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Now showing items 21-23 of 23
The determinants and valuation effects of classification choice on the statement of cash flows
(2018)
In this paper we exploit the choice allowed by International Financial Reporting Standards (IFRS) regarding the presentation of interest payments on the cash flow statement to answer two related questions: First, whether ...
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(2018)
We develop robust models for optimization of the VaR (value at risk) and CVaR (conditional value at risk) risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and ...
Portfolio diversification in the sovereign credit swap markets
(2018)
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...