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Operational Tools in the Management of Financial Risks

  • Book
  • © 1998

Overview

Editors:
  1. Constantin Zopounidis

    1. Dept. of Production Engineering and Management Decision Support Systems Laboratory, Technical University of Crete, Chania, Greece

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Table of contents (18 chapters)

  1. Front Matter

    Pages i-xv
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  2. Multivariate Data Analysis and Multicriteria Analysis in Portfolio Selection

    1. Front Matter

      Pages 1-1
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    2. Proposal for the Composition of a Solvent Portfolio with Chaos Theory and Data Analysis

      • Dimitris Karapistolis, Costas Siriopoulos, Iannis Papadimitriou, Raphael Markellos
      Pages 3-15

    3. An Entropy Risk Aversion in Portfolio Selection

      • Antonino Scarelli
      Pages 17-30

    4. Multicriteria Decision Making and Portfolio Management with Arbitrage Pricing Theory

      • Christian Hurson, Nadine Ricci-Xella
      Pages 31-55

  3. Multivariate Data Analysis and Multicriteria Analysis in Business Failure, Corporate Performance and Bank Bankruptcy

    1. Front Matter

      Pages 57-57
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    2. The Application of the Multi-Factor Model in the Analysis of Corporate Failure

      • Erik M. Vermeulen, Jaap Spronk, Nico van der Wijst
      Pages 59-73

    3. Multivariate Analysis for the Assessment of Corporate Performance: The Case of Greece

      • Yannis Caloghirou, Alexandros Mourelatos, Lefteris Papagiannakis
      Pages 75-89

    4. Stable Set Internally Maximal: A Classification Method with Overlapping

      • Alain Couturier, Bernard Fioleau
      Pages 91-106

    5. A Multicriteria Approach for the Analysis and Prediction of Business Failure in Greece

      • Constantin Zopounidis, Augoustinos I. Dimitras, Loic Le Rudulier
      Pages 107-119

    6. A New Rough Set Approach to Evaluation of Bankruptcy Risk

      • Salvatore Greco, Benedetto Matarazzo, Roman Slowinski
      Pages 121-136

    7. Finclas: A Multicriteria Decision Support System for Financial Classification Problems

      • Constantin Zopounidis, Michael Doumpos
      Pages 137-162

    8. A Mathematical Approach of Determining Bank Risks Premium

      • Jyoti Gupta, Philippe Spieser
      Pages 163-174

  4. Linear and Stochastic Programming in Portfolio Management

    1. Front Matter

      Pages 175-175
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    2. Designing Callable Bonds Using Simulated Annealing

      • Martin R. Holmer, Dafeng Yang, Stavros A. Zenios
      Pages 177-196

    3. Towards Sequential Sampling Algorithms for Dynamic Portfolio Management

      • Z. Chen, G. Consigli, M. A. H. Dempster, N. Hicks-Pedrón.
      Pages 197-211

    4. The Defeasance in the Framework of Finite Convergence in Stochastic Programming

      • Philippe Spieser, Alain Chevalier
      Pages 213-236

    5. Mathematical Programming and Risk Management of Derivative Securities

      • Les Clewlow, Stewart Hodges, Ana Pascoa
      Pages 237-248

  5. Fuzzy Sets and Artificial Intelligence Techniques in Financial Decisions

    1. Front Matter

      Pages 249-249
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    2. Financial Risk in Investment

      • Jaime Gil-Aluja
      Pages 251-271
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Keywords

About this book

This book presents a set of new, innovative mathematical modeling tools for analyzing financial risk. Operational Tools in the Management of Financial Risks presents an array of new tools drawn from a variety of research areas, including chaos theory, expert systems, fuzzy sets, neural nets, risk analysis, stochastic programming, and multicriteria decision making. Applications cover, but are not limited to, bankruptcy, credit granting, capital budgeting, corporate performance and viability, portfolio selection/management, and country risk.
The book is organized into five sections. The first section applies multivariate data and multicriteria analyses to the problem of portfolio selection. Articles in this section combine classical approaches with newer methods. The second section expands the analysis in the first section to a variety of financial problems: business failure, corporate performance and viability, bankruptcy, etc. The third section examines the mathematical programming techniques including linear, dynamic, and stochastic programming to portfolio managements. The fourth section introduces fuzzy set and artificial intelligence techniques to selected types of financial decisions. The final section explores the contribution of several multicriteria methodologies in the assessment of country financial risk. In total, this book is a systematic examination of an emerging methodology for managing financial risk in business.

Editors and Affiliations

  • Dept. of Production Engineering and Management Decision Support Systems Laboratory, Technical University of Crete, Chania, Greece

    Constantin Zopounidis

Bibliographic Information

  • Book Title: Operational Tools in the Management of Financial Risks

  • Editors: Constantin Zopounidis

  • DOI: https://doi.org/10.1007/978-1-4615-5495-0

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 1998

  • Hardcover ISBN: 978-0-7923-8055-9Published: 31 January 1998

  • Softcover ISBN: 978-1-4613-7510-4Published: 08 October 2012

  • eBook ISBN: 978-1-4615-5495-0Published: 06 December 2012

  • Edition Number: 1

  • Number of Pages: XV, 327

  • Topics: Operations Research/Decision Theory, Finance, general, Mathematical Modeling and Industrial Mathematics

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