Search results for "Portfolio"
showing 10 items of 303 documents
A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes
2007
In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.
Fuzzy Degree of Geographic Appropriateness for Social Impact Investing
2017
Impact investing is an investment practice that is characterized by the explicit intentionality of attaining a social impact and the requisite of report and measure this impact in a transparent way. The investment decision making process has two main stages. In the first stage, filters are applied regarding four critical issues: target geography, impact theme, asset class and target return category. In this phase, the set of possible investment alternatives are determined based on their appropriateness for impact investment in terms of those four essential aspects. In a second stage, efficient portfolios are obtained taking into account financial criteria (maximizing expected return, minimi…
Soft Computing Techniques for Portfolio Selection: Combining SRI with Mean-Variance Goals
2014
A fuzzy portfolio selection model is presented incorporating a socially responsible goal without discarding a priori financially good portfolios or weakening a priori the financial goals. Hence, the optimal portfolios it provides could be either efficient from the strictly financial point of view or non-efficient if leaving the efficient frontier substantially improves the degree of social responsibility. The model can be used to direct heuristic procedures in order to select a reduced number of various alternatives from which the investor can directly make a final decision.
Fire risk sub-module assessment under solvency II. Calculating the highest risk exposure
2021
The European Directive 2009/138 of Solvency II requires adopting a new approach based on risk, applying a standard formula as a market proxy in which the risk profile of insurers is fundamental. This study focuses on the fire risk sub-module, framed within the man-made catastrophe risk module, for which the regulations require the calculation of the highest concentration of risks that make up the portfolio of an insurance company within a radius of 200 m. However, the regulations do not indicate a specific methodology. This study proposes a procedure consisting of calculating the cluster with the highest risk and identifying this on a map. The results can be applied immediately by any insur…
WORKING CAPITAL AS AN ENTERPRISE VALUE ASSESSMENT TOOL
2019
The valuation of an entity in off-exchange transactions involves the use of different techniques. Nevertheless, none of them guarantees the most accurate result. Therefore, it is very difficult to choose one evaluation method. Both investors, corporate managers, financial professionals, portfolio managers, and securities analysts should have a basic understanding of the process of evaluating companies. To that end, professionals recommend evaluating a company’s financial reports to detect its financial position and solvency. According to the methods of financial analysis, working capital is one of the solvency ratios, which describes the value of resources that remain after the company’s cu…
Risk management optimization for sovereign debt restructuring
2015
Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed "conditional Debt-at-Risk". A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, multiple…
Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies
2021
This paper presents a novel perspective on the interaction between equity and currency markets in emerging market economies (EMEs) by (i) examining the nonlinear effects of capital flows on return spillovers between the stock and currency markets in a sample of twelve EMEs via the causality-in-quantiles approach of Balcilar et al., (2016), and (ii) providing a comparative analysis of the influence of debt versus equity flows over the spillover patterns. We show that the causal effects of international debt and equity flows on return spillovers across the equity and FX markets are largely concentrated at lower quantiles, suggesting that the arrival of information via capital flows tends to e…
Networks of equities in financial markets
2004
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Hierarchical Structure in Financial Markets
1998
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of sto…
High-frequency trading and networked markets
2021
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members’ interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network th…