We provide a simple and explicit construction of a family of stochastic exponentials with expectation k$/in$(0,1). Our family of stochastic exponentials can be constructed to be either strictly positive of merely non-negative

We solve the optimal asset allocation problem for an insurer or pension fund by using a benchmarking approach. Under this approach the objective is an increasing function of the relative performance of the asset portfolio compared to a benchmark. The benchmark can be, for example, a function of...

We provide a simple and explicit construction of a family of stochastic exponentials with expectation k[set membership, variant](0,1). Our family of stochastic exponentials can be constructed to be either strictly positive or merely non-negative.

The Swiss model of retirement savings and benefits distinguishes itself in several aspects. The system is successful in encouraging substantial savings, which are exonerated from tax and guaranteed. The associated market risk is not transferred to the individuals. From an international...

Exploiting embedded supply-chain real options creates powerful opportunities for competitive manufacturing in high-cost environments. Rather than seeking competitiveness through standardization as is common to lean production, real-options reasoning explores opportunities to use supply-chain...