Ebook: New Operational Approaches for Financial Modelling

th This book is devoted to the 19 Meeting of the EURO Working Group on Financial Modelling, held in Chania, Crete, Greece,November28-30, 1996. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "the development of financial models that help to solve problems facedby financial managers in the firm". From this point of view, the following objectivesof the Working Group are distinguished: • providing an international forum for exchange of information and experience on financial modelling; • encouraging research in financial modelling (i. e. new techniques, methodologies, software,empirical studies,etc. ); • stimulating and strengthening the interaction between financial economic theory and the practice of financial decision making; • cooperating and exchanging information with universities and financial institutions throughout Europe. According to the aboveobjectives,the basic aim of this book is to present some new operational approaches (i. e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc. ) for financial modelling, both in a theoretical and practical levels. Thus, the present volume is divided in nine chapters. The first chapter refers to the new trends in financial modelling and includes two invited papers by Gil-Aluja and Pardalos. The second chapter involves papers on the topic of high performance computing and finance which is a European union project in which participate some members of the EURO Working Group on Financial Modelling (Spronk, Zenios, Dempster, etc. ).

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This book is devoted to the 19th Meeting of the EURO Working Group on Financial Modelling. Its basic aim is to present some new operational approaches (i.e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc.) for financial modelling, both in a theoretical and practical levels.

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This book is devoted to the 19th Meeting of the EURO Working Group on Financial Modelling. Its basic aim is to present some new operational approaches (i.e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc.) for financial modelling, both in a theoretical and practical levels.
Content:
Front Matter....Pages I-XI
Front Matter....Pages 1-1
Financial Modelling in the New Paradigm of the Decision Theory....Pages 3-18
Optimization Techniques for Portfolio Selection....Pages 19-33
Front Matter....Pages 35-35
Asset Liability Management for Pension Funds: Elements of Dert’s Model....Pages 37-48
Postoptimality for a Bond Portfolio Management Model....Pages 49-62
Demand for Assets by Heterogeneous Agents in the Italian Markets....Pages 63-79
Front Matter....Pages 81-81
Recent Developments in Modelling Abnormal Stock Returns: A Review Essay....Pages 83-99
Warrants Pricing in a Thin Market: Case of Thailand....Pages 101-119
‘Ebb and Flow’ of Fundamentalist, Imitator and Contrarian Investors in a Financial Market....Pages 121-132
Applicability of the CAPM on the Hungarian Stock Market: An Empirical Investigation....Pages 133-143
Stock Market Behaviour and Imitation: some further results....Pages 145-156
On Selecting a Portfolio of Lease Contracts in an Asset-Backed Securitization Process....Pages 157-170
Front Matter....Pages 171-171
Nonlinear Error-Correction Models in the Greek Money Market....Pages 173-181
An Investigation into Alternative Indicators of Risk Exposure: A Case Study at the Export Credits Guarantee Department (U.K.)....Pages 183-194
Disappearing Clouds: Weather Influences on Retail Sales....Pages 195-206
Front Matter....Pages 207-207
Firm Finance and Growth: An Empirical Analysis....Pages 209-220
Investment Project Analysis and Financing Mix: A New Method in Sight?....Pages 221-232
A New Linear Programming Formulation for the Capital Rationing Problem....Pages 233-244
Front Matter....Pages 245-245
Modelling Shareholder Value of Insurance Companies....Pages 247-258
Zero-Utility Premium and Time....Pages 259-270
On the Use of Multicriteria Methods for the Evaluation of Insurance Companies in Greece....Pages 271-283
Front Matter....Pages 285-285
Preferences for Early Resolution of Risk in Financial Markets with Asymmetric Information....Pages 287-295
GARCH Models as Diffusion Approximation: A Simulation Approach for Currency Hedging Using Options....Pages 297-310
Antiusury Laws and Market Interest Rate Dynamics....Pages 311-322
Selection of Investment Using a Decision Tree....Pages 323-332
Front Matter....Pages 333-333
Accounting Ratios as Factors of Rate of Return on Equity....Pages 335-348
Multivariate Analysis in Segment Reporting by Large Industry Firms in Greece....Pages 349-364
An Alternative Proposal in Evaluating the Performance of Mutual Funds....Pages 365-374
Front Matter....Pages 375-375
A Circumscribed Ellipsoid Method for Multiobjective Programming and Applications to Financial Planning....Pages 377-388
A Decision Support Approach Based on Multicriterion Q-Analysis for the Evaluation of Corporate Performance and Viability....Pages 389-403
Establishing Efficiency Benchmarks of Bank Branches....Pages 405-416
Preference Disaggregation Methodology in Segmentation Problems: The Case of Financial Distress....Pages 417-439
Linear and Dynamic Modelisations of Defeasance Operations....Pages 441-451
Back Matter....Pages 453-454

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This book is devoted to the 19th Meeting of the EURO Working Group on Financial Modelling. Its basic aim is to present some new operational approaches (i.e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc.) for financial modelling, both in a theoretical and practical levels.
Content:
Front Matter....Pages I-XI
Front Matter....Pages 1-1
Financial Modelling in the New Paradigm of the Decision Theory....Pages 3-18
Optimization Techniques for Portfolio Selection....Pages 19-33
Front Matter....Pages 35-35
Asset Liability Management for Pension Funds: Elements of Dert’s Model....Pages 37-48
Postoptimality for a Bond Portfolio Management Model....Pages 49-62
Demand for Assets by Heterogeneous Agents in the Italian Markets....Pages 63-79
Front Matter....Pages 81-81
Recent Developments in Modelling Abnormal Stock Returns: A Review Essay....Pages 83-99
Warrants Pricing in a Thin Market: Case of Thailand....Pages 101-119
‘Ebb and Flow’ of Fundamentalist, Imitator and Contrarian Investors in a Financial Market....Pages 121-132
Applicability of the CAPM on the Hungarian Stock Market: An Empirical Investigation....Pages 133-143
Stock Market Behaviour and Imitation: some further results....Pages 145-156
On Selecting a Portfolio of Lease Contracts in an Asset-Backed Securitization Process....Pages 157-170
Front Matter....Pages 171-171
Nonlinear Error-Correction Models in the Greek Money Market....Pages 173-181
An Investigation into Alternative Indicators of Risk Exposure: A Case Study at the Export Credits Guarantee Department (U.K.)....Pages 183-194
Disappearing Clouds: Weather Influences on Retail Sales....Pages 195-206
Front Matter....Pages 207-207
Firm Finance and Growth: An Empirical Analysis....Pages 209-220
Investment Project Analysis and Financing Mix: A New Method in Sight?....Pages 221-232
A New Linear Programming Formulation for the Capital Rationing Problem....Pages 233-244
Front Matter....Pages 245-245
Modelling Shareholder Value of Insurance Companies....Pages 247-258
Zero-Utility Premium and Time....Pages 259-270
On the Use of Multicriteria Methods for the Evaluation of Insurance Companies in Greece....Pages 271-283
Front Matter....Pages 285-285
Preferences for Early Resolution of Risk in Financial Markets with Asymmetric Information....Pages 287-295
GARCH Models as Diffusion Approximation: A Simulation Approach for Currency Hedging Using Options....Pages 297-310
Antiusury Laws and Market Interest Rate Dynamics....Pages 311-322
Selection of Investment Using a Decision Tree....Pages 323-332
Front Matter....Pages 333-333
Accounting Ratios as Factors of Rate of Return on Equity....Pages 335-348
Multivariate Analysis in Segment Reporting by Large Industry Firms in Greece....Pages 349-364
An Alternative Proposal in Evaluating the Performance of Mutual Funds....Pages 365-374
Front Matter....Pages 375-375
A Circumscribed Ellipsoid Method for Multiobjective Programming and Applications to Financial Planning....Pages 377-388
A Decision Support Approach Based on Multicriterion Q-Analysis for the Evaluation of Corporate Performance and Viability....Pages 389-403
Establishing Efficiency Benchmarks of Bank Branches....Pages 405-416
Preference Disaggregation Methodology in Segmentation Problems: The Case of Financial Distress....Pages 417-439
Linear and Dynamic Modelisations of Defeasance Operations....Pages 441-451
Back Matter....Pages 453-454
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