This paper uses a stochastic dynamic programming model to explore savings and portfolio decisions in an environment in which both yield risk and endogenous asset-price risk exist, and a subsistence constraint creates an inter-temporal link between current consumption and future labor power. Numerical analysis of the model shows that optimal portfolio strategies bifurcate. Initially wealthier ag...

Collateralized debt obligations, which are are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stocha...

Value at risk is an important measure of extent to which a given portfolio is subject to different kinds of risk present in financial markets. Considerable amount of research was dedicated during recent years to development of acceptable methods for evaluation of this risk measure. In this paper we go beyond estimation of value at risk and address the following questions. Suppose that a boundar...

This paper addresses the problem of hedging a portfolio of fixed-income cashflows. We first briefly review the traditional duration hedging method, which is heavily used by practitioners. That approach is based on a series of very restrictive and simplistic assumptions, including the assumptions of a small and parallel shift in the yield curve. We know however that large variations can affect t...

provided the original work is properly cited. CC Patients, especially pediatric patients, with a recent history of an upper respiratory tract infection (URI) are at a significantly increased risk for the development of intraoperative airway complications due to airway hyperreactivity. For these patients, the incidence for bronchospasm can be 10 times the incidence for those patients who did not...

One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpf...

The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic and rigid assumptions including, in particular, the constancy of the return on the “hedge portfolio”. There, now, subsists ample justification to the effect that this is not the case. Consequently, several generalisations of ...

Recent years have seen an increasing interest in IT project portfolio management. Consequently, a considerable number of respective practices and approaches have been published. However, these contributions are scattered through a large number of journals and conferences and address very different topics. Therefore, this contribution sets out to locate the relevant body of literature related to...