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In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...
Persistent link: https://www.econbiz.de/10011553110
A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...
Persistent link: https://www.econbiz.de/10013206042
Researchers of the Mass Customization domain face not only challenges of proper and timeless identification of latest practical trends, but also difficulties in rational analyses on the numerous existing scientific studies in this field as well as a need for a comprehensive and multidimensional...
Persistent link: https://www.econbiz.de/10012384339
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models...
Persistent link: https://www.econbiz.de/10011895634
The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...
Persistent link: https://www.econbiz.de/10013380409
This research examines the concept of a robo-advisor with digital twin capabilities for personal financial management. Using an exploratory study, the researchers developed an interactive and interpretive model that analyses the most critical variables to consider when designing the next level...
Persistent link: https://www.econbiz.de/10013273003
Presently, one of the most critical challenges for e-government and e-banking is the accurate and correct realization of factors that have a significant impact on customer behavior. Without appropriate knowledge of these factors, it would be impossible to predict the level of welcoming toward...
Persistent link: https://www.econbiz.de/10012309217
Financial technology is a powerful tool in financial infrastructure, used to strengthen and smooth the delivery of financial services into the broader space. Financial technology involves software, applications, and other technologies designed to improve and automate traditional forms of...
Persistent link: https://www.econbiz.de/10013370500
As part of the Fourth Industrial Revolution (4IR), blockchain, fintech (financial technology), and insurtech (insurance technology) are some innovations that have been rolled out in the financial landscape and have captured the imaginations of policymakers and scholars alike. The African...
Persistent link: https://www.econbiz.de/10014284397
The objective of this article is to assist the reader in understanding the journey from traditional Supply Chain Management to Digital Supply Chain Management. It aims to augment the concept of Digital Supply Chain Management with blockchain technology and create an extensive literature review...
Persistent link: https://www.econbiz.de/10014301552