By Dimitris Karapistolis, Costas Siriopoulos, Iannis Papadimitriou, Raphael Markellos (auth.), Constantin Zopounidis (eds.)
ISBN-10: 146137510X
ISBN-13: 9781461375104
ISBN-10: 1461554950
ISBN-13: 9781461554950
This ebook provides a suite of latest, leading edge mathematical modeling instruments for reading monetary threat. Operational instruments in theManagement of economic Risks provides an array of latest instruments drawn from quite a few learn parts, together with chaos thought, professional structures, fuzzy units, neural nets, danger research, stochastic programming, and multicriteria choice making. functions hide, yet are usually not restricted to, financial disaster, credits granting, capital budgeting, company functionality and viability, portfolio selection/management, and state danger.
The e-book is prepared into 5 sections. the 1st part applies multivariate information and multicriteria analyses to the matter of portfolio choice. Articles during this part mix classical ways with more moderen tools. the second one part expands the research within the first part to numerous monetary difficulties: company failure, company functionality and viability, financial disaster, and so on. The 3rd part examines the mathematical programming strategies together with linear, dynamic, and stochastic programming to portfolio managements. The fourth part introduces fuzzy set and synthetic intelligence concepts to chose forms of monetary judgements. the ultimate part explores the contribution of a number of multicriteria methodologies within the overview of kingdom monetary possibility. In overall, this e-book is a scientific exam of an rising technique for handling monetary threat in business.
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Additional info for Operational Tools in the Management of Financial Risks
Sample text
It is a description of equilibrium more general than the CAPM. The single hypothesis of APT is that the return of any financial asset is influenced by a limited number of common factors and a factor specific to the financial asset. Then, the advantage of APT is that it recognizes the multidimensional nature of risk and that it does not C. ), Operational Tools in the Management of Financial Risks © Kluwer Academic Publishers 1998 32 impose a restrictive comportment to the investor as in the MEDAF.
The measure of this change of evaluation, which proves to be convenient for our purposes, is the logarithm of the ratio between the joint evaluation and the self evaluation. Thus, we make the following general definition: The amount of joint information J(sp,f) provided by the evaluation of the attribute represented by sp about the evaluation of the attribute represented by ii, is defined as (la) J(sp;J;)=log [ V(SP,J;)] . ;)· In words, the information provided by the pair of attributes (sp,fD about sp is equal to the difference between the logarithm of the joint information provided by sp and fi' and the logarithm of the self evaluation f i.
We avoid having two assets with two distinct Sicovam' codes, 2 codes for I name, double quotation on spot and forward market, doubloon on particular days as holidays, strike days, bomb alerts, computer problems and no more than 4 sucessive missing quotations. 42 Over the 16 possibilities6 of grouping assets into portfolios, we adopt 28 portfolios of6 assets each as advised by Gibbon-Ross-Shanken (1986). After multiple possible combinations, we retain the best model that corresponds to an APT of II macroeconomic factors (cf.
Operational Tools in the Management of Financial Risks by Dimitris Karapistolis, Costas Siriopoulos, Iannis Papadimitriou, Raphael Markellos (auth.), Constantin Zopounidis (eds.)
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