Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Title
Now showing items 343-362 of 439
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The relation between changes in the information content of earnings and expected stock returns: Empirical evidence for Japan
(2012)This paper examines the relationship between changes in the information content of earnings with expected stock returns for the Japanese market during the period of 1991-2001. Results show that a mimicking portfolio return ...
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Working Paper Open Access
Risk management for sovereign financing within a debt sustainability framework
(European Stability Mechanism Working Paper No. 31, 2018-09)The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing ...
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Working Paper Open Access
Risk management optimization for sovereign debt restructuring
(Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...
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Robust Optimization of Large-Scale Systems
(1995)Mathematical programming models with noisy, erroneous, or incomplete data are common in operations research applications. Difficulties with such data are typically dealt with reactively—through sensitivity analysis—or ...
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Working Paper Open Access
Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2016-04)We develop robust models for optimization of the VaR and CVaR risk measures with a minimum expected return constraint under joint ambiguity in distribution, mean returns, and covariance matrix. We formulate models for ...
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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 ...