Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah
| 6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah |
| Pubbl/distr/stampa | Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 |
| Descrizione fisica | 1 online resource (797 p.) |
| Altri autori (Persone) | BellalahMondher |
| Soggetto topico |
Financial crises
Financial institutions, International - Management Financial risk management International finance |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4438-3312-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
TABLE OF CONTENTS; PART 1; THE PERFORMANCE OF HYBRID MODELS IN THE ASSESSMENT OF DEFAULT RISK; EXCESS VOLATILITY AND BEHAVIOURAL FEATURES SURROUNDING THE CRISIS PERIOD; BASEL III; "PSYCHOMETRIC" INDICES AND THE PREDICTION OF FINANCIAL BUBBLES; THE GOVERNANCE OF PORTS IN THE MEDITERRANEAN; SOLVENCY AND VALUATION OF BANKS; PART 2; WHAT DRIVES IFDIS IN THE NIGERIAN BANKING INDUSTRY?; IMPACT OF MACROECONOMIC FACTORS ON STOCK EXCHANGE PRICES; OIL PRICE FLUCTUATIONS AND EQUITY RETURNS IN NET OIL-EXPORTING COUNTRIES; THE INFLUENCE OF INSTITUTIONAL HOLDINGS ON THE STRATEGIC ORIENTATIONS OF BUSINESSES
BACK TO ACCOUNTING BASICS FINANCIAL CRISIS? FOR AN OPTIMISTIC VIEW OF GROWTH; PART 3; VALUABLE DECISIONS AND INFORMATION; TEST OF THE CUMULATIVE PROSPECTS THEORY; A SCENARIO-BASED APPROACH TO EVALUATE SUPPLY CHAIN NETWORKS; VOLATILITY SPILLOVER AMONG ISLAMIC AND OTHERS; THE MULTIPLE STRADDLE CARRIER ROUTING PROBLEM; PART 4; SOVEREIGN DEBT CRISIS AND CREDIT DEFAULT SWAPS; BOND SENSITIVITIES AND INTEREST RATE RISKS; CREDIT CRISIS AND THE COLLAPSE OF ARS MARKET; BEYOND THE EMU CRISIS; THE IMPACT OF THE QUALITATIVE FACTORS ON ETHICS JUDGMENTS OF MATERIALITY IN AUDIT; PART 5 DOES CO-INTEGRATION AND CAUSAL RELATIONSHIP EXIST BETWEEN THE NON-STATIONARY VARIABLES FOR CHINESE BANKS PROFITABILITY? EMPIRICAL EVIDENCEINTERACTIONS BETWEEN FREE CASH FLOW, DEBT POLICY AND STRUCTURE OF GOVERNANCE; FINANCING CONSTRAINTS THEORY; THE DETERMINANTS OF THE NEW VENTURE DECISION IN TUNISIA; COMPARABILITY OF FINANCIAL INFORMATION AND SEGMENTAL REPORTING; PART 6; THE KNOWLEDGE STRUCTURE OF FRENCH MANAGEMENT CONTROL RESEARCH; ANALYSIS OF MANAGERS' USE OF MANAGEMENT ACCOUNTING; "THE DRAFT AMENDMENT TO STANDARD IAS18 REGARDING THE CAPITALIZATION OF PROCEEDS FROM NORMAL ACTIVITIES" MANAGEMENT CONTROL THROUGH COMMUNICATION ORGANIZATIONAL LEARNING AND KNOWLEDGE DEVELOPMENT PECULIARITIES IN SMALL AND MEDIUM FAMILY ENTERPRISES; THE CASE AS A RESEARCH TOOL IN MANAGEMENT SCIENCES; PART 7; SYARIAH ACCOUNTING AND COMPLIANT SCREENING PRACTICES; ISLAMIC FINANCE, ENERGY SECTOR AND FINANCIAL INNOVATIONS; SUKUKS; THE PERFORMANCE OF ISLAMIC CAPITAL MARKET AND MAXIMIZATION OF THE WEALTH OF SHARE HOLDERS AND VALUE OF COMPANY; ISLAMIC FINANCE OUTSIDE THE MUSLIM WORLD; A COMPARISON OF LEVERAGE AND PROFITABILITY BETWEEN ISLAMIC AND CONVENTIONAL BANKS |
| Record Nr. | UNINA-9910462895903321 |
| Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah
| 6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah |
| Pubbl/distr/stampa | Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 |
| Descrizione fisica | 1 online resource (797 p.) |
| Altri autori (Persone) | BellalahMondher |
| Soggetto topico |
Financial crises
Financial institutions, International - Management Financial risk management International finance |
| ISBN | 1-4438-3312-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
TABLE OF CONTENTS; PART 1; THE PERFORMANCE OF HYBRID MODELS IN THE ASSESSMENT OF DEFAULT RISK; EXCESS VOLATILITY AND BEHAVIOURAL FEATURES SURROUNDING THE CRISIS PERIOD; BASEL III; "PSYCHOMETRIC" INDICES AND THE PREDICTION OF FINANCIAL BUBBLES; THE GOVERNANCE OF PORTS IN THE MEDITERRANEAN; SOLVENCY AND VALUATION OF BANKS; PART 2; WHAT DRIVES IFDIS IN THE NIGERIAN BANKING INDUSTRY?; IMPACT OF MACROECONOMIC FACTORS ON STOCK EXCHANGE PRICES; OIL PRICE FLUCTUATIONS AND EQUITY RETURNS IN NET OIL-EXPORTING COUNTRIES; THE INFLUENCE OF INSTITUTIONAL HOLDINGS ON THE STRATEGIC ORIENTATIONS OF BUSINESSES
BACK TO ACCOUNTING BASICS FINANCIAL CRISIS? FOR AN OPTIMISTIC VIEW OF GROWTH; PART 3; VALUABLE DECISIONS AND INFORMATION; TEST OF THE CUMULATIVE PROSPECTS THEORY; A SCENARIO-BASED APPROACH TO EVALUATE SUPPLY CHAIN NETWORKS; VOLATILITY SPILLOVER AMONG ISLAMIC AND OTHERS; THE MULTIPLE STRADDLE CARRIER ROUTING PROBLEM; PART 4; SOVEREIGN DEBT CRISIS AND CREDIT DEFAULT SWAPS; BOND SENSITIVITIES AND INTEREST RATE RISKS; CREDIT CRISIS AND THE COLLAPSE OF ARS MARKET; BEYOND THE EMU CRISIS; THE IMPACT OF THE QUALITATIVE FACTORS ON ETHICS JUDGMENTS OF MATERIALITY IN AUDIT; PART 5 DOES CO-INTEGRATION AND CAUSAL RELATIONSHIP EXIST BETWEEN THE NON-STATIONARY VARIABLES FOR CHINESE BANKS PROFITABILITY? EMPIRICAL EVIDENCEINTERACTIONS BETWEEN FREE CASH FLOW, DEBT POLICY AND STRUCTURE OF GOVERNANCE; FINANCING CONSTRAINTS THEORY; THE DETERMINANTS OF THE NEW VENTURE DECISION IN TUNISIA; COMPARABILITY OF FINANCIAL INFORMATION AND SEGMENTAL REPORTING; PART 6; THE KNOWLEDGE STRUCTURE OF FRENCH MANAGEMENT CONTROL RESEARCH; ANALYSIS OF MANAGERS' USE OF MANAGEMENT ACCOUNTING; "THE DRAFT AMENDMENT TO STANDARD IAS18 REGARDING THE CAPITALIZATION OF PROCEEDS FROM NORMAL ACTIVITIES" MANAGEMENT CONTROL THROUGH COMMUNICATION ORGANIZATIONAL LEARNING AND KNOWLEDGE DEVELOPMENT PECULIARITIES IN SMALL AND MEDIUM FAMILY ENTERPRISES; THE CASE AS A RESEARCH TOOL IN MANAGEMENT SCIENCES; PART 7; SYARIAH ACCOUNTING AND COMPLIANT SCREENING PRACTICES; ISLAMIC FINANCE, ENERGY SECTOR AND FINANCIAL INNOVATIONS; SUKUKS; THE PERFORMANCE OF ISLAMIC CAPITAL MARKET AND MAXIMIZATION OF THE WEALTH OF SHARE HOLDERS AND VALUE OF COMPANY; ISLAMIC FINANCE OUTSIDE THE MUSLIM WORLD; A COMPARISON OF LEVERAGE AND PROFITABILITY BETWEEN ISLAMIC AND CONVENTIONAL BANKS |
| Altri titoli varianti | Sixth International Finance Conference on Financial Crisis and Governance |
| Record Nr. | UNINA-9910786222203321 |
| Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah
| 6th International Finance Conference on Financial Crisis and Governance [[electronic resource] /] / editor, Mondher Bellalah |
| Pubbl/distr/stampa | Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 |
| Descrizione fisica | 1 online resource (797 p.) |
| Altri autori (Persone) | BellalahMondher |
| Soggetto topico |
Financial crises
Financial institutions, International - Management Financial risk management International finance |
| ISBN | 1-4438-3312-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
TABLE OF CONTENTS; PART 1; THE PERFORMANCE OF HYBRID MODELS IN THE ASSESSMENT OF DEFAULT RISK; EXCESS VOLATILITY AND BEHAVIOURAL FEATURES SURROUNDING THE CRISIS PERIOD; BASEL III; "PSYCHOMETRIC" INDICES AND THE PREDICTION OF FINANCIAL BUBBLES; THE GOVERNANCE OF PORTS IN THE MEDITERRANEAN; SOLVENCY AND VALUATION OF BANKS; PART 2; WHAT DRIVES IFDIS IN THE NIGERIAN BANKING INDUSTRY?; IMPACT OF MACROECONOMIC FACTORS ON STOCK EXCHANGE PRICES; OIL PRICE FLUCTUATIONS AND EQUITY RETURNS IN NET OIL-EXPORTING COUNTRIES; THE INFLUENCE OF INSTITUTIONAL HOLDINGS ON THE STRATEGIC ORIENTATIONS OF BUSINESSES
BACK TO ACCOUNTING BASICS FINANCIAL CRISIS? FOR AN OPTIMISTIC VIEW OF GROWTH; PART 3; VALUABLE DECISIONS AND INFORMATION; TEST OF THE CUMULATIVE PROSPECTS THEORY; A SCENARIO-BASED APPROACH TO EVALUATE SUPPLY CHAIN NETWORKS; VOLATILITY SPILLOVER AMONG ISLAMIC AND OTHERS; THE MULTIPLE STRADDLE CARRIER ROUTING PROBLEM; PART 4; SOVEREIGN DEBT CRISIS AND CREDIT DEFAULT SWAPS; BOND SENSITIVITIES AND INTEREST RATE RISKS; CREDIT CRISIS AND THE COLLAPSE OF ARS MARKET; BEYOND THE EMU CRISIS; THE IMPACT OF THE QUALITATIVE FACTORS ON ETHICS JUDGMENTS OF MATERIALITY IN AUDIT; PART 5 DOES CO-INTEGRATION AND CAUSAL RELATIONSHIP EXIST BETWEEN THE NON-STATIONARY VARIABLES FOR CHINESE BANKS PROFITABILITY? EMPIRICAL EVIDENCEINTERACTIONS BETWEEN FREE CASH FLOW, DEBT POLICY AND STRUCTURE OF GOVERNANCE; FINANCING CONSTRAINTS THEORY; THE DETERMINANTS OF THE NEW VENTURE DECISION IN TUNISIA; COMPARABILITY OF FINANCIAL INFORMATION AND SEGMENTAL REPORTING; PART 6; THE KNOWLEDGE STRUCTURE OF FRENCH MANAGEMENT CONTROL RESEARCH; ANALYSIS OF MANAGERS' USE OF MANAGEMENT ACCOUNTING; "THE DRAFT AMENDMENT TO STANDARD IAS18 REGARDING THE CAPITALIZATION OF PROCEEDS FROM NORMAL ACTIVITIES" MANAGEMENT CONTROL THROUGH COMMUNICATION ORGANIZATIONAL LEARNING AND KNOWLEDGE DEVELOPMENT PECULIARITIES IN SMALL AND MEDIUM FAMILY ENTERPRISES; THE CASE AS A RESEARCH TOOL IN MANAGEMENT SCIENCES; PART 7; SYARIAH ACCOUNTING AND COMPLIANT SCREENING PRACTICES; ISLAMIC FINANCE, ENERGY SECTOR AND FINANCIAL INNOVATIONS; SUKUKS; THE PERFORMANCE OF ISLAMIC CAPITAL MARKET AND MAXIMIZATION OF THE WEALTH OF SHARE HOLDERS AND VALUE OF COMPANY; ISLAMIC FINANCE OUTSIDE THE MUSLIM WORLD; A COMPARISON OF LEVERAGE AND PROFITABILITY BETWEEN ISLAMIC AND CONVENTIONAL BANKS |
| Altri titoli varianti | Sixth International Finance Conference on Financial Crisis and Governance |
| Record Nr. | UNINA-9910828768803321 |
| Newcastle upon Tyne, UK, : Cambridge Scholars, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Accidents and Disasters [[electronic resource] ] : Lessons from Air Crashes and Pandemics / / by Satish Chandra
| Accidents and Disasters [[electronic resource] ] : Lessons from Air Crashes and Pandemics / / by Satish Chandra |
| Autore | Chandra Satish |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (162 pages) |
| Disciplina | 302.12 |
| Soggetto topico |
Industrial engineering
Production engineering Financial risk management Psychology, Industrial Vehicles Science—Social aspects Industrial and Production Engineering Risk Management Work and Organizational Psychology Vehicle Engineering Sociology of Science |
| Soggetto non controllato |
Sociology
Social Science |
| ISBN |
9789811999840
9789811999833 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Incidents, Accidents and Unmitigated Disasters -- Learning from Failures – Evolution of Risk and Safety Regulation -- Keep it Simple but Not Stupid - Complex Technology and Complex Organisations -- Are Failures Stepping Stones to More Failures - The Sociology of Danger and Risk -- To Err is Human – What exactly is Human Error? -- What I Do Not Know Will Hurt Me - Mental Models and Risk Perception -- Is Greed Really that Good - Avarice and Gain versus Risk and Blame -- And There is Dr. Kato: How Does it Look and Where Do We Go from Here?. |
| Record Nr. | UNINA-9910733706803321 |
Chandra Satish
|
||
| Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Actuarial finance : derivatives, quantitative models and risk management / / Mathieu Boudreault and Jean-Francois Renaud
| Actuarial finance : derivatives, quantitative models and risk management / / Mathieu Boudreault and Jean-Francois Renaud |
| Autore | Boudreault Mathieu |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ : , : John Wiley, , 2019 |
| Descrizione fisica | 1 online resource (591 pages) |
| Disciplina | 658.155 |
| Soggetto topico |
Financial risk management
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-13702-0
1-119-52643-4 1-119-13701-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Actuaries and their environment -- Financial markets and their securities -- Forwards and futures -- Swaps -- Options -- Engineering advanced derivatives -- Equity-linked insurance and annuities -- One-period binomial tree model -- Two-period binomial tree model -- Multi-period binomial tree model -- Further topics in the binomial tree model -- Market incompleteness and one-period trinomial tree models -- Brownian motion -- Introduction to stochastic calculus -- Introduction to the Black-Scholes-Merton model -- Rigorous derivations of the Black-Scholes formula -- Applications and extensions of the Black-Scholes formula -- Simulation methods -- Hedging strategies in practice. |
| Record Nr. | UNINA-9910554808603321 |
|
Boudreault Mathieu
|
||
| Hoboken, NJ : , : John Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Actuarial finance : derivatives, quantitative models and risk management / / Mathieu Boudreault and Jean-Francois Renaud
| Actuarial finance : derivatives, quantitative models and risk management / / Mathieu Boudreault and Jean-Francois Renaud |
| Autore | Boudreault Mathieu |
| Pubbl/distr/stampa | Hoboken, NJ : , : John Wiley, , 2019 |
| Descrizione fisica | 1 online resource (591 pages) : illustrations |
| Disciplina | 658.155 |
| Soggetto topico |
Financial risk management
Finance - Mathematical models |
| ISBN |
1-119-13702-0
1-119-52643-4 1-119-13701-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Actuaries and their environment -- Financial markets and their securities -- Forwards and futures -- Swaps -- Options -- Engineering advanced derivatives -- Equity-linked insurance and annuities -- One-period binomial tree model -- Two-period binomial tree model -- Multi-period binomial tree model -- Further topics in the binomial tree model -- Market incompleteness and one-period trinomial tree models -- Brownian motion -- Introduction to stochastic calculus -- Introduction to the Black-Scholes-Merton model -- Rigorous derivations of the Black-Scholes formula -- Applications and extensions of the Black-Scholes formula -- Simulation methods -- Hedging strategies in practice. |
| Record Nr. | UNINA-9910829927403321 |
|
Boudreault Mathieu
|
||
| Hoboken, NJ : , : John Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910138853503321 |
|
Deventer Donald R. van
|
||
| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910822622203321 |
|
Deventer Donald R. van
|
||
| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced REIT portfolio optimization : innovative tools for risk management / / W. Brent Lindquist [and three others]
| Advanced REIT portfolio optimization : innovative tools for risk management / / W. Brent Lindquist [and three others] |
| Autore | Lindquist W. Brent |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (268 pages) |
| Disciplina | 658.155 |
| Collana | Dynamic modeling and econometrics in economics and finance |
| Soggetto topico |
Financial risk management
Portfolio management Portfolio management - Mathematical models |
| ISBN | 3-031-15286-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Foreword -- About This Book -- Contents -- Abbreviations -- Chapter 1: The Real Estate Investment Market: The Current State and Why Advances Are Needed -- References -- Chapter 2: The Data -- 2.1 REIT Asset Descriptions -- 2.1.1 Domestic REITs -- 2.1.2 International REITs -- 2.2 Real Estate Stock Descriptions -- 2.3 Benchmarks -- 2.3.1 Indices -- 2.3.2 Exchange Traded Funds -- 2.3.3 Mutual Funds -- 2.4 Additional Assets and Indices -- 2.5 Data Observations -- References -- Chapter 3: Modern Portfolio Theory -- 3.1 Return Time Series -- 3.2 MPT-Based Portfolios -- 3.2.1 Markowitz Mean-Variance Portfolio -- 3.2.2 Capital Market Line and the Markowitz Mean-Variance Tangent Portfolio -- 3.2.3 CVaR-Minimizing Portfolios -- 3.2.4 Capital Market Line and the CVaRα Tangent Portfolio -- 3.2.5 Criticisms of Mean-Variance Optimization -- 3.3 Black-Litterman Model -- 3.4 Historical Optimization -- References -- Chapter 4: Historical Portfolio Optimization: Domestic REITs -- 4.1 Basic Strategies, Price, and Return Performance -- 4.1.1 Long-Only Strategy -- 4.1.2 Jacobs et al. Long-Short Strategy -- 4.1.3 Lo-Patel Long-Short Strategy -- 4.1.4 Long-Short Momentum Strategy -- 4.2 Performance Under Turnover Constraints -- 4.3 Performance-Risk Measures -- 4.4 Observations -- References -- Chapter 5: Diversification with International REITs -- 5.1 International Portfolio Performance -- 5.1.1 Long-Only International Portfolios -- 5.1.2 Jacobs et al. Long-Short International Portfolios -- 5.1.3 Lo-Patel Long-Short International Portfolios -- 5.2 Global Portfolio Performance -- 5.2.1 Long-Only Global Portfolios -- 5.2.2 Jacobs et al. Long-Short Global Portfolios -- References -- Chapter 6: Black-Litterman Optimization Results -- 6.1 Domestic Portfolios -- 6.2 Global Portfolios -- Chapter 7: Dynamic Portfolio Optimization: Beyond MPT.
7.1 Dynamic Optimization -- 7.1.1 ARMA(1,1)-GARCH(1,1) with Student´s t-Distribution -- 7.1.2 Multivariate t-Distribution and t-Copulas -- 7.1.3 Generation of Dynamic Returns -- 7.1.4 Combining the Dynamic Approach with Black-Litterman Optimization -- 7.2 Portfolio Optimization Using Dynamic Returns -- 7.2.1 Dynamic Long-Only Portfolios -- 7.2.2 Dynamic Jacobs et al. Long-Short Portfolios -- 7.2.3 Dynamic Lo-Patel Long-Short Portfolios -- 7.3 Dynamic Optimization with the Black-Litterman Model -- References -- Chapter 8: Backtesting -- 8.1 VaR Tests -- 8.1.1 Binomial Test -- 8.1.2 Traffic Light Test -- 8.1.3 Kupiec´s Tests -- 8.1.4 Christoffersen´s Tests -- 8.1.5 Haas´s Tests -- 8.2 Backtest Results -- 8.2.1 Historical Optimization -- 8.2.2 Dynamic Optimizations -- References -- Chapter 9: Diversification with Real Estate Stocks -- Chapter 10: Risk Information and Management -- 10.1 Early Warning Systems -- 10.1.1 Chow Test for a Structural Break -- 10.1.2 Early Warning Based on Tail-Loss Ratio -- 10.1.3 Early Warning Based on Mahalanobis Distance -- 10.1.3.1 Copulas -- 10.1.3.2 Mahalanobis Distance -- 10.2 Asset Weighting -- 10.3 Risk Budgets: Incremental and Component Risk -- 10.3.1 Incremental, Marginal, and Component VaR -- 10.3.2 Computing VaR, IVaR, MVaR, and ciVaR -- 10.3.3 Portfolio Results -- 10.4 Factor Analysis -- References -- Chapter 11: Optimization with Performance-Attribution Constraints -- 11.1 Performance-Attribute Constraints -- 11.2 Application to Domestic REIT Portfolio -- References -- Chapter 12: Option Pricing -- 12.1 Double Subordinated Pricing Models -- 12.2 Option Pricing Under the Double Subordinated IG Model -- 12.3 Empirical Example -- 12.3.1 Choice of a and vmax -- 12.3.2 Option Price and Implied Volatility Surfaces -- 12.4 Volatility Measures -- Appendix 1 -- Appendix 2 -- References. Chapter 13: Inclusion of ESG Ratings in Optimization -- 13.1 REIT ESG Data -- 13.2 ESG-Valued Returns -- 13.3 ESG-Valued Optimization -- 13.4 The ESG Efficient Frontier -- 13.5 ESG-Valued Tangent Portfolios -- 13.5.1 Tangent Portfolio Performance over Time -- 13.6 ESG-Valued Reward-Risk Measures -- References -- Chapter 14: Inclusion of ESG Ratings in Option Pricing -- 14.1 Discrete Return Binomial Pricing Model -- 14.2 ESG-Valued Return Binomial Pricing Model -- 14.3 ESG-Valued Option Pricing Using a REIT Portfolio as the Underlying -- References. |
| Record Nr. | UNINA-9910624311803321 |
|
Lindquist W. Brent
|
||
| Cham, Switzerland : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
AI-ML for Decision and Risk Analysis [[electronic resource] ] : Challenges and Opportunities for Normative Decision Theory / / by Louis Anthony Cox Jr
| AI-ML for Decision and Risk Analysis [[electronic resource] ] : Challenges and Opportunities for Normative Decision Theory / / by Louis Anthony Cox Jr |
| Autore | Cox Jr Louis Anthony |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (443 pages) |
| Disciplina | 658.4030028563 |
| Collana | International Series in Operations Research & Management Science |
| Soggetto topico |
Operations research
Financial risk management Machine learning Artificial intelligence Markov processes Operations Research and Decision Theory Risk Management Machine Learning Artificial Intelligence Markov Process |
| ISBN | 3-031-32013-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I. Received Wisdom -- 1.Rational Decision and Risk Analysis and Irrational Human Behavior -- 2.Data Analytics and Modeling for Improving Decisions -- 3. Natural, Artificial, and Social Intelligence for Decision-Making -- Part 2: Fundamental Challenges for Practical Decision Theory -- 4.Answerable and Unanswerable Questions in Decision and Risk Analysis -- 5.Decision Theory -- 6.Learning Aversion in Benefit-Cost Analysis with Uncertainty -- Part 3: Ways forward 7.Addressing Wicked Problems and Deep Uncertainties in Risk Analysis -- 8.Muddling Through and Deep Learning for Bureaucratic Decision-Making -- 9.Causally Explainable Decision Recommendations using Causal Artificial Intelligence -- Part 4: Public Health Applications -- 10. Re-Assessing Human Mortality Risks Attributed to Agricultural Air Pollution: Insights from Causal Artificial Intelligence -- 11.Toward more Practical Causal Epidemiology and Health Risk Assessment Using Causal Artificial Intelligence -- 12. Clarifying the Meaning of Exposure-Response Curves with Causal AI -- 13. Pushing Back on AI: A Dialogue with ChatGPT -- Index. |
| Record Nr. | UNINA-9910734831203321 |
|
Cox Jr Louis Anthony
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Financial risk management
(433)
- Finance (184)
- Banks and Banking (182)
- Finance: General (151)
- Banks (144)