.de/10010874124
Cover Image
Optimal investment under partial information
Björk, Tomas; Davis, Mark; Landén, Camilla - In: Mathematical Methods of Operations Research 71 (2010) 2, pp. 371-399
manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio …
Persistent link: https://www.econbiz.de/10010999871
Cover Image
The interaction among production, hedging and investment decisions
Alghalith, Moawia - In: Economic Modelling 30 (2013) C, pp. 193-195
In this paper, we examine the interaction among the investment, production and hedging decisions. In so doing, we …
Persistent link: https://www.econbiz.de/10010608275
Cover Image
Forward dynamic utility functions: A new model and new results
Alghalith, Moawia - In: European Journal of Operational Research 223 (2012) 3, pp. 842-845
A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to …-continuous viscosity solutions to the portfolio model. …
Persistent link: https://www.econbiz.de/10010871202
Cover Image
Optimal investment under partial information
Björk, Tomas; Davis, Mark; Landén, Camilla - In: Computational Statistics 71 (2010) 2, pp. 371-399
manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio …
Persistent link: https://www.econbiz.de/10010759460
Cover Image
THE INTERACTION BETWEEN THE FINANCIAL SECTOR AND THE REAL SECTOR: A STOCHASTIC MODEL
ALGHALITH, MOAWIA; POLIUS, TRACY - In: Annals of Financial Economics (AFE) 07 (2012) 02, pp. 1250009-1
Using a stochastic factor model, we devise a method to estimate the marginal impact of real GDP on the stock market. We apply our approach to the Jamaican financial market.
Persistent link: https://www.econbiz.de/10010699490
Cover Image
Formalization of Investment Process in Portfolio Game
Jančar, Martin - In: Bulletin of the Czech Econometric Society 7 (2000)
Portfolio space (first time published at [1]) enables us to formalize economic activities in bookkeeping framework. In … of one new product. In paper [3] portfolio play was emiched about relative price of money interest rate and also unit … was defmed. In this paper author has defined some key vectors of investment decision process. The process is decomposed …
Persistent link: https://www.econbiz.de/10008528788
Cover Image
Meeting emission targets under uncertainty—the case of Finnish non-emission-trading sector
Hast, A.; Ekholm, T.; Savolainen, I. - In: Mitigation and Adaptation Strategies for Global Change 18 (2013) 5, pp. 637-658
The European Union (EU) has set a target to reduce its greenhouse gas (GHG) emissions at least 10 % below the 2005 levels by 2020 in the non-Emission Trading Sector (non-ETS). As part of this, each Member State has a binding national emission limitation target for the non-ETS sector....
Persistent link: https://www.econbiz.de/10010994822
Cover Image
Estimating allocations for Value-at-Risk portfolio optimization
Charpentier, Arthur; Oulidi, Abder - In: Computational Statistics 69 (2009) 3, pp. 395-410
in portfolio optimization). Furthermore, it is also known as having poor behavior in risk estimation (which has been …
Persistent link: https://www.econbiz.de/10010847843
Cover Image
Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states
Lisewski, Andreas Martin; Lichtarge, Olivier - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3250-3253
minimize risk in portfolio models for any given expected return, provided the margin requirement remains below a critical …
Persistent link: https://www.econbiz.de/10010872861