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Mean-Variance Analysis in a Multiperiod Setting

Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is…

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English / 01/01/1997

Evaluation report

ELECTRA Project

English / 01/01/1997

Integrative Systems Methodology: Heuristic for Requisite Variety

The author introduces a new methodological framework for dealing with complex issues, named Integrative Systems Methodology (ISM). ISM is a general heuristic to help actors in organizations and society achieve requisite variety. For this purpose, numerous "problem solving" approaches have been developed. ISM is aimed at overcoming the drawbacks of many established…

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English / 01/01/1997

Stochastic Programming Tutorial for Financial Decision Making (The Saddle Property of Optimal Profits)

The complexity of the interaction between time and uncertainty made finance models to one of the most important applications of probability theory and optimization theory. Stochastic programming combines those two fields with the intention to design methodologies for planning under uncertainty. This tutorial consists of two parts, written for practitioners, in particular financial…

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English / 01/01/1996

What size should banks want to be?

Contents

1. The optimal size of a single bank depends on the technology
2. To which degree should a bank wish to be regulated?
3. Banks versus capital markets

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English / 01/01/1996

Evaluation Guidelines

ELECTRA Project

English / 01/01/1996

Trade Liberalisation in South East Asia

Washington, D.C.; 1996; Download des Manuskripts: (pdf, 461k)

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English / 01/01/1996

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