In delegated portfolio management, we formulate a central-planned portfolio selection problem by multi-objective programming (utilities of the investor and the manager) to study the Pareto optimal portfolio and find Pareto improvement. First, we solve out two cases of the closed-form Pareto...

We propose and estimate a quantitative model of exchange rates in which the participantsin the FX market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatilitytranslates into tighter VaR constraints, and intermediaries require higher returns to holdforeign assets....

In this paper we propose a statistically derived measure as an alternative to the simple average PD to provide more accurate risk assessment at portfolio level. The theoretical analysis is followed by a numerical example in sections 3 and 4. We then assess the accuracy and representativeness...

Europe has became the new epicentre of the COVID-19 pandemic, according to the WHO on 13th March 2020. Sums and ratios of death and confirmed cases were reported daily, however, such statistics vary significantly by country and it is therefore challenging to understand and measure the risk and...

ASEAN's unprecedented economic growth in recent years has required access to an uninterrupted energy supply across the region. As it plans to ensure a 20% energy intensity reduction by 2020 and 30% by 2025, ASEAN must realize and harness the benefits of energy efficiency and optimize its use for...