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Deskription und Bewertung strukturierter Produkte unter besonderer Berücksichtigung verschiedener Marktszenarien
Löhr, Andreas; Cremers, Heinz - 2007
Due to a fast market development in volume and innovation on the structured products (certificates) side, critics are finding fault regarding a lack in transparency and comparability. However, certificates can provide characteristics for every market scenario as its explicit strength. The aim of...
Persistent link: https://www.econbiz.de/10010298925
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Piecewise continuous cumulative prospect theory and behavioral financial engineering
Gürtler, Marc; Stolpe, Julia - 2011
We extend the continuous Cumulative Prospect Theory (CPT) by considering piecewise con-tinuous distributions with a … Theory (PT), CPT, and expected utility theory to a set of different real-life certificates with piecewise continuous and … discrete distributions in order to analyze whether there are any significant differences between the theories, and which theory …
Persistent link: https://www.econbiz.de/10010307959
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Staatsverschuldung und Financial Engineering
Erber, Georg - In: DIW Wochenbericht 78 (2011) 36, pp. 11-19
Das Vertrauen in die Stabilität der Staatsfinanzen vieler europäischer Länder und der USA wurde durch die weltweite Wirtschafts- und Finanzkrise nachhaltig erschüttert. Expansive Fiskalprogramme zur Konjunkturstützung und Bailouts zur Rettung des Bankensystems haben die Staatsverschuldung...
Persistent link: https://www.econbiz.de/10011602405
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The effect of management team characteristics on performance and style extremity of mutual fund portfolios
Qiong, Liu; Yang, Kuan; Zhou, Yinggao - In: Journal of Industrial Engineering and Management (JIEM) 7 (2014) 1, pp. 294-310
Purpose: Along with mutual funds' scale and quantity expanding for our country, it is common for fund management companies hiring new managers or the original fund managers mobilizing from one to another. The high liquidity of fund managers makes different managers regroup to manage the funds...
Persistent link: https://www.econbiz.de/10011939119
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Simulating multi-asset classes prices using Wasserstein Generative Adversarial Network: A study of stocks, futures and cryptocurrency
Han, Feng; Ma, Xiaojuan; Zhang, Jiheng - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-21
Financial data are expensive and highly sensitive with limited access. We aim to generate abundant datasets given the original prices while preserving the original statistical features. We introduce the Wasserstein Generative Adversarial Network with Gradient Penalty (WGAN-GP) into the field of...
Persistent link: https://www.econbiz.de/10013201330
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Portfolio selection: A fuzzy-ANP approach
Rafiei, Farimah Mokhatab; Ghezelbash, Maryam - In: Financial Innovation 6 (2020) 1, pp. 1-34
This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection problem has been widely investigated, most studies have focused on income and risk as the main decision-making...
Persistent link: https://www.econbiz.de/10012602853
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Financial statistics and data analytics
Liu, Shuangzhe (contributor); Sathye, Milind (contributor) - 2021
Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overload. It is here that advanced statistical and machine learning techniques can help. Accordingly, finance, statistics, and data analytics...
Persistent link: https://www.econbiz.de/10012606038
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The Merger Mystery: Why Spend Ever More on Mergers When So Many Fail?
Meeks, Geoff; Meeks, J. Gay - 2022
Statistical studies over the last forty-five years show that, although there are success stories, very many mergers and acquisitions do not result in the increased operating profits that economics textbooks would lead one to expect. As consultancy McKinsey have put it, 'Anyone who has researched...
Persistent link: https://www.econbiz.de/10014458162
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Knightian uncertainty and credit cycles
Gerba, Eddie; Żochowski, Dawid - 2017
innovation. To this end, we extend Boz and Mendoza (2014) by explicitly modelling the credit markets and by modifying the …
Persistent link: https://www.econbiz.de/10011804383
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Teaching programming skills to finance students: how to design and teach a great course
Yan, Yuxing - In: Financial Innovation 3 (2017) 32, pp. 1-14
A motivated finance-major student should master at least one programming language. This is especially true for students from quantitative finance, business analytics, those attending a Master of Science in Finance or other financial engineering programs. Among the preferred languages, R holds...
Persistent link: https://www.econbiz.de/10011808267