Similar Search Results

A dynamic Stackelberg game model for portfolio procurement

Shi, Yuan; Qu, Ting; Chu, LK - In: Industrial Management & Data Systems 116 (2016) 3, pp. 350-368

Purpose – The purpose of this paper is to propose a portfolio procurement framework to response to uncertain customer demand and purchasing price volatility in a simultaneous manner. Then it aims to obtain optimal procurement and production decisions under the portfolio framework to maximize...

Persistent link: https://www.econbiz.de/10014825802

Using downside risk in evaluating the performance of Malaysian mutual funds

Tavakoli Baghdadabad, Mohammad Reza; Fooladi, Masood - In: International Journal of Emerging Markets 10 (2015) 3, pp. 427-447

Purpose – The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition....

Persistent link: https://www.econbiz.de/10014788790

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) 3, pp. 247-270

Purpose – This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M‐DRM) based on the modern portfolio theory. The purpose is to report...

Persistent link: https://www.econbiz.de/10014785582

Assessing some stylized facts about financial market indexes: a Markov copula approach

Candido Silva Filho, Osvaldo; Augusto Ziegelmann, Flavio - In: Journal of Economic Studies 41 (2014) 2, pp. 253-271

volume and returns and volatility of financial market indexes using time-varying copulas. Design/methodology/approach – The …

Persistent link: https://www.econbiz.de/10014864300

The risk of model misspecification and its impact on solvency measurement in the insurance sector

Schmeiser, Hato; Siegel, Caroline; Wagner, Joël - In: The Journal of Risk Finance 13 (2012) 4, pp. 285-308

Purpose – The purpose of this paper is to study the risk of misspecifying solvency models for insurance companies. Design/methodology/approach – Based on a basic solvency model, the authors examine the sensitivity of different risk measures with respect to model misspecification. An analysis...

Persistent link: https://www.econbiz.de/10014901611

Implications of within county yield heterogeneity for modeling crop insurance premiums

Cooper, Joseph; Zulauf, Carl; Langemeier, Michael; … - In: Agricultural Finance Review 72 (2012) 1, pp. 134-155

Purpose – Farm level data are essential to accurate setting of crop insurance premium rates, but their time series tends to be too short to allow them to be the sole data source. County level data are available in longer time series, however. The purpose of this paper is to present a...

Persistent link: https://www.econbiz.de/10014667140

The use of copulas in explaining crop yield dependence structures for use in geographic diversification

Larsen, Ryan; W. Mjelde, James; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013) 3, pp. 469-492

Purpose – What copulas are, their estimation, and use is illustrated using a geographical diversification example. To … using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to … parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall …

Persistent link: https://www.econbiz.de/10014667333

Are agribusiness stocks an investor safe haven?

M. D’Antoni, Jeremy; Dean Detre, Joshua - In: Agricultural Finance Review 74 (2014) 4, pp. 522-538

concern to investors. To the authors’ knowledge, this is the first paper that uses copulas to evaluate the role of …

Persistent link: https://www.econbiz.de/10014667502

Geographical diversification in wheat farming: a copula-based CVaR framework

Larsen, Ryan; Leatham, David; Sukcharoen, Kunlapath - In: Agricultural Finance Review 75 (2015) 3, pp. 368-384

several tools from modern finance theory, including Conditional Value-at-Risk (CVaR) and copulas, to construct a model for the …

Persistent link: https://www.econbiz.de/10014667550

Liberty-Progress-Individualism. On the relationship between Christianity and Liberalism in the Nineteenth Century

Klos, Jan - In: Journal des �conomistes et des �tudes Humaines 13 (2003) 2

sought to reflect on freedom, individualism and progress, and often paid dearly for any utopian misinterpretations in this …

Persistent link: https://www.econbiz.de/10014612468