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Efficiency-stability trade-off in financial systems: a multi-objective optimization approach

Alexandre, Michel; Michalak, Krzystof; Silva, Thiago … - 2022

Persistent link: https://www.econbiz.de/10013461268

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

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

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

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

Finding an Optimal Approval Strategy in Credit Scoring System Using Genetic Algorithm

Roh, Hyunwoo; Kim, Youngwoo; Jeong, Seungwoo - 2023

The purpose of this study is to build a system that automatically generates an optimal strategy (AGOS) which can solve the business problem of maximizing the acceptance rate without taking more risks in loan approval process. This paper formulates the finding an optimal approval strategy of a...

Persistent link: https://www.econbiz.de/10014350326

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and … expected utility function. The novelty of the results consists of the new Hawkes-based models and in the new optimal investment …

Persistent link: https://www.econbiz.de/10012598381

Interest Rate Risk Management by Indian Scheduled Commercial Banks : Evidence Using Linear Programming Problem and Panel Data Analysis

Jindal, Padmini - 2016

This paper intends to explore one of the relatively less highlighted area viz. interest rate risk management by Indian banks with a view to providing an innovative edge to the specific area in the Indian context. Firstly, the paper aims at building empirical relationships between the average...

Persistent link: https://www.econbiz.de/10013007994

A bi-level programming approach for global investment strategies with financial intermediation

Benita, Francisco; López-Ramos, Francisco; Nasini, Stefano - In: European journal of operational research : EJOR 274 (2019) 1, pp. 375-390

Persistent link: https://www.econbiz.de/10011990077

Financial valuation of start-up businesses with and without venture capital

Lerm, Michael; Rollberg, Roland; Kurz, Peter - In: International journal of entrepreneurial venturing 4 (2012) 3, pp. 257-275

Persistent link: https://www.econbiz.de/10009674684

Modelling development of voluntary pension fund using mathematical model of approximation with lagrange interpolation polynomials

Radojković, Ivan; Ranđelović, Branislav; Ilić, Ivana - In: Ekonomske teme 59 (2021) 2, pp. 243-257

fund, investment of free funds, and ultimately programmed payments - pensions. The stability in the voluntary pension funds … and the predictability of payments allow the quality of investment portfolio to be formed and achieve a long-term yield of … investment. In this paper, we implement a well-known approximation method of Lagrange polynomial interpolation. We use it in …

Persistent link: https://www.econbiz.de/10012888072

Post-Retirement Financial Planning with Discrete Dynamic Programming : A Practical Approach

Ding, Jie - 2010

a regime switching investment model, while taking into account mortality and realistic age pension means testing. The … investment return distribution assumed, and provide superior outcome compared to constant consumption and investment rules … investment strategy is found to depends essentially on current market states only. Base investment strategies on retiree's age …

Persistent link: https://www.econbiz.de/10013138984

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Persistent link: https://www.econbiz.de/10012928166