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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1190039
Description: This paper studies an optimal portfolio selection problem in the presence of the Maximum Value-at-Risk (MVaR) constraint in a hidden Markovian regime-switching environment. The price dynamics of n ris ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1071443
Description: An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The ar ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1182863
Description: This paper studies a supply chain consisting of one supplier and n retailers. The market demand for each retailer is assumed to be dependent on the difference between the retail price and the average ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303613
Description: Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model fo ... More
Reviewed: Reviewed
Date: 2013
Subject Keyword: 010200 Applied Mathematics
Language: eng
Resource Type: book
Identifier: http://hdl.handle.net/1959.14/310167
Description: 243 page(s)
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310861
Description: 5 page(s)
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/262165
Description: One of the central issues in credit risk measurement and management is modeling and predicting correlated defaults. In this paper we introduce a novel model to investigate the relationship between cor ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269884
Description: We discuss a mathematical model for optimal cash management. A firm wishes to manage cash to meet demands for daily operations, and to maximize terminal wealth via bank deposits and stock investments ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271778
Description: 10 page(s)
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174381
Description: This paper introduces a novel approach to discuss an optimal inventory level of a retail product using a real option framework. We consider stochastic models for the evolution of the demand and unit p ... More
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Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188893
Description: We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian r ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188906
Description: We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) constraint when arrivals of the buy and sell orders are governed by a Poisson process. The problem is f ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310917
Description: Modelling dependent defaults has long been a central issue for credit risk measurement and management. To address this important issue, we introduce a Markovian infectious model to describe the depend ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/310937
Description: Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/140460
Description: Modeling dependent defaults is a key issue in risk measurement and management. In this paper, we introduce a Markovian infectious model to describe the dependent relationship of default processes of c ... More
Reviewed: Reviewed