When economic capital is calculated using a portfolio model of credit value-at-risk, the marginal capital requirement for an instrument depends, in general, on the properties of the portfolio in which it is held. By contrast, ratings-based capital rules, including both the current Basel Accord and its proposed revision, assign a capital charge to an instrument based only on its own characterist...

Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by E.R. Fernholz in the papers (Journal of Mathematical Economics, 1999; Finance & Stochastics, 2001) and in the monograph Stochastic Portfolio Theory (Springer 2002). It was further developed in the papers Fernholz, Karatzas & Kardaras (Finance & Stochast...

This is an experience report on automated mass maintenance of a large Cobol software portfolio. A company in the financial services and insurance industry upgraded their database system to a new version, affecting their entire software portfolio. The database system was accessed by the portfolio of 45 systems, totalling nearly 3000 programs and covering over 4 million lines of Cobol code. We up...

A general equilibrium model with uncertainty and production externalities is studied. In absence of markets for externalities, we look for governances and conditions under which majority voting among shareholders is likely to give rise to efficient internalization. Two observations leed the analysis: On the one hand, the shareholders with the right incentives for efficient internalization are t...

Organizations must take decisions on how to allocate resources to `go/nogo' projects to maximize the value of their project portfolio. Often these decisions are complicated by several value criteria, multiple resource types and exogenous uncertainties that in uence the projects' values. Especially when the number of projects is large, the e ciency of the resource allocation and the quality of t...

portfolios as a means of constructivist learning appear to show great promise in enhancing diverse dimensions of learning and promoting learner motivation. this study is an investigation into the effectiveness of portfolio development on the reading comprehension and academic motivation of undergraduate students majoring in english literature in iran. in order to answer the research questions, ...

Every acquisition program contains risks. But what impact do these risks have on the entire portfolio of acquisition activities? What does risk at the Enterprise level really mean? For example, risk collectively could portend great danger to the acquisition manager’s overall portfolio which might be otherwise masked by traditional program performance and analysis. Alternatively, these risks als...

BACKGROUND Portfolios, widely used in undergraduate and postgraduate medicine, have variable purposes, formats and success. A recent systematic review summarised factors necessary for successful portfolio introduction but there are no studies investigating the views of students inexperienced in portfolio use towards portfolio learning. This study's aim was to survey student views about a prospe...