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A dynamic stochastic programming model for international portfolio management
(2008)
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms of scenario trees that reflect the empirical ...
Predicting corporate failure: empirical evidence for the UK
(2004)
The main purpose of this study is to examine the incremental information content of operating cash flows in predicting financial distress and thus develop reliable failure prediction models for UK public industrial firms. ...