The estimation procedures for the parameters of a diffusion process with constant coefficients have mainly focused on volatility. Nevertheless, even if the knowledge of the volatility alone suffices to compute the Black and Scholes option prices, other financial application models assume that...

In this paper we consider the problem of determining approximations for distortion risk measures of sums of non-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds for sums of random variables. Then, we examine...

The purpose of our paper is the construction of a multidimensional ethical rating model, based on many items that represent the most significant Corporate Social Responsibility drivers of the banks. The items considered have been drawn from literature and from corporate reporting and websites of...

The main goal of this research is to analyze Italian tourists' behaviors on the basis of statistical surveys on households, life conditions, incomes, consumptions, travels and vacation. Rough Sets Theory, a Data Mining technique that can easily manage also categorical variables, is suitable for...

This contribution studies the role of the size of mutual funds in the evaluation of the fund performance with a data envelopment analysis (DEA) approach, with the aim of studying the issue from different angles and with different statistical tools and of testing the presence of economies or...

In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis (DEA) and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds.

In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds. In the...

Purpose – The objective of this paper is to highlight the results of a survey on compliance practices in Italian financial institutions (Italian banks and branches in Italy of foreign banks). Design/methodology/approach – The survey is carried out through a structured questionnaire, arranged...

This contribution presents a network of interdependent firms in which the spatial diffusion of the business relations is described by an entropy spatial interaction model. This network is used in a credit risk model in order to take into account the counterparty risk and describe the resulting...