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Purpose – To develop a new theory of portfolio and risk based on incremental entropy and Markowitz's theory. Design/methodology/approach – Replacing arithmetic, the mean return adopted by M.H. Markowitz, with geometric mean return as a criterion for assessing a portfolio, one gets incremental...
Purpose – Country alpha swaps are proposed to facilitate emerging market risk‐sharing, even during global financial crises. Country alphas measure risk‐adjusted performance by subtracting the product of average world index returns and the country's beta, measuring its contribution to global...
Purpose – In forecasting unknown quantities, risk and finance decision makers often rely on one or more biased experts, statistical specialists representing parties with an interest in the decision maker's final forecast. This problem arises in a variety of contexts, and the decision maker may...
Purpose – Demonstrates the feasibility of, and introduces a practical approach to enhancing, reinsurance efficiency using index‐based instruments. Design/methodology/approach – First reviews the general mathematical framework of reinsurance optimization. Next, illustrates how index‐based...
Purpose – Discusses why it is necessary to align a mathematical model with the organization in order to achieve the desired results. The structure of a model's input must fit with the structure of data collection in the firm, and the output must be consistent with the decision structure....
Purpose – To contrast the different factors that can determine the level of debt of firms by means of panel data methodology. Design/methodology/approach – The variables used in the study are: size, generated resources, level of warrants, debt cost, growth opportunities, and reputation. Six...
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