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A note on the effectiveness of some de-fuzzification measures in a fuzzy pure factors portfolio
Papahristodoulou, Christos - Volkswirtschaftliche Fakultät, … - 2008
There are several methods to convert fuzzy or stochastic LP to conventional LP models. In this simple paper we evaluate the effectiveness of three proposed methods, using a numerical example from a pure factors portfolio.
Persistent link: https://www.econbiz.de/10005836013
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A Real Option Perspective on Valuing Gas Fields
Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 2013
Real option theory has remained a fringe field; practitioners believe it is not practically applicable in complex real … world environments. We show that this view is mistaken. We apply real option theory to a highly complex energy problem with … unhedgeable risk, time varying volatilities and endogenous exercise dates (non-European options). Investment decisions in the …
Persistent link: https://www.econbiz.de/10011257259
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Construction of uncertainty sets for portfolio selection problems
Wiechers, Christof - Seminar für Wirtschafts- und Sozialstatistik, … - 2011
optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent …While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the … examples are given by the risk measures Value-at-Risk and its coherent extension, Conditional Value-at-Risk. When avoiding …
Persistent link: https://www.econbiz.de/10009019662
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Firm Characteristics and Dynamic Capital Structure Adjustment
Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - Wirtschaftswissenschaftliches Zentrum, Universität Basel - 2006
We use a dynamic framework and panel methodology to investigate the determinants of a time-varying corporate capital structure. Our sample comprises 706 European firms from France, Germany, Italy and the U.K. over the period from 1983 to 2002. If capital structure adjustment is costly, firms may...
Persistent link: https://www.econbiz.de/10009024990
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Firm Characteristics, Economic Conditions and Capital Structure Adjustment
Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - Wirtschaftswissenschaftliches Zentrum, Universität Basel - 2007
We use a dynamic framework and panel methodology to investigate thedeterminants of a firms’ time-varying capital structure. Our sample comprises706 European firms from France, Germany, Italy and the U.K. overthe period from 1983 to 2002. If capital structure adjustment is costly, firmsmay...
Persistent link: https://www.econbiz.de/10009025041
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Minimizing Conditional Value-at-Risk under Constraint on Expected Value
Li, Jing; Xu, Mingxin - Volkswirtschaftliche Fakultät, … - 2009
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because … of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward … problem faced by a portfolio manager whose portfolio needs to be continuously rebalanced to minimize risk taken (measured by …
Persistent link: https://www.econbiz.de/10008694167
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FINANCIAL PERFORMANCE ANALYSIS BASED ON THE FINANCIAL STATEMENTS FOR THE COMPANIES LOCATED IN THE BIHOR - HAJDU BIHAR EUROREGION
Laurentiu, Droj - In: Annals of Faculty of Economics 1 (2012) 2, pp. 464-470
This paper will be later used within the Doctoral thesis: “The Mechanism of Financing Investment Projects by Usage of European Structural Fundsâ€, which is currently under development at the University Babeș Bolyai Cluj Napoca, Faculty of Economics and Business Management, under the...
Persistent link: https://www.econbiz.de/10010691822
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Updating the Option Implied Probability of Default Methodology
Vilsmeier, Johannes - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2011
literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose …
Persistent link: https://www.econbiz.de/10010696236
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Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
Guan, Huiqi; Liang, Zongxia - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 109-122
We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus...
Persistent link: https://www.econbiz.de/10010729667
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PROPOSAL OF A COMMON SCORING SYSTEM FOR SELECTION OF EU FUNDED PROJECTS DEVELOPED BY ROMANIAN COMPANIES
Laurentiu, Droj - In: Annals of Faculty of Economics 1 (2013) 2, pp. 372-381
Since the start of the European Union Structural Funding Programs 2007-2013, especially those focused on financing investments proposed by private companies, a big change seems to be taken place. Large numbers of companies have applied for grants within these programs and especially for funding...
Persistent link: https://www.econbiz.de/10010733844