In this paper we consider the problem of selecting an absolute return portfolio. This is a portfolio of assets that is designed to deliver a good return irrespective of how the underlying market (typically as represented by a market index) performs. We present a three-stage mixed-integer...

When a corporation borrows from a non-domestic source, such as the Eurobond market, it is obliged to make interest payments in a foreign currency at pre-determined periods throughout the life of the loan. By doing this the corporation incurs an exchange risk which may outweigh any advantages of...

The ARARMA methodology of time series forecasting introduced by Parzen has compared well with longer established techniques such as Box and Jenkins ARIMA models in the results of a major forecasting competition. The two main differences between these methodologies are the way data is transformed...