Showing 1 - 10 of 24
Persistent link: https://www.econbiz.de/10015144105
We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is convex, and readily solved exactly using domain-specific...
Persistent link: https://www.econbiz.de/10014084546
Although appealing from a theoretical point of view, empirical assessments of dynamic portfolio optimizations in a mean-variance framework often fail to reach the high expectations set forth by analytical evaluations. A major reason for this shortfall is the imprecise estimation of asset moments...
Persistent link: https://www.econbiz.de/10014528830
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positions, as we do in liquid asset classes. Instead...
Persistent link: https://www.econbiz.de/10014079996
Purpose – Collaboration is now an important part of public sector management. The purpose of this paper is to examine the factors that have helped shape the relationships between public agencies involved in sports tourism. Design/methodology/approach – Using critical case sampling 54...
Persistent link: https://www.econbiz.de/10014799085
This book provides a comprehensive overview of trails and routes from a tourism and recreation perspective. This cutting-edge volume addresses conceptual and management issues systematically, examining supply, demand, development and impacts associated with trails and routes.
Persistent link: https://www.econbiz.de/10012690529
Persistent link: https://www.econbiz.de/10012061806
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in particular, any risk neutral distribution can be interpreted as a...
Persistent link: https://www.econbiz.de/10012840179
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and therefore readily solved. For this optimal control...
Persistent link: https://www.econbiz.de/10012833632
We consider the problem of assigning weights to a set of samples or data records, with the goal of achieving a representative weighting, which happens when certain sample averages of the data are close to prescribed values. We frame the problem of finding representative sample weights as an...
Persistent link: https://www.econbiz.de/10012833635