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Optimal Portfolio Selection with Singular Covariance Matrix
In this paper we use the Moore-Penrose inverse in the case of a close to singular and ill-conditioned, or singular variance-covariance matrix, in the classic Portfolio Selection Problem. In this wayExpand
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A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis
In this paper the behaviour of various popular risk portfolios measures used for portfolio construction are compared using data from the recent financial crisis. Results are revealing the way optimalExpand
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Stock portfolio selection using mathematical programming: an educational approach
In this paper we present an application of mathematical programming using real stock market data. Most of the students have some familiarity with the stock market and therefore can understand theExpand
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Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuousExpand
Natural time analysis in financial markets
TLDR
A new method for analysing financial markets with the help of Natural time analysis is proposed. Expand
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Structured Bonds and Greek Demons. Is the attack †fair†?
The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are †fair†orExpand
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Optimal interest rate derivatives portfolio with controlled sensitivities
In the interest rate market, the use of derivatives is necessary and can significantly influence the balance sheet of a bank. Moreover, in the light of the recent crisis, it became obvious the needExpand
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Extreme Physical Phenomena During The Trojan War
The Homeric Epic, Iliad, describes the Trojan War’s events during a period of only seven days around Patroclus’ death. These events are initiated after Athena’s appearance as a shooting star. DuringExpand