This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...

This paper investigates weak form of efficiency in Indian equity market. For this purpose, informational efficiency of National Stock Exchange of Indian's indices i.e. NIFTY, bank NIFTY and IT NIFTY is examined. The NSE indices returns under the study do not confirm to normal distribution. The...

We propose a new Stochastic Dominance (SD) criterion based on standard risk aversion, which assumes decreasing absolute risk aversion and decreasing absolute prudence. To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a...

We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...

We develop and implement linear formulations of convex stochastic dominance relations based on decreasing absolute risk aversion for discrete and polyhedral choice sets. Our approach is based on a piecewise-exponential representation of utility and a local linear approximation to the...

This study formulates portfolio analysis in terms of Stochastic Dominance, Relative Entropy and Empirical Likelihood. We define a portfolio inefficiency measure based on the divergence between given probabilities and the nearest probabilities that rationalize a given portfolio for some...

This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key exchanges in emerging nations. The sample comprises monthly time series data from January 2017 to December 2021 for China, India, Russia, and Brazil. The study contains a version...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

Local and global quadratic hedging are alternatives to delta hedging that more appropriately address the hedging problem in incomplete markets. The objective of this article is to investigate and contrast the effectiveness of these strategies under GARCH models, both experimentally and...