Purpose – The purpose of this paper is to present a realistic hedging model. Design/methodology/approach – The paper uses a general utility function, general distributions, and a multiple-input technology. Findings – The study finds that the impact of one or both risks on the optimal...

Purpose – The purpose of the paper is to correct a commonly mistaken notion that an Asian option is always cheaper than its plain vanilla European counterpart in a general setting. Design/methodology/approach – The paper shows that by letting volatility go to zero, the lower bounds of Asian...

Purpose – Firms grant non-tradable stock options to their employees as an incentive device. Is the cost of issuing these options equal to the amount the company would receive if it sold the same options to outside investors? The evaluation of this cost is the main objective of this article....

Purpose – The purpose of this paper is to examine the extent to which corporate managers alter their capital structure in response to risk exposures on the Ghana Stock Exchange (GSE). Design/methodology/approach – A panel data covering the period from 2002 to 2007 was employed under the...

Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

Purpose – The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both in the accidental (insurance risk) and systematic (longevity risk) deviations of the number of deaths...

Purpose – The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach – This research investigated some of the issues that can affect beta estimates (the...

Purpose – New methods of integrated risk modeling play an important role in determining the efficiency of bank portfolio management. The purpose of this paper is to suggest a systematic approach for risk strategies formulation based on risk-return optimized portfolios, which applies different...

Purpose – The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach – This research investigated some of the issues that can affect beta estimates (the...

Purpose – The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both in the accidental (insurance risk) and systematic (longevity risk) deviations of the number of deaths...