Results 81 to 90 of about 35,071 (244)
"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication" [PDF]
This paper provides a new method to construct a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy.
Akihiko Takahashi, Kyo Yamamoto
core
Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case [PDF]
It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option.
Hortensia Fontanals Albiol, Ramon Lacayo
core +1 more source
A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT This paper investigates the relationship between corporate social responsibility (CSR) and financial performance for European firms, and the moderating roles of industry and country‐specific factors in this relationship. Studying a sample of 2340 companies across 18 countries, we find Environmental, Social and Governance (ESG) scores to ...
Veda Fatmy, Venla Haavisto, Janne Äijö
wiley +1 more source
Mapping and Innovating Business Models of Food Hubs in Short Food Supply Chains
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Short food supply chains (SFSCs) offer sustainable alternatives to conventional food systems (CFSCs) but require effective intermediaries to scale and remain competitive. Food Hubs (FHs) serve this role by enhancing SFSC efficiency and market reach while upholding community‐oriented values. However, limited research has examined how FHs design
Marije Renkema‐Singh +2 more
wiley +1 more source
The Law of Minimum Price [PDF]
This paper introduces a realistic, generalized market modeling framework for which the Law of One Price no longer holds. Instead the Law of the Minimal Price will be derived, which for contingent claims with long term to maturity may provide ...
Eckhard Platen
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Automating Portfolio Replication with Stock Market Algorithms
2025 8th International Conference on Circuit, Power & Computing Technologies (ICCPCT)This study aims to explore methods for automating the replication of correlated portfolios across shares using various algorithms. The goal is to select one algorithm for implementation in a visualization tool that will facilitate portfolio building.
openaire +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT Pension plans may either limit their sustainability approach to commercial purposes or adopt governance practices aligned with sustainability principles, thereby strengthening their Corporate Social Identity (CSI). This paper explores the moderating role of CSI in the relationship between traditional corporate governance mechanisms and pension
Elisa Bocchialini +2 more
wiley +1 more source
A Benchmark Approach to Investing and Pricing [PDF]
This paper introduces a general market modeling framework, the benchmark approach, which assumes the existence of the numeraire portfolio. This is the strictly positive portfolio that when used as benchmark makes all benchmarked nonnegative portfolios ...
Eckhard Platen
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