102,166 research outputs found
A stochastic programming model for dynamic portfolio management with financial derivatives
No full textStochastic optimization models have been extensively applied to financial portfolios and have proven their effectiveness in asset and asset-liability management. Occasionally, however, they have been applied to dynamic portfolio problems including not only assets traded in secondary markets but also derivative contracts such as options or futures with their dedicated payoff functions. Such extension allows the construction of asymmetric payoffs for hedging or speculative purposes but also leads to several mathematical issues. Derivatives-based nonlinear portfolios in a discrete multistage stochastic programming (MSP) framework can be potentially very beneficial to shape dynamically a portfolio return distribution and attain superior performance. In this article we present a portfolio model with equity options, which extends significantly previous efforts in this area, and analyse the potential of such extension from a modeling and methodological viewpoints. We consider an asset universe and model portfolio set-up including equity, bonds, money market, a volatility-based exchange-traded-fund (ETF) and over-the-counter (OTC) option contracts on the equity. Relying on this market structure we formulate and analyse, to the best of our knowledge, for the first time, a comprehensive set of optimal option strategies in a discrete framework, including canonical protective puts, covered calls and straddles, as well as more advanced combined strategies based on equity options and the volatility index. The problem formulation relies on a data-driven scenario generation method for asset returns and option prices consistent with arbitrage-free conditions and incomplete market assumptions. The joint inclusion of option contracts and the VIX as asset class in a dynamic portfolio problem extends previous efforts in the domain of volatility-driven optimal policies. By introducing an optimal trade-off problem based on expected wealth and Conditional Value-at-Risk (CVaR), we formulate the problem as a stochastic linear program and present an extended set of numerical results across different market phases, to discuss the interplay among asset classes and options, relevant to financial engineers and fund managers. We find that options’ portfolios and trading in options strengthen an effective tail risk control, and help shaping portfolios returns’ distributions, consistently with an investor's risk attitude. Furthermore the introduction of a volatility index in the asset universe, jointly with equity options, leads to superior risk-adjusted returns, both in- and out-of-sample, as shown in the final case-study
I consigli di amministrazione come team decisionali: i risultati di uno studio empirico sulla relazione tra processi e performance
No full textSviluppo di un modello teorico che analizza i consigli di amministrazione come team decisionali. Analisi empirica sulla funzionalità di tali consigli in Itali
Il sindacato giurisdizionale sugli atti non politici dei Consigli regionali (I Consigli regionali ed i Giudici di Berlino - atto II) nota a Corte di Cassazione, Sez. Unite, ordinanza 18 maggio 2006.
No full textIl sindacato giurisdizionale sugli atti non politici dei Consigli regionali
(I Consigli regionali ed i Giudici di Berlino - atto II) nota a Corte di Cassazione, Sez. Unite, ordinanza 18 maggio 2006
Cinque anni dopo. Le disfunzionalità del sistema elettorale e la debole efficacia rappresentativa dei Consigli Metropolitani
No full textLa legge n. 56/2014 (“Delrio”) ha uno dei suoi perni nella definitiva istituzione delle Città Metropolitane, cui sono affidate funzioni fondamentali per lo sviluppo del territorio. A cinque anni dalle prime elezioni e dall’insediamento di cinque Consigli Metropolitani, eletti secondo un modello indiretto, il contributo esplora la loro efficacia rappresentativa mediante un esame delle modifiche nella loro composizione, anche alla luce della rappresentanza territoriale e di genere. Si sviluppano quindi alcune considerazioni pertinenti in vista dell’imminente tornata elettorale metropolitana
La partecipazione delle associazioni di immigrati alle attività dei consigli territoriali per l’immigrazione
No full textIl volume contiene il rapporto di ricerca relativo realizzato nell’ambito del servizio di “Indagine sulla partecipazione delle associazioni di immigrati alle attività dei Consigli territoriali per l’immigrazione istituiti con DPCP 18/12/99 ex art. 57 del DPR 394/99 e s.m.i. in tutte le Prefetture”. UTG a valere sul Fondo Europeo per l’integrazione dei cittadini non Ue (FEI 2007-2013, azione 6 - Mediazione culturale e dialogo interculturale - annualità 2012), commissionato a FONDACA Fondazione per la cittadinanza attiva, e IPRS, Istituto Psicoanalitico per le Ricerche Sociali
Multi-Period Risk Measures and Optimal Investment Policies
No full textThis chapter provides an in-depth overview of an extended set of multi-period risk measures, their mathematical and economic properties, primarily from the perspective of dynamic risk control and portfolio optimization. The analysis is structured in four parts: the first part reviews characterizing proper- ties of multi-period risk measures, it examines their financial foundations, and clarifies cross-relationships. The second part is devoted to three classes of multi- period risk measures, namely: terminal, additive and recursive. Their financial and mathematical properties are considered, leading to the proposal of a unifying representation. Key to the discussion is the treatment of dynamic risk measures taking their relationship with evolving information flows and time evolution into account: after convexity and coherence, time consistency emerges as a key property required by risk measures to effectively control risk exposure within dynamic programs. In the third part, we consider the application of multi-period measures to optimal investment policy selection, clarifying how portfolio selection models adapt to different risk measurement paradigms. In the fourth part we summarize and point out desirable developments and future research directions. Throughout the chapter, attention is paid to the state-of-the-art and methodological and modeling implications
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