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Based on financial status of loan customers, considering the constrain on laws, and regulations, using portfolio profits maximum of bank's assets as objective function, the optimal model of asset-liability-management is set up, in order to provide decision-making method for bank's risk management. The characteristic is that the financial status of loan customers is measured by Z-Score model, which...
In the new power business, the goal of electric generation companies is to commit their services at profit. The committed services will determine the future cash flows and consequently financial performance. However, purely generation assets' cash flows are path-dependent, since the path dependency relies on operational generating units' constraints. This paper focuses on the GenCos' future cash revenue...
This paper discusses the problem of portfolio selection in fuzzy environment. We propose an active portfolio management approach which has practicable steps in fuzzy environment. Since Economic Value Added reflects the true value of enterprises from shareholders' perceptive, we innovatively use the management idea of Economic Value Added to select perspective securities. Then considering the intuitive...
Portfolio optimization is an important research field in modern finance. The most important characteristic within this optimization problem is the risk and the returns. Modern portfolio theory provides a well-developed paradigm to form a portfolio with the highest expected return for a given level of risk tolerance. Multi objective portfolio optimization problem is the portfolio selection process...
The problem of optimal mutual fund investment taking into account possible risks is considered. In this paper we consider lost profit in the growing market and a loss in a falling market as a possible risk. Our studies show that the efficiency of mutual funds can be estimated by nine main parameters obtained by historical data. Evaluation and ranking criteria sets for mutual funds are defined by the...
This electronic document is a "live" template. The paper studies the balance between benefits and risks, when such a generator sales electricity in many trade markets. Firstly, the uncertain risk faced by this generator selling electricity in spot market, contract market and option market will be measured with conditional value at risk (CVaR) theory. Secondly, the mean-CVaR sale portfolio...
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