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Portfolio optimization with risk constraints
Gandy, Ralf - 2005
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
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Time-varying risk aversion : an application to energy hedging
Cotter, John; Hanly, Jim - 2010
Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475662
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Farm Level Risk Assessment Using Downside Risk Measures
Berg, Ernst; Starp, Michael - 2006
Recent and presumable future developments tend to increase the risk associated with farming activities. This causes an increasing importance of risk management. Farmers have a wide variety of possibilities to influence the risk exposure of their operations. Among them are the choice of the...
Persistent link: https://www.econbiz.de/10009483581
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Forecasting project progress and early warning of project overruns with probabilistic methods
Reinschmidt, Kenneth F. (contributor) - 2007
Forecasting is a critical component of project management. Project managers must beable to make reliable predictions … focuses on forecasting project schedule progress withprobabilistic methods. Currently available methods, for example, the … in forecasting and project performance.The objective of this dissertation is to improve the predictive capabilities …
Persistent link: https://www.econbiz.de/10009464988
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Forecasting project progress and early warning of project overruns with probabilistic methods
Reinschmidt, Kenneth F. (contributor) - 2007
Forecasting is a critical component of project management. Project managers must beable to make reliable predictions … focuses on forecasting project schedule progress withprobabilistic methods. Currently available methods, for example, the … in forecasting and project performance.The objective of this dissertation is to improve the predictive capabilities …
Persistent link: https://www.econbiz.de/10009465019
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Time varying risk aversion : an application toenergy hedging
Cotter, John; Hanly, Jim - 2009
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475637
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Forecasting and Risk Analysis in Supply Chain Management
Hilmola, Olli-Pekka; Graham, Donald; Granger, Clive W. J.; … - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … this paper we explore advanced forecasting tools for decision support in supply chain scenarios and provide preliminary …Application of econometric principles and techniques (VAR-MGARCH) to risk analytics and forecasting in operations …
Persistent link: https://www.econbiz.de/10009432261
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GARCH Proof of Concept
Datta, Shoumen - 2008
Forecasting is an underestimated field of research in supply chain management. Recently advanced methods are coming … and transparency. In this chapter we explore advanced forecasting tools for decision support in supply chain scenarios and … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis. In this work, we …
Persistent link: https://www.econbiz.de/10009433073
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Forecasting
Datta, Shoumen - 2008
Proof that application of GARCH technique offers potential for profitability. Forecasting is an underestimated field of … advanced forecasting tools for decision support in supply chain scenarios and provide preliminary simulation results from their … 2007) techniques in addition to and in combination with other tools for forecasting and risk analysis in diverse verticals …
Persistent link: https://www.econbiz.de/10009433075
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Adaptive risk management
Chen, Ying - 2007
In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...
Persistent link: https://www.econbiz.de/10009467091