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Portfolio stress testing applied to commodity futures 应用于商品期货的投资组合压力测试
IF 0.9
Computational Management Science Pub Date : 2020-06-01 DOI: 10.1007/s10287-020-00370-9
Florentina Paraschiv, Stine Marie Reese, Margrethe Ringkjøb Skjelstad
{"title":"Portfolio stress testing applied to commodity futures","authors":"Florentina Paraschiv, Stine Marie Reese, Margrethe Ringkjøb Skjelstad","doi":"10.1007/s10287-020-00370-9","DOIUrl":"https://doi.org/10.1007/s10287-020-00370-9","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"17 1","pages":"203 - 240"},"PeriodicalIF":0.9,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-020-00370-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46361305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Directional approach to gradual cover: the continuous case 逐步覆盖的定向方法：连续案例
IF 0.9
Computational Management Science Pub Date : 2020-04-06 DOI: 10.1007/s10287-020-00378-1
T. Drezner, Z. Drezner, P. Kalczynski
{"title":"Directional approach to gradual cover: the continuous case","authors":"T. Drezner, Z. Drezner, P. Kalczynski","doi":"10.1007/s10287-020-00378-1","DOIUrl":"https://doi.org/10.1007/s10287-020-00378-1","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"18 1","pages":"25 - 47"},"PeriodicalIF":0.9,"publicationDate":"2020-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-020-00378-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48748138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case 论Wishart过程在股票衍生品定价中的应用:多资产案例
IF 0.9
Computational Management Science Pub Date : 2019-10-08 DOI: 10.2139/ssrn.3466259
G. La Bua, D. Marazzina
{"title":"On the application of Wishart process to the pricing of equity derivatives: the multi-asset case","authors":"G. La Bua, D. Marazzina","doi":"10.2139/ssrn.3466259","DOIUrl":"https://doi.org/10.2139/ssrn.3466259","url":null,"abstract":"Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assume to describe asset volatility as an additional stochastic process), it appears desirable to introduce reliable dynamics in order to take into account the presence of several assets involved in the definition of multi-asset payoffs. In this article we deal with the multi asset Wishart Affine Stochastic Correlation model, that makes use of Wishart process to describe the stochastic variance covariance matrix of assets return. The resulting parametrization turns out to be a genuine multi-asset extension of the Heston model: each asset is exactly described by a single instance of the Heston dynamics while the joint behaviour is enriched by cross-assets and cross-variances stochastic correlation, all wrapped in an affine modeling. In this framework, we propose a fast and accurate calibration procedure, and two Monte Carlo simulation schemes.","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"18 1","pages":"149 - 176"},"PeriodicalIF":0.9,"publicationDate":"2019-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49127636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Uncertainty, economics and optimization: recent developments 不确定性、经济性和优化:最近的发展
IF 0.9
Computational Management Science Pub Date : 2019-10-01 DOI: 10.1007/s10287-019-00360-6
W. Gutjahr, A. Pichler
{"title":"Uncertainty, economics and optimization: recent developments","authors":"W. Gutjahr, A. Pichler","doi":"10.1007/s10287-019-00360-6","DOIUrl":"https://doi.org/10.1007/s10287-019-00360-6","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"16 1","pages":"541 - 543"},"PeriodicalIF":0.9,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-019-00360-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47348488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring the dynamics of business survey data using Markov models 使用马尔可夫模型探索商业调查数据的动态
IF 0.9
Computational Management Science Pub Date : 2019-07-25 DOI: 10.1007/s10287-019-00354-4
Werner Hölzl, S. Kaniovski, Y. Kaniovski
{"title":"Exploring the dynamics of business survey data using Markov models","authors":"Werner Hölzl, S. Kaniovski, Y. Kaniovski","doi":"10.1007/s10287-019-00354-4","DOIUrl":"https://doi.org/10.1007/s10287-019-00354-4","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"16 1","pages":"621 - 649"},"PeriodicalIF":0.9,"publicationDate":"2019-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-019-00354-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44632883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Robustness analysis of generalized Jackson network 广义Jackson网络的鲁棒性分析
IF 0.9
Computational Management Science Pub Date : 2019-07-23 DOI: 10.1007/s10287-019-00355-3
J. Berkhout, B. Heidergott, Jennifer Sommer, H. Daduna
{"title":"Robustness analysis of generalized Jackson network","authors":"J. Berkhout, B. Heidergott, Jennifer Sommer, H. Daduna","doi":"10.1007/s10287-019-00355-3","DOIUrl":"https://doi.org/10.1007/s10287-019-00355-3","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"16 1","pages":"697 - 714"},"PeriodicalIF":0.9,"publicationDate":"2019-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-019-00355-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42160343","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tropical optimization technique in bi-objective project scheduling under temporal constraints 时间约束下双目标项目调度的热带优化技术
IF 0.9
Computational Management Science Pub Date : 2019-07-21 DOI: 10.1007/s10287-020-00374-5
N. Krivulin
{"title":"Tropical optimization technique in bi-objective project scheduling under temporal constraints","authors":"N. Krivulin","doi":"10.1007/s10287-020-00374-5","DOIUrl":"https://doi.org/10.1007/s10287-020-00374-5","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"17 1","pages":"437 - 464"},"PeriodicalIF":0.9,"publicationDate":"2019-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-020-00374-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44291747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Asset allocation under predictability and parameter uncertainty using LASSO 基于LASSO的可预测性和参数不确定性下的资产配置
IF 0.9
Computational Management Science Pub Date : 2019-07-18 DOI: 10.2139/ssrn.3257749
Andrea Rigamonti, Alex Weissensteiner
{"title":"Asset allocation under predictability and parameter uncertainty using LASSO","authors":"Andrea Rigamonti, Alex Weissensteiner","doi":"10.2139/ssrn.3257749","DOIUrl":"https://doi.org/10.2139/ssrn.3257749","url":null,"abstract":"We consider a short-term investor who exploits return predictability in stocks and bonds to maximize mean-variance utility. Since the true parameters are unknown, we resort to portfolio optimization in form of linear regression with LASSO in order to mitigate problems related to estimation errors. As standard cross-validation relies on the assumption of i.i.d. returns, we propose a new type of cross-validation that selects $$ lambda $$ λ from simulated returns sampled from a multivariate normal distribution. We find an inverse U-shaped relationship between the selected $$ lambda $$ λ and the expected utility, and we show that the optimal value of $$ lambda $$ λ declines as the number of observations used to estimate the parameters increases. We finally show how our strategy outperforms some commonly employed benchmarks.","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"1 1","pages":"1-23"},"PeriodicalIF":0.9,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46417374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Dynamic portfolio allocation in goals-based wealth management 基于目标的财富管理中的动态投资组合配置
IF 0.9
Computational Management Science Pub Date : 2019-06-04 DOI: 10.1007/s10287-019-00351-7
Sanjiv Ranjan Das, Daniel N. Ostrov, Anand Radhakrishnan, Deep Srivastav
{"title":"Dynamic portfolio allocation in goals-based wealth management","authors":"Sanjiv Ranjan Das, Daniel N. Ostrov, Anand Radhakrishnan, Deep Srivastav","doi":"10.1007/s10287-019-00351-7","DOIUrl":"https://doi.org/10.1007/s10287-019-00351-7","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"17 1","pages":"613 - 640"},"PeriodicalIF":0.9,"publicationDate":"2019-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-019-00351-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47126551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
The Skew Normal multivariate risk measurement framework 偏正态多变量风险测量框架
IF 0.9
Computational Management Science Pub Date : 2019-05-23 DOI: 10.1007/s10287-019-00350-8
Mauro Bernardi, R. Cerqueti, A. Palestini
{"title":"The Skew Normal multivariate risk measurement framework","authors":"Mauro Bernardi, R. Cerqueti, A. Palestini","doi":"10.1007/s10287-019-00350-8","DOIUrl":"https://doi.org/10.1007/s10287-019-00350-8","url":null,"abstract":"","PeriodicalId":46743,"journal":{"name":"Computational Management Science","volume":"17 1","pages":"105 - 119"},"PeriodicalIF":0.9,"publicationDate":"2019-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10287-019-00350-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52610422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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