This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...

In this paper, we apply spectral analysis tools to portfolio management. Recognizing volatility and factor beta as major risk sources, we analyze the short-term and longterm components of risk for any given portfolio. We model the portfolio weights as an LTI system filter and describe how the risk metrics behave as one holes the portfolio over increasing horizon. Then, we propose dynarmic portf...

This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...

In this paper we consider the problem of "nding the e$cient frontier associated with the standard mean}variance portfolio optimisation model. We extend the standard model to include cardinality constraints that limit a portfolio to have a speci"ed number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). We illustrate the di!e...

The presence of e-portfolios in educational centres, companies and administrations has emerged strongly during the last years by creating very different practices coming from different objectives and purposes. This situation has led researchers and practitioners to design and implement e-portfolios with little reference to previous knowledge of them; consequently, developments are disparate wit...

Traditional models of bank runs do not allow for herding e¤ects, because in these models withdrawal decisions are assumed to be made simultaneously. I extend the banking model to allow a depositor to choose his withdrawal time. When he withdraws depends on his consumption type (patient or impatient), his private, noisy signal about the quality of the bank’s portfolio, and the withdrawal histori...

Corruption is the main problem for public and private sectors. The purposes of this research are to find out level anti-corruption behavior among higher education students factors that influence their behavior. This study employed a quantitative method by questionnaires given 432 at Rajamangala University Technology Srivijaya, Thailand. findings revealed overall was high level. It showed wanted...

Dr. V. J.Sebastian (Corresponding author) Institute of Management Technology Gaziabad, Delhi, India E-mail: [email protected] Abstract Portfolio optimization, in case of finance, is the tradeoff between risk and return to maximize profit or return from the portfolio. Financial regulations are country specific and it depends upon the economic conditions prevailing in the country. The portfolio of...