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In Research of Optimal Model for Predicting Bankruptcy

Abdipoor, Sajad - 2014

In this study we tried to compare two models in order to identify optimal neural networks models in predicting bankruptcy. Multi-layered perceptron (MLP) because of easy training and high efficiency and also integrated multi-layered perceptron (most used neural network in predicting bankruptcy)...

Persistent link: https://www.econbiz.de/10013051202

Portfolio selection : a technical note

Martins, Ana Paula - 2012

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … constraint allows us to use the structure to study the behavior of a complete borrower - subject or not to liquidity constraints … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

Persistent link: https://www.econbiz.de/10011526683

The effects of including bankruptcy on dynamic investment decisions

Novak, Frank S. - In: Journal of agricultural and resource economics : JARE ; … 19 (1994) 2, pp. 255-266

Persistent link: https://www.econbiz.de/10001176311

Supply chain downsizing under bankruptcy : a robust optimization approach

Ashayeri, Jalal; Ma, Ning; Sotirov, R. - In: International journal of production economics 154 (2014), pp. 1-15

Persistent link: https://www.econbiz.de/10010386400

Optimal Order Size in Pro-Rata Markets

Aldridge, Irene - 2014

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Persistent link: https://www.econbiz.de/10013061277

Optimal solution of the liquidation problem under execution and price impact risks

Mariani, Francesca; Fatone, Lorella - In: Quantitative finance 22 (2022) 6, pp. 1037-1049

Persistent link: https://www.econbiz.de/10013367883

Dual optimization problem on defaultable claims

Goutte, Stéphane; Ngoupeyou, Armand - In: Mathematical economics letters 1 (2013) 2/4, pp. 47-54

Persistent link: https://www.econbiz.de/10010437851

Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact

Ishitani, Kensuke - 2015

We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a...

Persistent link: https://www.econbiz.de/10013036036

Optimal Securitization of Credit Portfolios via Impulse Control

Seydel, Roland C. - 2010

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line with reality we assume that there are non-negligible...

Persistent link: https://www.econbiz.de/10013135270

Reconciling Factor Optimization with Portfolio Constraints

Gnedenko, Boris - 2017

all feasible portfolios using tracking error as a distance measure. Doing so helps align alpha and risk factors in …

Persistent link: https://www.econbiz.de/10012973146