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  • 1
    Digitale Medien
    Digitale Medien
    Springer
    Annals of operations research 85 (1999), S. 267-284 
    ISSN: 1572-9338
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract Portfolio replication is a powerful tool that has proven in practice its applicability toenterprise‐wide risk problems such as static hedging in complete and incomplete marketsand markets that gap; strategic asset and capital allocation; benchmark tracking; design ofsynthetic products; and portfolio compression. In this paper, we revise the basic principlesbehind this methodology, currently used by financial institutions worldwide, and presentseveral practical examples of its application. We further show how inverse problems infinance can be naturally formulated in this framework. In contrast to mean‐variance optimization,the scenario approach allows for general non-normal, discrete and subjectivedistributions, as well as for the accurate modeling of the full range of nonlinear instruments,such as options. It also provides an intuitive, operational framework for explaining basicfinancial theory.
    Materialart: Digitale Medien
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Springer
    Journal of productivity analysis 9 (1998), S. 205-232 
    ISSN: 1573-0441
    Schlagwort(e): Data Envelopment Analysis ; marginal rates ; trade-offs ; partial derivatives ; piecewise linear surfaces ; returns to scale
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Of great importance to management, the computation of trade-offs presents particular difficulties within DEA since the piecewise linear nature of the envelopment surfaces does not allow for unique derivatives at every point. We present a comprehensive framework for analyzing marginal rates, and directional derivatives in general, on DEA frontiers. A useful characterization of these derivatives at given points can be provided in terms of the ranges they can take; equivalently, the bounds of these ranges correspond to derivatives “to the right”and “to the left” at these points. We present two approaches for their computation: first, the dual equivalents calculation of minimum and maximum multiplier ratios / finite differences, and then a modified simplex tableau method. The simplex tableau method provides a more general application of the method introduced by Hackman et al. (1994) to generate any two-dimensional section of the isoquant and is a practical tool to generate level plots of the frontier. By giving a complete picture of trade-offs and allowing a better visualization of high dimensional production possibility sets, these tools can be very useful for managerial applications.
    Materialart: Digitale Medien
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 3
    Digitale Medien
    Digitale Medien
    Chichester [u.a.] : Wiley-Blackwell
    International Journal for Numerical Methods in Engineering 35 (1992), S. 563-587 
    ISSN: 0029-5981
    Schlagwort(e): Engineering ; Engineering General
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik , Technik allgemein
    Notizen: The invariant imbedding formulae for evaluating singular integrals on flat domains are used to analyse the singular integrals which arise in the Boundary Element Method.Although all orders of singularity are considered, the primary objective of the paper is the evaluation of Cauchy principal value integrals (CPV). Conditions for boundedness of the CPV aré derived, and evaluation techniques are presented for situations in which the singular point lies on, or is in close proximity to, an element boundary. Specific cases analysed include straight and curved element boundaries, and corners. Other numerical aspects of the formulae are also discussed.By way of example, the analysis techniques are applied to the volume integrals which arise in continuum, inelastic problems.
    Zusätzliches Material: 11 Ill.
    Materialart: Digitale Medien
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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