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Financial Modelling, Simulation, and Optimisation

Dash, Mihir - 2010

A financial model is a model designed to represent in mathematical terms the relationships among the variables of a financial problem so that it can be used to make projections and/or answer ‘what if' questions. In particular, financial modeling can be combined with optimization modeling to...

Persistent link: https://www.econbiz.de/10013137358

Multi-Dimensional Risk and Mean-Kurtosis Portfolio Optimization

Stacey, James - 2009

The mean-variance portfolio optimization theory of Markowitz assumes that stock returns are distributed according to … inherently more risky than stocks with normal pdfs. This paper examines portfolio optimization using the kurtosis as a risk … fluctuations from the mean which is counter-intuitive and contrary to normal practice. It is argued that risk is multidimensional …

Persistent link: https://www.econbiz.de/10013160035

A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a … predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that …

Persistent link: https://www.econbiz.de/10012584957

Optimization algorithms for multiple-asset portfolios with machine learning techniques : theoretical foundations of optimum and coherent economic capital structures

Al Janabi, Mazin A. M. - In: Artificial intelligence and big data for financial risk …, (pp. 92-122). 2023

Persistent link: https://www.econbiz.de/10014265661

The effects of including bankruptcy on dynamic investment decisions

Novak, Frank S. - In: Journal of agricultural and resource economics : JARE ; … 19 (1994) 2, pp. 255-266

Persistent link: https://www.econbiz.de/10001176311

Risk modeling, assessment, and management

Haimes, Yacov - 2016 - Fourth Edition

"Examines the multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management … This book examines risk analysis, focusing on quantifying risk and constructing probability in conjunction with real … material (extreme events and the partitioned multi-objective risk method; multi-objective decision-tree analysis; multi …

Persistent link: https://www.econbiz.de/10011332807

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

Optimisation approach to target costing under uncertainty with application to ICT-service

Becker, Denis M.; Gaivoronski, Alexei A. - In: International journal of production research 56 (2018) 5, pp. 1904-1917

Persistent link: https://www.econbiz.de/10011872292

Uncertainty representation and risk management for direct segmented marketing

Pachamanova, Dessislava A.; Lo, Victor S.; Gülpınar, … - In: Journal of marketing management : JMM ; journal of the … 36 (2020) 1/2, pp. 149-175

Persistent link: https://www.econbiz.de/10012178695