On many occasions we need to construct an index that represents a number of variables. Cost of living index, general price index, human development index, index of level of development, etc are some of the examples that are constructed by a weighted (linear) aggregation of a host of variables....

Based on the bibliographical data available with the RePEc (Research Papers in Economics), the Internet Documents in Economics Access Service (IDEAS) publishes every month the up-dated academic rankings of different geographic regions (countries/states in the US). This paper raises the question...

This paper discusses the application of an index tracking technique to mutual fund replication problems. By using a tracking error (TE) minimization method and two tactical rebalancing strategies (i.e. the calendar based strategy and the tolerance triggered strategy), a multi-period fund...

In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the...

Copulae provide investors with tools to model the dependency structure among financial products. The choice of copulae plays an important role in successful copula applications. However, selecting copulae usually relies on general goodness-of-fit (GoF) tests which are independent of the...

Correlation matrices have many applications, particularly in marketing and financial economics. The need to forecast demand for a group of products in order to realize savings by properly managing inventories requires the use of correlation matrices. In many cases, due to paucity of...

Basel II imposes regulatory capital on banks related to the default risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into...

For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered. It is proposed to consider least median of squares estimators as one...

In this paper, we attempt to solve the Multiple Campaign Assignment Problem (MCAP) using the Differential Evolution (DE) technique. We believe that the solution of MCAP can enhance business growth and consequently enhances the e-readiness ranking of a country. Multiple campaign assignment is a...

This article describes the R package DEoptim which implements the differential evolution algorithm for the global optimization of a real-valued function of a real-valued parameter vector. The implementation of differential evolution in DEoptim interfaces with C code for efficiency. The utility...