This paper presents a theory of risk management in which the choices of managers over effort and risk are imperfectly monitored by outsiders. In a principal-agent framework, risk management can reduce extraneous noise in the variables outsiders observe or create opportunities for self-dealing behavior. Solving this trade-off, the analysis characterizes which events should be hedged and how exec...

We consider a large investor hedging a long or short options position, whose trades generate adverse market impact. Unlike the complete-market or proportional transaction cases, the agent no longer finds it tenable to be perfectly hedged or even within a fixed distance of being hedged. Instead, he may find himself arbitrarily mishedged and optimally trades towards the classical Black-Scholes de...

We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. derive semi-closed form for an optimal strategy with dual objectives -- to minimise both variance of hedged portfolio and probability liquidations due insufficient collateral. The solution depends on statistical characteristics spot extreme returns parameters that characte...

This paper discusses the use of multilayer feed forward neural networks for predicting a stock's excess return based on its exposure to various technical and fundamental factors. To demonstrate the effectiveness of the approach a hedged portfolio which consists of equally capitalized long and short positions is constructed and its historical returns are benchmarked against T-bill returns and th...

Motivated by the influenza vaccine industry, we study a supply chain contracting problem under the presence of uncertainties that are related to product design, delivery, and demand, respectively. The supply chain consists of a manufacturer and a retailer, where the retailer places an order before the flu season starts and the manufacturer decides on when to produce the products. Because produc...

The mastering of handwriting is so essential in our society that it is important to try to find new methods for facilitating its learning and rehabilitation. The ability to control the graphic movements clearly impacts on the quality of the writing. This control allows both the programming of letter formation before movement execution and the online adjustments during execution, thanks to diver...