The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...

This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...

Financial institutes have to be in a position to describe and to analyze the networks of obligors in their credit portfolios. If one obligor defaults who is numerously connected with other obligors in the portfolio there can be effects of credit contagion. We suggest a graph-based modeling of...

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

This technical note proves a simple mathematical relationship between the return on assets (ROA) of financial accounting standards and the return on investments (ROI) of investment performance standards. We show why this relationship is needed by users of APRA data to convert ROA to ROI for...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Optimal capacity allocation for investments in electricity generation assets can be deterministically derived by comparing technology specific long-term and short-term marginal costs. In an uncertain market environment, Mean-Variance Portfolio (MVP) theory provides a consistent framework to...

In this article we discuss welfare-optimal capacity allocation of different electricity generation technologies available for serving system demand. While the classical peak load pricing theory derives the efficient portfolio structure from a deterministic marginal production cost curve ("merit...

Optimal capacity allocation for investments in electricity generation assets can be deterministically derived by comparing technology specific long‐term and short‐term marginal costs. In an uncertain market environment, Mean‐Variance Portfolio (MVP) theory provides a consistent framework...