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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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Optimising a Mining Portfolio Using CVaR
Allen, David E. - 2012
The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining share portfolios from each of the world's seven leading mining areas using Conditional Value at Risk (CVaR) which measures those risks beyond traditional Value at Risk (VaR)...
Persistent link: https://www.econbiz.de/10013113404
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Optimally Solving Banks' Legacy Problems
Segura, Anatoli - 2019
banks with legacy problems. Non-performing loans (NPLs) with low and risky returns create a debt overhang that induces bank … lending but, as they force bank owners to absorb losses, can also make them prefer the bank being resolved. For severe legacy …
Persistent link: https://www.econbiz.de/10012864905
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Optimally Solving Banks’ Legacy Problems
Segura, Anatoli; Suárez, Javier - 2021
banks with legacy problems. Non-performing loans (NPLs) with low and risky returns create a debt overhang that induces bank … lending but, as they force bank owners to absorb losses, can also make them prefer the bank being resolved. For severe legacy …
Persistent link: https://www.econbiz.de/10013315059
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Coordinating supply chains with uncertain production cost by incomplete contracts
Zhao, Shouting; Zhang, Juliang; Cheng, T. C. E. - In: International journal of production research 60 (2022) 4, pp. 1386-1410
Persistent link: https://www.econbiz.de/10013170856
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Optimal Network Compression
Amini, Hamed - 2020
formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We …
Persistent link: https://www.econbiz.de/10012825191
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An integrated shortfall measure for Basel III
Torchiani, Ingo; Heidorn, Thomas; Schmaltz, Christian - 2017
suggest measuring the efforts a bank has to make to reach compliance as an additional portfolio which is derived from a …
Persistent link: https://www.econbiz.de/10011722654
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Interest Rate Risk Management by Indian Scheduled Commercial Banks : Evidence Using Linear Programming Problem and Panel Data Analysis
Jindal, Padmini - 2016
This paper intends to explore one of the relatively less highlighted area viz. interest rate risk management by Indian banks with a view to providing an innovative edge to the specific area in the Indian context. Firstly, the paper aims at building empirical relationships between the average...
Persistent link: https://www.econbiz.de/10013007994
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A Linear Programming Model for Assessing Asset-Liability Management in Banks
Dash, Mihir - 2010
bank, considering the different bank management objectives and the legal, managerial and market constraints, for the … purpose of enhancing the value of the bank, providing liquidity, and mitigating interest rate risk (Gup and Brooks, 1993). An …-liability management of different bank groups, in terms of its implications on profitability, liquidity, and interest rate sensitivity …
Persistent link: https://www.econbiz.de/10013148581
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Analyzing Firm Performance in the Insurance Industry Using Frontier Efficiency and Productivity Methods
Cummins, J David - 2014
The objective of this paper is to discuss the use of modern frontier efficiency analysis to analyze firm performance in the insurance industry. The objective is to provide the foundations for insurance economists to use in adapting their research to incorporate the frontier efficiency approach....
Persistent link: https://www.econbiz.de/10013066707