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 discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by...

Financial-economic decisions are normally aimed at making decisions consciously, with a clear and permanent drive to good, better or even optimal decisions. Unfortunately, many decisions in practice are at least partially flawed, despite the availability of financial economic theory, decision...

Most financial-economic decisions are made consciously, with a clear and constant drive to ???good???, ???better??? or even ???optimal??? decisions. Nevertheless, many decisions in practice do not earn these qualifications, despite the availability of financial economic theory, decision sciences...

For people working in finance, either in academia or in practice or in both,the combination of ?finance? and ?multiple criteria? is not obvious. However,we believe that many of the tools developed in the field of MCDM can contribute both to the quality of the financial economic decision...

We demonstrate the usefulness of Data Envelopment Analysis (DEA) as an analytical procedure for auditors, especially in the planning stage of the audit, to determine the extent of audit and to assess the preliminary risk level of the client. DEA based analytical procedures can provide consistent...

For people working in finance, either in academia or in practice or in both, the combination of ?finance? and ?multiple criteria? is not obvious. However, we believe that many of the tools developed in the field of MCDM can contribute both to the quality of the financial economic decision making...

We derive empirical tests for stochastic dominance that allow for diversification between choice alternatives. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test...

Most financial-economic decisions are made consciously, with a clear and constant drive to "good", "better" or even "optimal" decisions. Nevertheless, many decisions in practice do not earn these qualifications, despite the availability of financial economic theory, decision sciences and ample...

Différentes études théoriques et empiriques ont déterminé les raisons pour lesquelles les entreprises décident de gérer leurs risques financiers. Les hypothèses qui les sous-tendent et les principaux résultats auxquels elles ont abouti sont synthétisés dans cet article. Ces études...