Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Frank J. Fabozzi"'
Publikováno v:
European Journal of Operational Research. 297:1162-1177
The recovery rate on defaulted corporate bonds has a time-varying distribution, a topic that has received limited attention in the literature. We apply machine learning approaches for intertemporal analysis of U.S. corporate bonds’ recovery rates.
Publikováno v:
European Journal of Operational Research. 262:780-791
In this paper, fuzzy decision fusion techniques are applied to predict loss-given-default of corporate bonds. In our model, we add the principal components derived from more than 100 macroeconomic variables as explanatory variables. However, in order
Publikováno v:
European Journal of Operational Research. 234:356-371
The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60 year anniversary of Harry Markowitz’s paper “Portfolio S
Publikováno v:
European Journal of Operational Research. 234:411-421
Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to mean–variance portfolios. However, since the
Autor:
Alfred W. Bachner, Frank J. Fabozzi
Publikováno v:
European Journal of Operational Research. 3:190-198
Increased criticism has been directed in recent years at the present fixed step salary method used for compensating civil servants. Under this method the relative monetary value of an individual to the department of agency is based only on two factor