Financial applications in the field of risk/return management demand for powerful and at the same time flexible information technology resources. These requirements seem to be highly suitable for service-oriented computing concepts. In this paper we identify promising risk/return management services and analyze the specific value proposition of service-oriented computing in this context. Taking...

Abstract. We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit–linked life–insurance/savings plan products and can be considered as alternatives to a direct investment in the underlying benchmark portfolio. The option embedded into the...

We apply the Consumption-based Asset Pricing Model (CCAPM) of the finance literature to study the risk and return of household business assets in developing economies. Using monthly panel data from a household survey in rural Thailand, we find that higher exposure to aggregate, non-diversifiable risk, as measured by household beta or the co-movement of the return of the individual household ent...

In an intensifying competition banks are forced to develop and implement enterprise wide integrated risk-return management systems. Financial risks have to be limited and managed from a bank wide portfolio perspective. Risk management rules must be accomplished from internal and regulatory points of view. Expected returns need to be maximized subject to these constraints, leading to a generaliz...

Behavioral finance and classical finance based on utility maximization appear to be mutually exclusive schools of thought. Despite the fundamental difference, we show that behavioral finance also has a linear relation between risk and return. This relation is obtained without the assumptions of market equilibrium, rational expectations, a specific utility function and the market portfolio. In t...

credit allocation through the usage of portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. this paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

In this research, a novel approach is developed to predict stocks return and risks. In this three stage method, through a comprehensive investigation all possible features which can be effective on stocks risk and return are identified. Then, in the next stage risk and return are predicted by applying data mining techniques for the given features. Finally, we develop a hybrid algorithm, on the ...