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  Subjects -> BUSINESS AND ECONOMICS (Total: 3181 journals)
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BUSINESS AND ECONOMICS (1164 journals)                  1 2 3 4 5 6 | Last

Showing 1 - 200 of 1566 Journals sorted alphabetically
4OR: A Quarterly Journal of Operations Research     Hybrid Journal   (Followers: 10)
Abacus     Hybrid Journal   (Followers: 13)
Accounting Forum     Hybrid Journal   (Followers: 25)
Acta Amazonica     Open Access   (Followers: 5)
Acta Commercii     Open Access   (Followers: 4)
Acta Oeconomica     Full-text available via subscription   (Followers: 2)
Acta Scientiarum. Human and Social Sciences     Open Access   (Followers: 7)
Acta Universitatis Danubius. Œconomica     Open Access   (Followers: 3)
Acta Universitatis Nicolai Copernici Zarządzanie     Open Access   (Followers: 4)
AD-minister     Open Access   (Followers: 3)
ADR Bulletin     Open Access   (Followers: 6)
Advances in Developing Human Resources     Hybrid Journal   (Followers: 23)
Advances in Economics and Business     Open Access   (Followers: 11)
AfricaGrowth Agenda     Full-text available via subscription   (Followers: 1)
African Affairs     Hybrid Journal   (Followers: 60)
African Development Review     Hybrid Journal   (Followers: 33)
African Journal of Business and Economic Research     Full-text available via subscription   (Followers: 3)
African Journal of Business Ethics     Open Access   (Followers: 6)
African Review of Economics and Finance     Open Access   (Followers: 3)
Afro-Asian Journal of Finance and Accounting     Hybrid Journal   (Followers: 7)
Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi     Open Access   (Followers: 3)
Agronomy     Open Access   (Followers: 11)
Akademika : Journal of Southeast Asia Social Sciences and Humanities     Open Access   (Followers: 6)
Alphanumeric Journal : The Journal of Operations Research, Statistics, Econometrics and Management Information Systems     Open Access   (Followers: 5)
American Economic Journal : Applied Economics     Full-text available via subscription   (Followers: 176)
American Journal of Business     Hybrid Journal   (Followers: 16)
American Journal of Business and Management     Open Access   (Followers: 53)
American Journal of Business Education     Open Access   (Followers: 10)
American Journal of Economics and Business Administration     Open Access   (Followers: 26)
American Journal of Economics and Sociology     Hybrid Journal   (Followers: 29)
American Journal of Evaluation     Hybrid Journal   (Followers: 14)
American Journal of Finance and Accounting     Hybrid Journal   (Followers: 21)
American Journal of Health Economics     Full-text available via subscription   (Followers: 13)
American Journal of Industrial and Business Management     Open Access   (Followers: 23)
American Journal of Medical Quality     Hybrid Journal   (Followers: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 28)
ANALES de la Universidad Central del Ecuador     Open Access   (Followers: 2)
Annales de l'Institut Henri Poincare (C) Non Linear Analysis     Full-text available via subscription   (Followers: 1)
Annals in Social Responsibility     Full-text available via subscription  
Annals of Finance     Hybrid Journal   (Followers: 28)
Annals of Operations Research     Hybrid Journal   (Followers: 10)
Annual Review of Economics     Full-text available via subscription   (Followers: 32)
Applied Developmental Science     Hybrid Journal   (Followers: 3)
Applied Economics     Hybrid Journal   (Followers: 46)
Applied Economics Letters     Hybrid Journal   (Followers: 29)
Applied Economics Quarterly     Full-text available via subscription   (Followers: 10)
Applied Financial Economics     Hybrid Journal   (Followers: 24)
Applied Mathematical Finance     Hybrid Journal   (Followers: 7)
Applied Stochastic Models in Business and Industry     Hybrid Journal   (Followers: 5)
Arab Economic and Business Journal     Open Access   (Followers: 3)
Archives of Business Research     Open Access   (Followers: 6)
Arena Journal     Full-text available via subscription   (Followers: 1)
Argomenti. Rivista di economia, cultura e ricerca sociale     Open Access   (Followers: 3)
ASEAN Economic Bulletin     Full-text available via subscription   (Followers: 5)
Asia Pacific Business Review     Hybrid Journal   (Followers: 6)
Asia Pacific Journal of Human Resources     Hybrid Journal   (Followers: 326)
Asia Pacific Viewpoint     Hybrid Journal   (Followers: 1)
Asia-Pacific Journal of Business Administration     Hybrid Journal   (Followers: 3)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asia-Pacific Management and Business Application     Open Access  
Asian Business Review     Open Access   (Followers: 2)
Asian Case Research Journal     Hybrid Journal   (Followers: 1)
Asian Development Review     Open Access   (Followers: 14)
Asian Economic Journal     Hybrid Journal   (Followers: 8)
Asian Economic Papers     Hybrid Journal   (Followers: 7)
Asian Economic Policy Review     Hybrid Journal   (Followers: 4)
Asian Journal of Accounting and Governance     Open Access   (Followers: 3)
Asian Journal of Business Ethics     Hybrid Journal   (Followers: 8)
Asian Journal of Social Sciences and Management Studies     Open Access   (Followers: 6)
Asian Journal of Sustainability and Social Responsibility     Open Access   (Followers: 1)
Asian Journal of Technology Innovation     Hybrid Journal   (Followers: 8)
Asian-pacific Economic Literature     Hybrid Journal   (Followers: 5)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5)
Atlantic Economic Journal     Hybrid Journal   (Followers: 10)
Australasian Journal of Regional Studies, The     Full-text available via subscription   (Followers: 1)
Australian Cottongrower, The     Full-text available via subscription   (Followers: 1)
Australian Economic Papers     Hybrid Journal   (Followers: 31)
Australian Economic Review     Hybrid Journal   (Followers: 6)
Australian Journal of Maritime and Ocean Affairs     Hybrid Journal   (Followers: 9)
Balkan Region Conference on Engineering and Business Education     Open Access   (Followers: 1)
Baltic Journal of Real Estate Economics and Construction Management     Open Access   (Followers: 2)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
BBR - Brazilian Business Review     Open Access   (Followers: 4)
Benchmarking : An International Journal     Hybrid Journal   (Followers: 10)
Benefit : Jurnal Manajemen dan Bisnis     Open Access  
BER : Consumer Confidence Survey     Full-text available via subscription   (Followers: 4)
BER : Economic Prospects : An Executive Summary     Full-text available via subscription  
BER : Economic Prospects : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Intermediate Goods Industries Survey     Full-text available via subscription   (Followers: 1)
BER : Manufacturing Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Motor Trade Survey     Full-text available via subscription   (Followers: 1)
BER : Retail Sector Survey     Full-text available via subscription   (Followers: 2)
BER : Retail Survey : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Survey of Business Conditions in Building and Construction : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Survey of Business Conditions in Manufacturing : An Executive Summary     Full-text available via subscription   (Followers: 3)
BER : Survey of Business Conditions in Retail : An Executive Summary     Full-text available via subscription   (Followers: 4)
BER : Trends : Full Survey     Full-text available via subscription   (Followers: 2)
BER : Wholesale Sector Survey     Full-text available via subscription   (Followers: 1)
Berkeley Business Law Journal     Free   (Followers: 10)
Bio-based and Applied Economics     Open Access   (Followers: 1)
Biodegradation     Hybrid Journal   (Followers: 1)
Biology Direct     Open Access   (Followers: 7)
Black Enterprise     Full-text available via subscription  
Board & Administrator for Administrators only     Hybrid Journal  
Border Crossing : Transnational Working Papers     Open Access   (Followers: 2)
Briefings in Real Estate Finance     Hybrid Journal   (Followers: 5)
British Journal of Industrial Relations     Hybrid Journal   (Followers: 34)
Brookings Papers on Economic Activity     Open Access   (Followers: 49)
Brookings Trade Forum     Full-text available via subscription   (Followers: 3)
BRQ Business Research Quarterly     Open Access   (Followers: 2)
Building Sustainable Legacies : The New Frontier Of Societal Value Co-Creation     Full-text available via subscription   (Followers: 1)
Bulletin of Economic Research     Hybrid Journal   (Followers: 17)
Bulletin of Geography. Socio-economic Series     Open Access   (Followers: 7)
Bulletin of Indonesian Economic Studies     Hybrid Journal   (Followers: 3)
Bulletin of the Dnipropetrovsk University. Series : Management of Innovations     Open Access   (Followers: 1)
Business & Entrepreneurship Journal     Open Access   (Followers: 18)
Business & Information Systems Engineering     Hybrid Journal   (Followers: 5)
Business & Society     Hybrid Journal   (Followers: 9)
Business : Theory and Practice / Verslas : Teorija ir Praktika     Open Access   (Followers: 1)
Business and Economic Research     Open Access   (Followers: 6)
Business and Management Horizons     Open Access   (Followers: 12)
Business and Management Research     Open Access   (Followers: 19)
Business and Management Studies     Open Access   (Followers: 10)
Business and Politics     Hybrid Journal   (Followers: 8)
Business and Professional Communication Quarterly     Hybrid Journal   (Followers: 7)
Business and Society Review     Hybrid Journal   (Followers: 5)
Business Economics     Hybrid Journal   (Followers: 8)
Business Ethics: A European Review     Hybrid Journal   (Followers: 17)
Business Horizons     Hybrid Journal   (Followers: 6)
Business Information Review     Hybrid Journal   (Followers: 14)
Business Management and Strategy     Open Access   (Followers: 43)
Business Research     Hybrid Journal   (Followers: 2)
Business Strategy and the Environment     Hybrid Journal   (Followers: 13)
Business Strategy Review     Hybrid Journal   (Followers: 7)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Business Systems & Economics     Open Access   (Followers: 2)
Business Systems Research Journal     Open Access   (Followers: 5)
Business, Management and Education     Open Access   (Followers: 18)
Business, Peace and Sustainable Development     Full-text available via subscription   (Followers: 3)
Bustan     Hybrid Journal   (Followers: 1)
Cadernos EBAPE.BR     Open Access   (Followers: 1)
Cambridge Journal of Economics     Hybrid Journal   (Followers: 59)
Cambridge Journal of Regions, Economy and Society     Hybrid Journal   (Followers: 10)
Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l Administration     Hybrid Journal   (Followers: 1)
Canadian Journal of Economics/Revue Canadienne d`Economique     Hybrid Journal   (Followers: 29)
Canadian journal of nonprofit and social economy research     Open Access   (Followers: 2)
Capitalism and Society     Hybrid Journal   (Followers: 2)
Capitalism Nature Socialism     Hybrid Journal   (Followers: 16)
Case Studies in Business and Management     Open Access   (Followers: 10)
CBU International Conference Proceedings     Open Access   (Followers: 1)
Central European Business Review     Open Access   (Followers: 1)
Central European Journal of Operations Research     Hybrid Journal   (Followers: 5)
Central European Journal of Public Policy     Open Access   (Followers: 2)
CESifo Economic Studies     Hybrid Journal   (Followers: 17)
Chain Reaction     Full-text available via subscription  
Challenge     Full-text available via subscription   (Followers: 4)
China & World Economy     Hybrid Journal   (Followers: 15)
China : An International Journal     Full-text available via subscription   (Followers: 19)
China Economic Journal: The Official Journal of the China Center for Economic Research (CCER) at Peking University     Hybrid Journal   (Followers: 11)
China Economic Review     Hybrid Journal   (Followers: 8)
China Finance Review International     Hybrid Journal   (Followers: 5)
China Nonprofit Review     Hybrid Journal   (Followers: 3)
China perspectives     Open Access   (Followers: 12)
Chinese Economy     Full-text available via subscription  
Ciência & Saúde Coletiva     Open Access   (Followers: 2)
CLIO América     Open Access   (Followers: 1)
Cliometrica     Hybrid Journal   (Followers: 4)
COEPTUM     Open Access  
Community Development Journal     Hybrid Journal   (Followers: 25)
Compensation & Benefits Review     Hybrid Journal   (Followers: 7)
Competition & Change     Hybrid Journal   (Followers: 10)
Competitive Intelligence Review     Hybrid Journal   (Followers: 2)
Competitiveness Review : An International Business Journal incorporating Journal of Global Competitiveness     Hybrid Journal   (Followers: 6)
Computational Economics     Hybrid Journal   (Followers: 9)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computer Law & Security Review     Hybrid Journal   (Followers: 16)
Computers & Operations Research     Hybrid Journal   (Followers: 12)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14)
Contemporary Wales     Full-text available via subscription   (Followers: 3)
Contextus - Revista Contemporânea de Economia e Gestão     Open Access   (Followers: 1)
Contributions to Political Economy     Hybrid Journal   (Followers: 5)
Corporate Communications An International Journal     Hybrid Journal   (Followers: 7)
Corporate Philanthropy Report     Hybrid Journal   (Followers: 2)
Corporate Reputation Review     Hybrid Journal   (Followers: 4)
Creative and Knowledge Society     Open Access   (Followers: 10)
Creative Industries Journal     Hybrid Journal   (Followers: 9)
CRIS - Bulletin of the Centre for Research and Interdisciplinary Study     Open Access   (Followers: 1)
Crossing the Border : International Journal of Interdisciplinary Studies     Open Access   (Followers: 4)
Cuadernos de Administración (Universidad del Valle)     Open Access   (Followers: 2)
Cuadernos de Economía     Open Access   (Followers: 2)
Cuadernos de Economia - Latin American Journal of Economics     Open Access   (Followers: 2)
Cuadernos de Estudios Empresariales     Open Access   (Followers: 2)
Current Opinion in Creativity, Innovation and Entrepreneurship     Open Access   (Followers: 10)
De Economist     Hybrid Journal   (Followers: 12)
Decision Analysis     Full-text available via subscription   (Followers: 10)
Decision Sciences     Hybrid Journal   (Followers: 18)
Decision Support Systems     Hybrid Journal   (Followers: 16)
Defence and Peace Economics     Hybrid Journal   (Followers: 16)
der markt     Hybrid Journal   (Followers: 1)
Desenvolvimento em Questão     Open Access  

        1 2 3 4 5 6 | Last

Journal Cover Annals of Operations Research
  [SJR: 1.186]   [H-I: 78]   [10 followers]  Follow
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1572-9338 - ISSN (Online) 0254-5330
   Published by Springer-Verlag Homepage  [2355 journals]
  • Preface: Risk management decisions and wealth management in Financial
    • Authors: Hatem Ben Ameur; Ephraim Clark; André De Palma; Jean-Luc Prigent
      Pages: 239 - 240
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-018-2767-5
      Issue No: Vol. 262, No. 2 (2018)
  • Dynamic analysis of the forecasting bankruptcy under presence of
           unobserved heterogeneity
    • Authors: Ilyes Abid; Farid Mkaouar; Olfa Kaabia
      Pages: 241 - 256
      Abstract: This paper illustrates the importance of referring to a dynamic approach when forecasting firms bankruptcies, paying a particular attention to French SMEs. Based on Shummay’s (J Bus 74:101–124, 2001), we build a duration model and extend it by incorporating unobservable heterogeneity. Moreover, we resort to a dynamic dichotomous specification in which “right side” censored data are taken into account. We emphasize the complexity of the calculations of integrals that must be implemented and show how to overcome this challenge by applying the Geweke, Hajivassiliou and Keane algorithm which involves the technique of the simulated maximum likelihood. The findings prove that our dynamic approach, which integrates macroeconomic variables and takes account of both random effects and exogenous shocks, provides credible results. Besides, our method provides the predictive content of macroeconomic variables and the unobservable heterogeneity, which is helpful in forecasting firms bankruptcies.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2143-2
      Issue No: Vol. 262, No. 2 (2018)
  • Ex-ante real estate Value at Risk calculation method
    • Authors: Charles-Olivier Amédée-Manesme; Fabrice Barthélémy
      Pages: 257 - 285
      Abstract: The computation of Value at Risk (VaR) has long been a problematic issue in commercial real estate. Difficulties mainly arise from the lack of appropriate data, the lack of transactions, the non-normality of returns, and the inapplicability of many of the traditional methodologies. In addition, specific risks remain latent in investors’ portfolios and thus risk measurements based on market index do not represent the risks of a specific portfolio. Following a spate of new regulations such as Basel II, Basel III, NAIC and Solvency II, financial institutions have increasingly been required to estimate and control their exposure to market risk. Hence, financial institutions now commonly use “internal” VaR (or Expected Shortfall) models in order to assess their market risk exposure. This paper proposes the first model designed especially for static real estate VaR computation. The proposal accounts for specific real estate characteristics such that the lease structures or the vacancies. The paper contributes to the real estate risk management literature by proposing for the first time a model that incorporates characteristics of real estate investments. It allows more precise real estate risk measurements and is derived from a regulators’ approach.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-015-2046-7
      Issue No: Vol. 262, No. 2 (2018)
  • Measurement errors in stock markets
    • Authors: Hachmi Ben Ameur; Fredj Jawadi; Abdoulkarim Idi Cheffou; Wael Louhichi
      Pages: 287 - 306
      Abstract: This paper points to further measurement errors in stock markets. In particular, we show that the application of usual performance ratios to evaluate financial assets can lead to inappropriate findings and consequently wrong conclusions. To this end, we analyze standard performance ratios as well as extreme loss-based financial ratios and compare the conclusions with those provided by systemic risk measures. The application of these different measures to both conventional and Islamic stock indexes for developed and emerging countries in the context of the financial crisis yields two interesting results. First, the analysis of financial performance exhibits further measurement errors. Second, the consideration of extreme loss and systemic risk in computing performance measures increases the reliability of performance analysis.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2138-z
      Issue No: Vol. 262, No. 2 (2018)
  • Are employee stock option exercise decisions better explained through the
           prospect theory'
    • Authors: Hamza Bahaji
      Pages: 335 - 359
      Abstract: In this paper, we introduce a new framework for the analysis of employee stock options exercise decisions. We develop a distorted lattice model where the exercise decision obeys a policy that maximizes the expected value of the exercise outcomes under the Cumulative Prospect Theory. Using a large US dataset of exercise transactions, we show that our framework broadly outperforms the Expected Utility Theory framework in explaining empirical exercise decisions. Interestingly, our empirical estimates of probability weighting are consistent with those from the experimental literature. We argue that this analysis provides a unifying stream for thinking about issues related to the exercise and the valuation of stock options.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2127-2
      Issue No: Vol. 262, No. 2 (2018)
  • Risk-based strategies: the social responsibility of investment universes
           does matter
    • Authors: Philippe Bertrand; Vincent Lapointe
      Pages: 413 - 429
      Abstract: In this article we extend the research on risk-based asset allocation strategies by exploring how using an SRI universe modifies properties of risk-based portfolios. We focus on four risk-based asset allocation strategies: the equally weighted, the most diversified portfolio, the minimum variance and the equal risk contribution. Using different estimators of the matrix of covariances, we apply these strategies to the EuroStoxx universe of stocks, the Advanced Sustainability Performance Index (ASPI) and the complement of the ASPI in the EuroStoxx universe from March 15, 2002 to May 1, 2012. We observe several impacts but one is particularly important in our mind. We observe that risk-based asset allocation strategies built on the entire universe, concentrate their solution on non-SRI stocks. Such risk-based portfolios are therefore under-weighted in socially responsible firms.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-015-2081-4
      Issue No: Vol. 262, No. 2 (2018)
  • Modelling credit spreads with time volatility, skewness, and kurtosis
    • Authors: Ephraim Clark; Selima Baccar
      Pages: 431 - 461
      Abstract: This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bond indices in the US credit market. To overcome the idiosyncratic nature of credit spread data reflected in time varying volatility, skewness and thick tails, it proposes asymmetric GARCH models with alternative probability density functions. The results show that credit spread changes are mainly explained by the interest rate and interest rate volatility, the slope of the yield curve, stock market returns and volatility, the state of liquidity in the corporate bond market and, a heretofore overlooked variable, the foreign exchange rate. They also confirm that the asymmetric GARCH models and Student-t distributions are systematically superior to the conventional GARCH model and the normal distribution in in-sample and out-of-sample testing.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-015-1975-5
      Issue No: Vol. 262, No. 2 (2018)
  • Option implied ambiguity and its information content: Evidence from the
           subprime crisis
    • Authors: Tarik Driouchi; Lenos Trigeorgis; Raymond H. Y. So
      Pages: 463 - 491
      Abstract: This paper studies option investors’ tendency to deviate from risk-neutrality around extreme financial events. We incorporate ambiguity into Black–Scholes theory and analyze the lead–lag association between option and stock markets during 2006–2008. Our findings from the Standard and Poor’s 500 index options reveal that investors’ option implied ambiguity moderates the lead–lag relationship between implied and realized volatility. We find that implied ambiguity contains predictive realized volatility information (beyond constant and stochastic implied volatilities), and that implied volatility is a less biased predictor of realized market variance when accounting for ambiguity in option pricing. We are also able to track changing investors’ ambiguity perceptions (pessimism or optimism) prior to severe volatility events and document shifts in ambiguity aversion among put option holders in the period leading to the fall 2008 global market crash. Our results hold under multiple-priors and Choquet ambiguity specifications.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-015-2079-y
      Issue No: Vol. 262, No. 2 (2018)
  • Equilibrium-based volatility models of the market portfolio rate of return
           (peacock tails or stotting gazelles)
    • Authors: David Feldman; Xin Xu
      Pages: 493 - 518
      Abstract: We introduce a theoretical and empirical method of studying equilibrium-consistent volatility models. We implement it with the market portfolio’s return, which is central to financial risk management. Within an equilibrium framework, we study two families of such models. One is deterministic volatility, represented by current popular models. The other is in the “constant elasticity of variance” family, in which we propose new models. Theoretically, we show that, together with constant expected returns, the latter family tends to have better ability to forecast. Empirically, our proposed models, while as easy to implement as the popular ones, outperform them in three out-of-sample forecast evaluations of different time periods, by standard predictability criteria. This is true particularly during high-volatility periods, whether the market rises or falls.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-015-1972-8
      Issue No: Vol. 262, No. 2 (2018)
  • How do capital structure and economic regime affect fair prices of
           bank’s equity and liabilities'
    • Authors: Donatien Hainaut; Yang Shen; Yan Zeng
      Pages: 519 - 545
      Abstract: This paper considers the capital structure of a bank in a continuous-time regime-switching economy. The modeling framework takes into account various categories of instruments, including equity, contingent convertible debts, straight debts, deposits and deposits insurance. Whereas previous researches concentrate on the determination of the capital structure that maximizes shareholders’ equity, this work focuses on the fair pricing of liabilities that ensures no cross-subsidization among stakeholders. This is discussed in a case study where the bank’s EBIT is modeled by a four-regime process and is fitted to real market data. A numerical analysis reveals that convertible debts can significantly reduce the cost of deposits insurance and straight debts as well as probabilities of bankruptcy. Although it is found that the risk of dilution for shareholders is important, paradoxically, a high conversion rate for the contingent convertible debt, compensated by a low interest cost before conversion, can delay this dilution. Finally, we find that in case of change of economic regime, there exists an optimal capital structure from the shareholder’s perspective.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2210-8
      Issue No: Vol. 262, No. 2 (2018)
  • Dynamic portfolio insurance strategies: risk management under Johnson
    • Authors: Naceur Naguez
      Pages: 605 - 629
      Abstract: The purpose of this paper is to analyze the gap risk of dynamic portfolio insurance strategies which generalize the “Constant Proportion Portfolio Insurance” (CPPI) method by allowing the multiple to vary. We illustrate our theoretical results for conditional CPPI strategies indexed on hedge funds. For this purpose, we provide accurate estimations of hedge funds returns by means of Johnson distributions. We introduce also an EGARCH type model with Johnson innovations to describe dynamics of risky logreturns. We use both VaR and Expected Shortfall as downside risk measures to control gap risk. We provide accurate upper bounds on the multiple in order to limit this gap risk. We illustrate our theoretical results on Credit Suisse Hedge Fund Index. The time period of the analysis lies between December 1994 and December 2013.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2121-8
      Issue No: Vol. 262, No. 2 (2018)
  • Mean and median-based nonparametric estimation of returns in mean-downside
           risk portfolio frontier
    • Authors: Hanene Ben Salah; Mohamed Chaouch; Ali Gannoun; Christian de Peretti; Abdelwahed Trabelsi
      Pages: 653 - 681
      Abstract: The downside risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean–Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, Athayde (2001) developed a new recursive minimization procedure that ensures the convergence to the solution. However, when a finite number of observations is available, the portfolio frontier presents some discontinuity and is not very smooth. In order to overcome that, Athayde (2003) proposed a mean kernel estimation of the returns, so as to create a smoother portfolio frontier. This technique provides an effect similar to the case in which continuous observations are available. In this paper, Athayde model is reformulated and clarified. Then, taking advantage on the robustness of the median, another nonparametric approach based on median kernel returns estimation is proposed in order to construct a portfolio frontier. A new version of Athayde’s algorithm will be exhibited. Finally, the properties of this improved portfolio frontier are studied and analysed on the French Stock Market.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2235-z
      Issue No: Vol. 262, No. 2 (2018)
  • Superquantile/CVaR risk measures: second-order theory
    • Authors: R. Tyrrell Rockafellar; Johannes O. Royset
      Pages: 3 - 28
      Abstract: Superquantiles, which refer to conditional value-at-risk in the same way that quantiles refer to value-at-risk, have many advantages in the modeling of risk in finance and engineering. However, some applications may benefit from a further step, from superquantiles to second-order superquantiles. Measures of risk based on second-order superquantiles have recently been explored in some settings, but key parts of the theory have been lacking: descriptions of the associated risk envelopes and risk identifiers. Those missing ingredients are supplied in this paper, and moreover not just for second-order superquantiles, but also for a much broader class of mixed superquantile measures of risk. Such dualizing expressions facilitate the development of dual methods for mixed and second-order superquantile risk minimization as well as superquantile regression, a proposed second-order version of quantile regression.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2129-0
      Issue No: Vol. 262, No. 1 (2018)
  • On the dual representation of coherent risk measures
    • Authors: Marcus Ang; Jie Sun; Qiang Yao
      Pages: 29 - 46
      Abstract: A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: (1) Set operations of risk envelopes and how they change the risk measures, (2) The structure of risk envelopes of popular risk measures, (3) Aversity of risk measures and its impact to risk envelopes, and (4) A connection between risk measures in stochastic optimization and uncertainty sets in robust optimization.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-017-2441-3
      Issue No: Vol. 262, No. 1 (2018)
  • CVaR distance between univariate probability distributions and
           approximation problems
    • Authors: Konstantin Pavlikov; Stan Uryasev
      Pages: 67 - 88
      Abstract: The paper defines new distances between univariate probability distributions, based on the concept of the CVaR norm. We consider the problem of approximation of a discrete distribution by some other discrete distribution. The approximating distribution has a smaller number of atoms than the original one. Such problems, for instance, must be solved for generation of scenarios in stochastic programming. The quality of the approximation is evaluated with new distances suggested in this paper. We use CVaR constraints to assure that the approximating distribution has tail characteristics similar to the target distribution. The numerical algorithm is based on two main steps: (i) optimal placement of positions of atoms of the approximating distribution with fixed probabilities; (ii) optimization of probabilities with fixed positions of atoms. These two steps are iterated to find both optimal atom positions and probabilities. Numerical experiments show high efficiency of the proposed algorithms, solved with convex and linear programming.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-017-2732-8
      Issue No: Vol. 262, No. 1 (2018)
  • Detecting robust cliques in graphs subject to uncertain edge failures
    • Authors: Oleksandra Yezerska; Sergiy Butenko; Vladimir L. Boginski
      Pages: 109 - 132
      Abstract: This paper develops and compares several heuristic approaches, as well as an exact combinatorial branch-and-bound algorithm, for detecting maximum robust cliques in graphs subjected to multiple uncertain edge failures. The desired robustness properties are enforced using conditional value-at-risk measure. The proposed heuristics are adaptations of the well-known tabu search and GRASP methods, whereas the exact approach is an extension of Östergård’s algorithm for the maximum clique problem. The results of computational experiments on DIMACS graph instances are reported.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2161-0
      Issue No: Vol. 262, No. 1 (2018)
  • A fair division approach to humanitarian logistics inspired by conditional
    • Authors: Amy Givler Chapman; John E. Mitchell
      Pages: 133 - 151
      Abstract: Organization and efficiency of relief operations are vital following a major disaster, as well as the guarantee that all of the affected population will adequately have their basic needs met. However, in a post-disaster environment, uncertainty often impacts all aspects of the relief efforts. Placement of relief distribution centers, as well as public knowledge of these locations, is crucial to the speed and efficiency of relief efforts. This research develops a formulation to choose a set of distribution centers to open from a list of available facilities and to assign every member of the population to a distribution center. While developing these assignments, the costs to the affected population are considered in the form of travel costs to reach the assigned distribution center. Incorporation of these travel costs, a form of deprivation costs, minimizes the suffering of the population, and inclusion of ideas from fair division minimizes disparities in these costs to provide each member of the affected population with a fair level of service. Further, the inclusion of a term inspired by conditional value-at-risk, or CVaR, into the formulation helps to further minimize potential disparities. Computational results for two datasets will be discussed to show the impact of including deprivation costs in this humanitarian logistics model. Additionally, theoretical results will show that optimal solutions to the formulation are guaranteed to be Pareto efficient.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2322-1
      Issue No: Vol. 262, No. 1 (2018)
  • Risk-based models for emergency shelter and exit design in buildings
    • Authors: Reza Faturechi; Shabtai Isaac; Elise Miller-Hooks; Lei Feng
      Pages: 185 - 212
      Abstract: Mathematical models are presented that support the design of shelters and exits in buildings, along with hallway fortification strategies and associated evacuation paths. The objective of these models is to optimally protect building users and prevent casualties during emergencies by minimizing the risk to which evacuees are exposed during evacuation and after reaching their destinations. The models involve stochastic programming and robust optimization concepts under both user equilibrium (selfish) and system optimal (altruistic) conditions. These approaches are compared in a case study involving a single-story building. A multi-hazard approach is utilized in which the performance of a design is tested given various possible future emergency scenarios.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2223-3
      Issue No: Vol. 262, No. 1 (2018)
  • Market-reaction-adjusted optimal central bank intervention policy in a
           forex market with jumps
    • Authors: Sandun Perera; Winston Buckley; Hongwei Long
      Pages: 213 - 238
      Abstract: Impulse control with random reaction periods (ICRRP) is used to derive a country’s optimal foreign exchange (forex) rate intervention policy when the forex market reacts to the interventions. This paper extends the previous work on ICRRP by incorporating a multi-dimensional jump diffusion process to model the state dynamics, and hence, enhance the viability of the extant model for applications. Furthermore, we employ a novel minimum cost operator that simplifies the computations of the optimal solutions. Finally, we demonstrate the efficacy of our framework by finding a market-reaction-adjusted optimal central bank intervention (CBI) policy for a country. Our numerical results suggests that market reactions and the jumps in the forex market are complements when the reactions increase the forex rate volatility; otherwise, they are substitutes.
      PubDate: 2018-03-01
      DOI: 10.1007/s10479-016-2297-y
      Issue No: Vol. 262, No. 1 (2018)
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Tel: +00 44 (0)131 4513762
Fax: +00 44 (0)131 4513327
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