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Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

CLO replenishment regarded as linear optimisation problem

Becker, Claas - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 53-62

Persistent link: https://www.econbiz.de/10011997097

Die Optimierung des Kreditportfolios : ein Modell zur optimalen Gestaltung des Kreditportfolios mithilfe aktiver Steuerungsinstrumente

Geidt-Karrenbauer, Ulrike - 2010

Persistent link: https://www.econbiz.de/10003929052

Optimising a bank's credit portfolio

Afful, Annshirley Aba; Asare, Michael Kofi; Afful, … - In: International journal of applied management science 8 (2016) 1, pp. 68-82

Persistent link: https://www.econbiz.de/10011592357

Truncating Optimism

Kaplan, Zachary - 2019

I/B/E/S removes 6% of one-quarter-ahead earnings forecasts from the calculation of the consensus forecast. This study examines managers' role in these removals. We show optimistic forecasts are removed more often than pessimistic forecasts, after controlling for removal policies that I/B/E/S...

Persistent link: https://www.econbiz.de/10012898780

Optimal Multiattribute Screening

Weber, Thomas A. - 2016

We provide a technique for constructing optimal multiattribute screening contracts in a general setting with one-dimensional types based on necessary optimality conditions. Our approach allows for type-dependent participation constraints and arbitrary risk profiles. As an example we discuss...

Persistent link: https://www.econbiz.de/10012978605

Truncating Optimism

Kaplan, Zachary; Martin, Xiumin; Xie, Yifang - 2021

Consensus estimates, formed by taking an average of analyst forecasts, play an important role in capital markets (e.g., provide investors with a proxy for earnings expectations). We show I/B/E/S, a prominent information intermediary, removes 6% of one-quarter-ahead earnings forecasts before...

Persistent link: https://www.econbiz.de/10013311229

Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm

Drenovak, Mikica; Rankovic, Vladimir; Urošević, Branko; … - 2021

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...

Persistent link: https://www.econbiz.de/10013215136

Centralized clearing mechanisms in financial networks : a programming approach

Csóka, Péter; Herings, Peter Jean-Jacques - 2022

We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing … lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how … decentralized clearing selects the least clearing payment matrix. We present a centralized approach towards clearing in order to …

Persistent link: https://www.econbiz.de/10013173929

Zur Rolle einer optimierten Verteilung von Sicherheiten im Risikomanagement : Motivation, Modellierung und Implikationen

Börstler, Daniel; Mölls, Sascha H. - 2010

Persistent link: https://www.econbiz.de/10008773242