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Hermes: an Ontology-Based News Personalization Portal

Borsje, Jethro; Levering, Leonard; Embregts, Hanno; … - 2007

Nowadays, news feeds provide Web users with access to an unlimited amount of news items, however only a subset of them is relevant. Therefore, users should be able to select the most relevant concepts, about which they want to retrieve news. Although keyword search engines provide users with the...

Persistent link: https://www.econbiz.de/10015216251

Use of put options as insurance

Bell, Peter - 2011

An important question in insurance is the amount of coverage to purchase. A standard microeconomic model for insurance shows that full insurance is optimal. I present a different model where the decision variable is the number of put options and show that full insurance is still optimal, but the...

Persistent link: https://www.econbiz.de/10015226661

Managing sovereign credit risk in bond portfolios

Bruder, Benjamin; Hereil, Pierre; Roncalli, Thierry - 2011

risk measure. We then compare all these methods in terms of risk, diversification and performance. We show that the risk …

Persistent link: https://www.econbiz.de/10015230646

Understanding the Impact of Weights Constraints in Portfolio Theory

Roncalli, Thierry - 2010

In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is equivalent to use a shrinkage estimate of the covariance...

Persistent link: https://www.econbiz.de/10015230696

Managing risk exposures using the risk budgeting approach

Bruder, Benjamin; Roncalli, Thierry - 2012

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is therefore assumed to be more robust. In 2011, it has...

Persistent link: https://www.econbiz.de/10015230974

Tracking problems, hedge fund replication and alternative beta

Roncalli, Thierry; Weisang, Guillaume - 2008

As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, it faced many critics. In this paper, we consider three of the main critiques, namely the...

Persistent link: https://www.econbiz.de/10015231045

Managing risk exposures using the risk budgeting approach

Bruder, Benjamin; Roncalli, Thierry - 2012

Persistent link: https://www.econbiz.de/10015231263

Risk Parity Portfolios with Risk Factors

Roncalli, Thierry; Weisang, Guillaume - 2012

, diversification has spawn much interest and has been defined very differently. In this paper, we analyze a method to achieve portfolio … diversification based on the decomposition of the portfolio's risk into risk factor contributions. First, we expose the relationship … between risk factor and asset contributions. Secondly, we formulate the diversification problem in terms of risk factors as an …

Persistent link: https://www.econbiz.de/10015235485

Real Exchange Rate Dynamics Beyond Business Cycles

Cao, Dan; Evans, Martin; Lua, Wenlan - 2020

We examine how medium-term movements in real exchange rates and GDP vary with international financial conditions. For this purpose, we study the international transmission of productivity shocks across a variety of IRBC models that incorporate different assumptions about the persistence of...

Persistent link: https://www.econbiz.de/10015266714

Reforma da Administração Pública: Antes e Depois da Democracia

Martins, J. Albuquerque - 2008

After the micro politics, the complexity of the “public management”, polity and policies, is the same of the “private management” or the management of the others sectors of the social production reality. The science of management it is not defined by products, functions, sectors and so...

Persistent link: https://www.econbiz.de/10015268359