Portfolio optimization under Solvency II
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Operations Research"
DOI: 10.1007/s10479-018-2835-x
Abstract: In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints… read more here.
Keywords: investment strategies; portfolio optimization; optimization solvency; solvency ... See more keywords
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Sign Up to like & getrecommendations! Published in 2018 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2018.09.007
Abstract: In this paper, we study the equilibrium proportional reinsurance and investment strategies for an insurer in an environment with parameter uncertainties. The insurer can buy proportional reinsurance business to hedge its insurance risks. However, the… read more here.
Keywords: time consistent; proportional reinsurance; investment strategies; reinsurance investment ... See more keywords
Optimal investment strategies for general utilities under dynamic elasticity of variance models
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DOI: 10.1080/14697688.2017.1397284
Abstract: This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance… read more here.
Keywords: investment strategies; optimal investment; dynamic elasticity; elasticity variance ... See more keywords
Market impact shapes competitive advantage of investment strategies in financial markets
Sign Up to like & getrecommendations! Published in 2022 at "PLoS ONE"
DOI: 10.1371/journal.pone.0260373
Abstract: The formation of an efficient market depends on the competition between different investment strategies, which accelerates all available information into asset prices. By incorporating market impact and two kinds of investment strategies into an agent-based… read more here.
Keywords: investment strategies; risk; market impact; market ... See more keywords
Investment Strategies for Increasing the Agribusiness Competitiveness
Sign Up to like & getrecommendations! Published in 2021 at "Economy of Region"
DOI: 10.17059/ekon.reg.2021-2-20
Abstract: Nowadays, investment in national agri-food systems is of significant interest, as it is a necessary condition for implementing large-scale technological innovations which are crucial not only for this particular system, but for Russian economy in… read more here.
Keywords: production; investment; agribusiness competitiveness; investment strategies ... See more keywords
An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE)
Sign Up to like & getrecommendations! Published in 2018 at "Asian Economic and Financial Review"
DOI: 10.18488/journal.aefr.2018.84.449.465
Abstract: Purpose: There is extensive international evidence that contrarian strategy yields positive abnormal returns for long-term periods. However, this topic has received scarce attention in Pakistan. This research study in line with De Bondt and Thaler… read more here.
Keywords: contrarian investment; investment strategies; stock exchange; karachi stock ... See more keywords
Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index
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DOI: 10.3390/e24020158
Abstract: This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment… read more here.
Keywords: arima sgarch; index; algorithmic investment; hybrid arima ... See more keywords
Evaluating Environmental, Social, and Governance Criteria and Green Finance Investment Strategies Using Fuzzy AHP and Fuzzy WASPAS
Sign Up to like & getrecommendations! Published in 2023 at "Sustainability"
DOI: 10.3390/su15086786
Abstract: The evaluation and prioritization of environmental, social, and governance (ESG) factors are critical for green finance investment strategies. However, ESG criteria are complex and varied concepts that call for a systematic and reliable ranking system… read more here.
Keywords: investment strategies; finance; environmental social; social governance ... See more keywords