New Operational Approaches for Financial Modelling

ISBN-13: 9783790810431 / Angielski / Miękka / 1997 / 454 str.

Constantin Zopounidis

Opis

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. )."

Spis treści

I. New Trends in Financial Modelling.- Financial modelling in the new paradigm of the decision theory.- Optimization techniques for portfolio selection.- II. High Performance Computing and Finance.- Asset liability management for pension funds: Elements of Dert’s model.- Postoptimality for a bond portfolio management model.- Demand for assets by heterogeneous agents in the Italian markets.- III. Financial Markets, Portfolio Theory and Selection.- Recent developments in modelling abnormal stock returns: A review essay.- Warrants pricing in a thin market: Case of Thailand.- “Ebb and flow” of fundamentalist, imitator and contrarian investors in a financial market.- Applicability of the CAPM on the Hungarian stock market: An empirical investigation.- Stock market behaviour and imitation: Some further results.- On selecting a portfolio of lease contracts in an asset-backed securitization process.- IV. Financial Forecasting.- Nonlinear error-correction models in the Greek money market.- An investigation into alternative indicators of risk exposure: A case study at the export credits guarantee department (U.K.).- Disappearing clouds: Weather influences on retail sales.- V. Corporate Finance: Investment and Financing Decisions.- Firm finance and growth: An empirical analysis.- Investment project analysis and financing mix: A new method in sight?.- A new linear programming formulation for the capital rationing problem.- VI. Insurance Companies and Financial Modelling.- Modelling shareholder value of insurance companies.- Zero-utility premium and time.- On the use of multicriteria methods for the evaluation of insurance companies in Greece.- VII. Stochastic Modelling and Uncertainty in Finance.- Preferences for early resolution of risk in financial markets with asymmetric information.- GARCH models as diflusion approximation: A simulation approach for currency hedging using options.- Antiusury laws and market interest rate dynamics.- Selection of investment using a decision tree.- VIII. Data Analysis and Financial Accounting.- Accounting ratios as factors of rate of return on equity.- Multivariate analysis in segment reporting by large industry firms in Greece.- An alternative proposal in evaluating the performance of mutual funds.- IX. Multicriteria Analysis in Financial Decisions.- A circumscribed ellipsoid method for multiobjective programming and applications to financial planning.- A decision support approach based on multicriterion Q-Analysis for the evaluation of corporate performance and viability.- Establishing efficiency benchmarks of bank branches.- Preference disaggregation methodology in segmentation problems: The case of financial distress.- Linear and dynamic modelisations of defeasance operations.- Author Index.