This paper presents an approach to portfolio selection using fuzzy decision theory. The approach is such that a given target rate of return is achieved for an assumed market scenario. If the assumed market scenario turns out to be incorrect, the portfolio is guaranteed to secure a given minimum...

Poor financial market returns and low long-term real interest rates in recent years have created challenges for the sponsors of defined benefit pension schemes. At the same time, lower payroll tax revenues in a period of high unemployment, and rising fiscal deficits in many advanced economies as...

Crisis experience has shown that as the financial intermediation chain lengthens, it becomes complicated to assess the risks of financial products due to a lack of transparency as to how risks are managed at different levels of the intermediation chain. Exchange-traded funds, which have become...

This paper provides a quantitative framework for choosing the composition of reserve currencies. Assuming that the central bank's performance objectives are defined in terms of ex post returns in different currency numeraires, the currency allocation problem is formulated as a multi-objective...

Many global investors are faced with the problem of choosing an appropriate currency allocation of their assets in the capital markets. This paper addresses the asset allocation problem under the assumption that the investment universe is comprised of unhedged risk-free bonds in different...

This paper examines the one-step prediction of financial time series from a binary decision theory perspective. Under the assumption that the decision statistic of the binary hypothesis testing problem is a Gaussian random variable, bounds for the forecasting efficiency of the hypothesis testing...