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Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions

Naguez, Naceur; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014

The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the … dy- namics of risky logreturns. We use both VaR and Expected Shortfall as downside risk measures to control gap risk. We … provide accurate upper bounds on the multiple in order to limit this gap risk. We illustrate our theoretical results on Credit …

Persistent link: https://www.econbiz.de/10011106608

The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries

Miniaoui, Hela; Sayani, Hameedah; Chaibi, Anissa - Institut de Préparation à l'Administration et à la … - 2014

We study performance of Islamic and conventional indices of the Gulf Cooperation Council (GCC) countries in the wake of financial crisis of 2008 and test whether Islamic indices were less risky than conventional indices. We make use of data of the six GCC markets as well as the Dow Jones Islamic...

Persistent link: https://www.econbiz.de/10010786602

Corporate Investment Choice and Exchange Option between Production Functions

Bouasker, Olfa; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014

This paper examines the strategy in resource allocation of a firm which must choose between several production functions. These latter ones can differ by their respective initial investment amounts, input costs, output levels and prices...Such management problem is often posed when input values...

Persistent link: https://www.econbiz.de/10010891101

Evaluation of Growing Business: Which Method, What Risks?

Lantz, Jean-Sebastien; Hikkerova, Lubica; Mili, Mehdi; … - Institut de Préparation à l'Administration et à la … - 2014

Evaluate a growing company is always a difficult exercise because the valuation depends on the appreciation of many factors that vary depending on the person performing the evaluation: manager, shareholder, venture capitalist, etc. This article aims to present the methods used to evaluate this...

Persistent link: https://www.econbiz.de/10010891118

Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk

Balcılar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat; … - Institut de Préparation à l'Administration et à la … - 2014

hedging performances for alternative strategies. Our results mainly show significant volatility and time-varying risk …This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use … weights, hedging effectiveness, and dynamic hedging strategies for the MS-DCC-GARCH model based on both the regime dependent …

Persistent link: https://www.econbiz.de/10010891082

Does Profit Loss Sharing (PLS) solve moral hazard problems?

YOUSFI, Ouidad - Institut de Préparation à l'Administration et à la … - 2014

Discussion of Islamic private equity (PE) financing modes rarely provides detailed analytical insights into their properties: there is no rigorous analysis of their features. The current paper analyzes how and when Profit Loss Sharing (PLS) financing methods can solve asymmetric information...

Persistent link: https://www.econbiz.de/10010929399

Main Drivers of LBO in Asia

Sannajust, Aurélie; Khamlichi, Abdelbari El - Institut de Préparation à l'Administration et à la … - 2014

We extend the research on private equity by studying the drivers of LBO operating performance in Asia. We consider a large set of candidate drivers (financial, governance, macroeconomic, cultural, microeconomic and industry variables) and study their effects on performance over the short- and...

Persistent link: https://www.econbiz.de/10010929405

Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation

Najar, Dorra - Institut de Préparation à l'Administration et à la … - 2014

Fund managers compensation is a particular problem area in terms of its tax treatment in the United States and some European countries. This problem originates in the difficulty of defining these particular forms of incentive and therefore their estimated fair value. Based on the literature,...

Persistent link: https://www.econbiz.de/10010754789

Performance of Islamic Banks across the world: an empirical analysis over the period 2001-2008

KABLAN, Sandrine; YOUSFI, Ouidad - Institut de Préparation à l'Administration et à la … - 2014

Our study aims at analyzing Islamic bank efficiency over the period 2001-2008. We found that they were efficient at 92%. The level of efficiency could however vary according to the region where they operate. Asia displays the highest score with 96%. Indeed, country like Malaysia made reforms in...

Persistent link: https://www.econbiz.de/10010799078

What is the Real Role of Corporate Venture Capital ?

Lantz, Jean-Sébastien; Sahut, Jean-Michel; Teulon, … - Institut de Préparation à l'Administration et à la … - 2014

Technological innovation is not exclusive to great industrial groups. Sometimes, innovative and dynamic companies emerge in high-tech sectors and constitute a serious threat for some industry giants. However, the high reactivity of these small companies is generally impaired by problems of...

Persistent link: https://www.econbiz.de/10010764025