The aim of this paper is twofold; first we concentrate on the work of Vasicek (1977) and Cox, Ingersoll and Ross (1985). We examine and test empirically each model and discuss its performance in predicting the term structure of interest rates using a parametric estimating approach GMM...

This exploratory research examines and models the financial distress prediction using neural network approach. The study is based on financial ratios. Nine different neural network models are constructed to test the predictive capability of the models by considering: (1) the impact of time...

This study employs the mean-variance (MV) criterion, Capital Asset Pricing Model (CAPM) statistics and stochastic dominance (SD) analysis to investigate the performance of option strategies, including writing out-of-the-money (OTM) covered call and buying in-the-money (ITM) protective put, with...

The aim of this paper is twofold. It is first to evaluate the comparative performance of ten MENA (Middle East and North Africa) countries according to GDP growth and stock market return indicators using the non-parametric stochastic dominance approach. We will then use a multivariate vector...

The purpose of this paper is to study the portfolio choice problem in the presence of a mixture of barriers to international investment from the view point of G-7 investors. We suggest a methodology based on a combination of the Analytic Hierarchy Process (AHP) and the weighted goal programming...

This paper presents the application of a Goal Programming (GP) model to develop an Asset Liability Management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach the objective, the paper...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...