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New Operational Approaches for Financial Modelling

  • Conference proceedings
  • © 1997

Overview

Editors:
  1. Constantin Zopounidis

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

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Part of the book series: Contributions to Management Science (MANAGEMENT SC.)

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Table of contents (32 papers)

  1. Front Matter

    Pages I-XI
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  2. New Trends in Financial Modelling

    1. Front Matter

      Pages 1-1
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    2. Financial Modelling in the New Paradigm of the Decision Theory

      • Jaime Gil-Aluja
      Pages 3-18

    3. Optimization Techniques for Portfolio Selection

      • P. M. Pardalos
      Pages 19-33

  3. High Performance Computing and Finance

    1. Front Matter

      Pages 35-35
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    2. Asset Liability Management for Pension Funds: Elements of Dert’s Model

      • Roy Kouwenberg
      Pages 37-48

    3. Postoptimality for a Bond Portfolio Management Model

      • Jitka Dupačová, Marida Bertocchi, Vittorio Moriggia
      Pages 49-62

    4. Demand for Assets by Heterogeneous Agents in the Italian Markets

      • Rita L. D’Ecclesia, Stavros A. Zenios
      Pages 63-79

  4. Financial Markets, Portfolio Theory and Selection

    1. Front Matter

      Pages 81-81
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    2. Recent Developments in Modelling Abnormal Stock Returns: A Review Essay

      • Iordanis N. Floropoulos, Christos I. Negakis, Dimitrios V. Kousenidis
      Pages 83-99

    3. Warrants Pricing in a Thin Market: Case of Thailand

      • Jyoti P. Gupta, I. M. Pandey, Pornpibul Kanchanachayphoom
      Pages 101-119

    4. ‘Ebb and Flow’ of Fundamentalist, Imitator and Contrarian Investors in a Financial Market

      • Aldo Tagliani, Lorenzo Peccati, Luigi Ferrari
      Pages 121-132

    5. Applicability of the CAPM on the Hungarian Stock Market: An Empirical Investigation

      • Gábor Rappai, József Varga
      Pages 133-143

    6. Stock Market Behaviour and Imitation: some further results

      • Stefano Bosco
      Pages 145-156

    7. On Selecting a Portfolio of Lease Contracts in an Asset-Backed Securitization Process

      • Renata Mansini, Maria Grazia Speranza
      Pages 157-170

  5. Financial Forecasting

    1. Front Matter

      Pages 171-171
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    2. Nonlinear Error-Correction Models in the Greek Money Market

      • Raphael N. Markellos, Costas Siriopoulos
      Pages 173-181

    3. An Investigation into Alternative Indicators of Risk Exposure: A Case Study at the Export Credits Guarantee Department (U.K.)

      • Konstantinos N. Kanellopoulos
      Pages 183-194

    4. Disappearing Clouds: Weather Influences on Retail Sales

      • Pieter Fris
      Pages 195-206

  6. Corporate Finance: Investment and Financing Decisions

    1. Front Matter

      Pages 207-207
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Keywords

About this book

th This book is devoted to the 19 Meeting of the EURO Working Group on Financial Modelling, held in Chania, Crete, Greece,November28-30, 1996. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "the development of financial models that help to solve problems facedby financial managers in the firm". From this point of view, the following objectivesof the Working Group are distinguished: • providing an international forum for exchange of information and experience on financial modelling; • encouraging research in financial modelling (i. e. new techniques, methodologies, software,empirical studies,etc. ); • stimulating and strengthening the interaction between financial economic theory and the practice of financial decision making; • cooperating and exchanging information with universities and financial institutions throughout Europe. According to the aboveobjectives,the basic aim of this book is to present some new operational approaches (i. e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc. ) for financial modelling, both in a theoretical and practical levels. Thus, the present volume is divided in nine chapters. The first chapter refers to the new trends in financial modelling and includes two invited papers by Gil-Aluja and Pardalos. The second chapter involves papers on the topic of high performance computing and finance which is a European union project in which participate some members of the EURO Working Group on Financial Modelling (Spronk, Zenios, Dempster, etc. ).

Editors and Affiliations

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

    Constantin Zopounidis

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