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A real options perspective on R&D portfolio diversification
Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008
This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...
Persistent link: https://www.econbiz.de/10011373815
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
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Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322235
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Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates
Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14
In this research, the concept of Duration with a new application in project management has been defined. The Duration of each project provides the project manager with a combined measure containing concepts of return, cost and time of the project. Further in this article, the changes in project...
Persistent link: https://www.econbiz.de/10012126909
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Value at risk models in Indian markets : a predictive ability evaluation study
Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838
Persistent link: https://www.econbiz.de/10012214623
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Strategic asset management : a differentiating strategy to enhance a competitive advantage of petrochemical companies
Ntlaba, Makama Ephraim; Ncube, Ozias - In: International journal of business and economics … 3 (2014) 3, pp. 118-127
Persistent link: https://www.econbiz.de/10010428101
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Reliability of seismic performance assessments for individual buildings and portfolios
Thiel, Charles C.; Zsutty, Theodore C.; Lee, Yajie J. - In: Risks : open access journal 9 (2021) 7, pp. 1-46
uncertainties for such assessments. The essential issue is whether or not there is sufficient reliability in the result to use the … developed for evaluating the reliability of performance and/or loss assessments for both individual and portfolios of buildings … reliability measure is likely to be most useful for determining whether/or not a building has acceptable life safety performance …
Persistent link: https://www.econbiz.de/10012598979
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Selection of markets for textile export using the adequate portfolio
Stasytytė, Viktorija; Rutkauskas, Aleksandras Vytautas; … - In: Management : journal of contemporary management issues 26 (2021) 2, pp. 255-276
Persistent link: https://www.econbiz.de/10013502500
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Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations
Barnhill, Theodore M.; Souto, Marcos Rietti - 2008
stochastic volatilities and correlations. We demonstrate the reliability of the models by comparing simulated and historical …
Persistent link: https://www.econbiz.de/10010295950
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Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection
Elkamhia, Redouane; Stefanova, Denitsa - 2011
We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...
Persistent link: https://www.econbiz.de/10010326016