1,720,967 research outputs found
Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case
Full text linkModern insurance products are becoming increasingly complex, offering various guarantees,
surrender options and bonus provisions. A case in point are the with-profits insurance
policies offered by UK insurers. While these policies have been offered in some form for centuries,
in recent years their structure and management have become substantially more
involved. The products are particularly complicated due to the wide discretion they afford
insurers in determining the bonuses policyholders receive. In this paper, we study the problem
of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The
resulting optimization problem, a non-linear program with stochastic variables, is presented in
detail. Numerical results show how the model can be used to analyse the alternatives available
to the insurer, such as different bonus policies and reserving methods
www.Personal_Asset_Allocation.
Full text linkToday consumers demand delivery of financial services anytime and anywhere, and their needs and desires
are evolving rapidly. The World Wide Web provides a rich channel for distributing customized services to a
range of clients. An Internet-based system developed by Prometeia S.r.l. for Italian banks—both traditional
and e-banks—supports consumers and financial advisors in planning personal finances. The system provides
advice on allocating personal assets to fund consumers’ needs, such as paying for a house, children’s education,
retirement, or other projects. State-of-the-art models of financial engineering—based on scenario optimization—
develop plans that are consistent with clients’ goals, their attitudes towards risk, and the prevailing views on
market performance. The system then helps clients to select off-the-shelf financial products, such as mutual
funds, to create customized portfolios. Finally, it analyzes the risk of portfolios in terms that are intuitive for
laypersons and monitors their performance in achieving the target goals. Four major banks use the system to
support their networks of several thousand financial advisors and to reach tens of thousands of clients directly
Scenario Optimization Asset and Liability Modelling for Individual Investors
Full text linkWe develop a scenario optimization model for asset and liability management of
individual investors. The individual has a given level of initial wealth and a target goal to be
reached within some time horizon. The individual must determine an asset allocation strategy
so that the portfolio growth rate will be sufficient to reach the target. A scenario optimization
model is formulated which maximizes the upside potential of the portfolio, with limits on
the downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochastic
behavior of asset returns is captured through bootstrap simulation, and the simulation is
embedded in the model to determine the optimal portfolio. Post-optimality analysis using
out-of-sample scenarios measures the probability of success of a given portfolio. It also
allows us to estimate the required increase in the initial endowment so that the probability of
success is improved
Practical Financial Optimization: A Library of GAMS Models
No full textIn Practical Financial Optimization: A Library of GAMS Models, the authors provide
a diverse set of models for portfolio optimization, based on the General Algebraic
Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic
representation of mathematical models and a set of solvers --- numerical algorithms ---
to solve them. The system was developed in response to the need for powerful and
flexible front-end tools to manage large, real-life models.
The work begins with an overview of the structure of the GAMS language, and
discusses issues relating to the management of data in GAMS models. The authors
provide models for mean-variance portfolio optimization which address the
question of trading off the portfolio expected return against its risk. Fixed income
portfolio optimization models perform standard calculations and allow the user to
bootstrap a yield curve from bond prices. Dedication models allow for standard
portfolio dedication with borrowing and re-investment decisions, and are extended
to deal with maximisation of horizon return and to incorporate various practical
considerations on the portfolio tradeability. Immunization models provide for the
factor immunization of portfolios of treasury and corporate bonds.
The scenario-based portfolio optimization problem is addressed with mean absolute
deviation models, tracking models, regret models, conditional VaR models, expected
utility maximization models and put/call efficient frontier models. The authors
employ stochastic programming for dynamic portfolio optimization, developing
stochastic dedication models as stochastic extensions of the fixed income models
discussed in chapter 4. Two-stage and multi-stage stochastic programs extend the
scenario models analysed in Chapter 5 to allow dynamic rebalancing of portfolios as
time evolves and new information becomes known. Models for structuring index
funds and hedging interest rate risk on international portfolios are also provided.
The final chapter provides a set of 'case studies': models for large-scale applications
of portfolio optimization, which can be used as the basis for the development of
business support systems to suit any special requirements, including models for the
management of participating insurance policies and personal asset allocation.
The title will be a valuable guide for quantitative developers and analysts, portfolio
and asset managers, investment strategists and advanced students of financ
Auditing Public Debt Using Risk Management
No full textThe Audit Office of the Republic of Cyprus conducted the first-ever audit of the country's public debt, seeking answers to two key questions. Is government debt sustainable, and is debt financing efficient and effective in securing the lowest cost with acceptable risks? The audit's findings were discussed by the parliament and can have significant ramifications for public finance. However, public debt management is quite complex, and the International Organization of Supreme Audit Institutions suggests that sufficient technical knowledge is essential in undertaking an audit, including an understanding of the uncertain macroeconomy, financing conditions, and government fiscal stance. We use a risk management model based on scenario trees in conducting the audit. The model determines optimal debt financing strategies to benchmark the performance of the country's Public Debt Management Office and answer the audit questions. We also incorporate an integrated assessment model to examine the risks from climate change. The auditor general presented the findings to the Parliamentary Audit Committee in the presence of the Minister of Finance, and his recommendations are expected to have a significant impact on the debt operations of the country
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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