We study the problem of how to design a sparse flexible process structure in a balanced and symmetrical production system to match supply with random demand more effectively. Our goal is to provide an optimal design, i.e., the sparsest design, to achieve (1-ε)-optimality relative to the fully...

This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio value-at-risk (VaR). The empirical analysis is based on the daily return series for the Taiwan stock market index and two associated futures contracts. The sample period for the daily data covers...

This paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive...

This paper contributes to apply the time-varying symmetrized Joe-Clayton copula to study the dynamic linkage among possible safe haven assets in the international major markets over the past 34 years. We re-examine four major asset types (long-term government bond, equity index, oil, and gold)...

This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

This paper introduces the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments...

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...