This paper presents a novel framework for selecting socially responsible investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi-objective mathematical programming model. The HPM breaks away from the...

We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and compare it with traditional mean–variance analysis. Unlike the previous literature that considers an investor’s mean-spectral risk preferences for the choice of optimal...

In this paper we consider the sensitivity problem connected with portfolio optimization results when different measures of risk such as portfolio rates of return standard deviation, portfolio VaR, CVaR are minimized. Conditioning the data (represented by spectral condition index of the rates of...

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...

The Growth Share Matrix (BCG Matrix) was introduced by the Boston Consulting Group more than 35 years ago and is still in widespread use despite severe doubts as to its suitability. This paper summarizes the respective research results gathered over the years and illustrates the problems of the...

The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models...

Целью статьи является разработка такого инструмента матричного анализа, который бы обобщал базовые характеристики внутренней и внешней среды для формирования...

We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of stochastic correlations. For this purpose, we construct an ensemble of random correlation matrices and average the normal distribution over this ensemble. The resulting...

Burundi is one of the poorest countries in the world. The country is emerging from more than a decade of civil conflict. The World Bank’s country assistance strategy focuses on structural reforms to further increase growth and reduce poverty. The economy is emerging from the effects of...

The purpose of this paper is to study the relation of US stocks, gold, and oil with the US dollar foreign exchange rate. First it is demonstrated that the law of one price holds for US stocks, gold, and oil. This law specifies that a 1% appreciation of the US dollar leads to a 1% fall in the...