Overview

This work shows the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity futures markets, models for the evolution of interest rates and post-optimality analysis in portfolio management are given. Conceptual papers on modelling preference relations are also included.

Full Product Details

Author:   Marida Bertocchi ,  Enrico Cavalli ,  Sandor Komlosi ,  Komlosi (University of Pecs, Hungary)
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Physica-Verlag GmbH & Co
Edition:   Softcover reprint of the original 1st ed. 1996
Dimensions:   Width: 15.50cm , Height: 1.60cm , Length: 23.50cm
Weight:   0.475kg
ISBN:  

9783790809282

ISBN 10:   3790809284
Pages:   296
Publication Date:   25 April 1996
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock  
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Table of Contents

Financial Modelling: From Stochastics to Chaotics and Back to Stochastics.- Uncertainty about Input Data in Portfolio Management.- Non-Substitution Theorems for Perfect Matching Problems.- Commodity Futures Markets and Trading Strategies Opportunities.- Financial Asset Demand in the Italian Market: an Empirical Analysis.- Italian Term Structure Movements: the Appropriateness of a Multinomial Model.- Replicating an Option under General Rebalancing Costs.- Linear Programming and Econometric Methods for Bank Efficiency Evaluation: an Empirical Comparison Based on a Panel of Italian Banks.- Measuring Managerial and Program Efficiencies in a Swedish Savings and Loan.- Bankruptcies, Indebtedness and the Credit Crunch.- Bankruptcy Prediction: Discriminant Analysis versus Neural Networks.- Rough Set Approach to Stock Selection: an Application to the Italian Market.- Takeover Algorithms.- The Number of Arbitrage Pricing Theory Factors: an Assessment of the Power of Multivariate Tests Used.- Tests for Randomness in Multiple Financial Time Series.- On SBB Utility Theory.- Proper Risk Aversion in Presence of Multiple Sources of Risk.

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