The possibility to minimize volatility, while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model - extendet by a parameter gamma - seems to be more qualified for this reason. An...

The approach shows the scientific background of eliminating the market risk of an optimized portfolio and the use of marginal probabilities of ruin for optimized amounts of investments.For this reason the mathematical expectations of the parameters of the market model in the portfolio result to...

Stakeholder ideas of the late twentieth century challenged the doctrine that corporate managers work exclusively for the interests of equity owners. Yet markets have long been delivering alternative models where workers, customers or suppliers own the firm and run it in their interests....

Life insurers hold the majority of private debt. Lenders in the private debt market must have the ability to evaluate the credit quality of borrowers and to perform ongoing risk monitoring. The relatively low liquidity of private debt and renegotiation potential enhances the value of a long-term...

BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars of relative political, economic and financial stability, with the prospect of a major shift in future world power. The paper aims at investigating the relationships among the economic, financial and political...

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

We characterize a firm as a nexus of activities and projects with their associated cashflows. Production and operations activities and real risk management activities distribute cashflows over states of nature and time periods, leading to a transformation possibility frontier similar to a...

This paper examines the choice of tools for managing a firm’s operational risks: cash reserves, insurance contracts, and financial assets under an optimal financing contract that solves moral hazard between insiders and outside investors. Risk management is valuable as it reduces the costs of...