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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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Hedging out the mark-to market volatility for structured credit portfolios
Ilerisoy, Mahmut - 2009
hedging long bespoke positions. In stratifying a portfolio we define Class-A as the widest credits, Class-B as the middle tier … second part of Chapter Four, we perform analysis to find out which credit index should be used in hedging a long bespoke … selection, and stepwise regression methods to find out if we should use multiple indices in our hedging practices. Multiple …
Persistent link: https://www.econbiz.de/10009466071
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The Impact of the Government’s Hedging Strategies on Petrol Prices in South Africa
Gumede, Nhlanhla - 2011
mitigating their impact. One way to lessen the impact of petrol price increases and volatility is through hedging at a national … replacement have had limited success. This study seeks to provide an ex post empirical analysis of the impact of hedging South … risk. It examines the impact of the unhedged strategy against hedging petrol prices in order to evaluate the overall cost …
Persistent link: https://www.econbiz.de/10009447544
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Dynamic semiparametric factor models
Borak, Szymon - 2008
resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …
Persistent link: https://www.econbiz.de/10009467069
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Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken
Wiesent, Julia - 2011
Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...
Persistent link: https://www.econbiz.de/10009482328
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Emissions Trading and Intersectoral Dynamics: Absolute versus Relative Design Schemes
de Vries, Frans P.; Dijkstra, Bouwe R.; McGinty, Matthew - 2011
This paper examines the interdependence between imperfect competition and emis-sions trading in a two-sector (clean and dirty) economy. We compare the welfare implica-tions of an absolute cap-and-trade scheme (permit trading) with a relative intensity-basedscheme (credit trading). We nd...
Persistent link: https://www.econbiz.de/10009465954
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A small, macroeconometric model of the Australian economy : with an emphasis on modelling wages and prices
McHugh, Zoe D. - 2004
Traditional macroeconometric models of the Australian economy estimate the behaviour of wage and price inflation separately, thereby ignoring the possibility that there is a contemporaneous relationship between these two variables. This thesis follows a recent trend emerging in other small open...
Persistent link: https://www.econbiz.de/10009438087
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Scenario Analysis of New Zealand’s Sheep Meat and Beef Sector Over The Next 10 To 15 Years
Forsyth, Hamish; Knutson, Russell - 2009
This paper identifies and synthesises strategic opportunities and challenges facing New Zealand’s sheep meat and beef sector over the next 10 to 15 years. A Delphi surveydraws on the sector’s collective knowledge and identifies areas of consensus anddivergence of opinion. Using the results...
Persistent link: https://www.econbiz.de/10009443665
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Brexit: situation and economic consequences
Buesa Olavarrieta, Alejandro; García Esteban, Coral; …
Artículo de revista ; The effective departure of the United Kingdom (UK) from the European Union (EU) opens up a new period of relations between the two areas. The current health crisis limits economic policies’ room for manoeuvre to accommodate the costs of transitioning to a new economic...
Persistent link: https://www.econbiz.de/10012525333
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Assessing the macroeconomic impact of Brexit through trade and migration channels
Berthou, Antoine; Estrada García, Angel; Haincourt, Sophie - 2019
Este trabajo conjunto de Bundesbank, Banque de France y Banco de España analiza en detalle algunos de los numerosos canales a través de los cuales el brexit afectará a la economía del Reino Unido y a la de sus socios comerciales. En particular, se centra en los canales comercial y...
Persistent link: https://www.econbiz.de/10012532157