We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

This study develops a hybrid model to integrate climate risks into Côte d'Ivoire’s economic policy, drawing on the work of economists like Keynes, Ostrom, Stiglitz, Sen, and Nordhaus. The model combines decentralized governance, climate risk externalities, and capacity building to address the...

The present project is related in the measurement of the risk and the improvement of the processes of monetary species. The main objective is to offer a methodology in the tickets administration because understanding of history is a situation that becomes in an advantage on the opportunities at...

In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility. Also, the performance of GMV portfolios are tested...

This paper observes the possible co-movements of oil price and CO2 emissions in China by following wavelet coherence and wavelet partial coherence analyses to be able to depict short-run and long-run co-movements at both low and high frequencies. To this end, this research might provide the...

Nearly half a century after Merton’s 1974 paper, the basic framework of modeling a company’s default risk in terms of one-dimensional variable, the total asset value, with fixed debt level has remain unchanged among the work by academic and quantitative modeling community. Under such...

In this article the sensitivity analysis of an economic model is provided with detail mathematical analysis. To achieve maximum profit through sustainable way in the competitive global economy; an organization must scrutinize sensitivity analysis efficiently. In the study Cobb-Douglas production...

During profit maximization procedure an industry faces various difficulties; and increase of cost of principal raw material is one of them that happen frequently. In this study an attempt is taken to discuss economic effects on various inputs when the cost of principal raw material is increased....

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...