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An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions
Bookstaber, Richard; Clarke, Roger - In: Management Science 29 (1983) 4, pp. 419-429
investment managers. The potential of options in forming portfolio return distributions that are more consistent with investor … preferences has been well developed, but determining the actual effect of options on portfolio returns remains a complex and … result when option positions are taken on stocks in a portfolio. The distribution is determined for a finite time horizon …
Persistent link: https://www.econbiz.de/10009192021
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Developing cost-effective inspection sampling plans for energy-efficiency programs at Southern California Edison
So, Kut C.; Wu, Edward - In: Interfaces : the INFORMS journal on the practice of … 46 (2016) 6, pp. 522-532
Persistent link: https://www.econbiz.de/10011626280
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Multiattribute Bayesian Acceptance Sampling Plans Under Nondestructive Inspection
Tang, Kwei; Plante, Robert; Moskowitz, Herbert - In: Management Science 32 (1986) 6, pp. 739-750
A methodology for determining optimal sampling plans for Bayesian multiattribute acceptance sampling models is developed. Inspections are assumed to be nondestructive and attributes are classified as scrappable or screenable according to the corrective action required when a lot is rejected on a...
Persistent link: https://www.econbiz.de/10009209121
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Monitoring an Input-Output Model for Production. I. The Control Charts
Jensen, D. R.; Hui, Y. V.; Ghare, P. M. - In: Management Science 30 (1984) 10, pp. 1197-1206
Control charts are given for monitoring an input-output model against changes in form, against changes in its coefficients, and against changes in process variance. When a process is not in control due to changes in some coefficients, monitoring shifts to a diagnostic mode to identify the...
Persistent link: https://www.econbiz.de/10009204207
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A One-Sided Double Screening Procedure Using Individual Unit Misclassification Error
Moskowitz, Herbert; Tsai, Hsien-Tang - In: Management Science 34 (1988) 9, pp. 1139-1153
A double screening procedure (DSP), which controls for individual unit misclassification error (IME) as well as average outgoing quality (AOQ), for quality control applications is developed. Screening involves selecting items whose performance is within specifications based on observing one or...
Persistent link: https://www.econbiz.de/10009204507
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Multivariate Stratified Sampling by Optimization
Mulvey, John M. - In: Management Science 29 (1983) 6, pp. 715-724
An important, recurring problem in statistics involves the determination of strata boundaries for use in stratified sampling. This paper describes a practical method for stratifying a population of observations based on optimal cluster analysis. The goal of stratification is constructing a...
Persistent link: https://www.econbiz.de/10009191702
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Zur Notwendigkeit des Corporate Portfolio Management: Eine Würdigung der wissenschaftlichen Forschung der letzten vier Jahrzehnte
Nippa, Michael - 2011
Diversifikations- und M&A-Forschung wird dem Corporate Portfolio Management (CPM) und CPM Instrumenten seit den 1980er Jahren kaum … portfolio management (CPM) and CPM tools receive considerably less regard since the 1980s, as our review of the literature in …
Persistent link: https://www.econbiz.de/10010307742
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Zur Notwendigkeit des Corporate Portfolio Management: Eine Würdigung der wissenschaftlichen Forschung der letzten vier Jahrzehnte
Nippa, Michael - Fakultät Wirtschaftswissenschaften, Technische … - 2011
Diversifikations- und M&A-Forschung wird dem Corporate Portfolio Management (CPM) und CPM Instrumenten seit den 1980er Jahren kaum … portfolio management (CPM) and CPM tools receive considerably less regard since the 1980s, as our review of the literature in …
Persistent link: https://www.econbiz.de/10009422081
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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …
Persistent link: https://www.econbiz.de/10010295895
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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations
Schmidt, Daniel - 2003
a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …
Persistent link: https://www.econbiz.de/10010298259