Журнал продолжает публикацию консультации Дйана Фантаццини, посвященной эконометрическому анализу финансовых данных в задачах управления риском. В данном...

The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country’s cost of borrowing and debt...

The bottom-up route to portfolio diversification is clear: combining individual assets into a portfolio will lower portfolio risk. The top-down route of evaluating individual assets from the perspective of the diversified portfolio is widely applied in risk budgeting but neglected in return...

We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...

This note studies the influence of a financial transaction tax and transaction costs on the optimal production and hedging strategies of a duopoly. Firms are exposed to demand uncertainty that leads to price risk and can hedge their risk exposure on a forward market. However, the forward...

Purpose: The purpose of our paper is to analyze optimal purchasing strategies when a manufacturer can buy raw materials from a long-term contract supplier and a spot market under spot price uncertainty. Design/methodology/approach: This procurement model can be solved by using dynamic...