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Asset Pricing and Investment Styles in Digital Assets
This book analyzes the emerging asset class of digital assets. When a new asset class originates, researchers try to understand some basic questions: Can digital assets, with the flagship asset bitcoin, really be considered a serious asset class? Since it is possible to trade digital assets, does it make sense to trade or to invest in these assets? How do digital assets compare to traditional asset classes like equities or bonds? After describing basic financial theory and breaking down the digital asset universe, this book provides fundamental knowledge with respect to this young and rising asset class. It focuses on special issues like the application of technical indicators, investment styles, asset pricing and portfolio construction. Furthermore, it offers remarks and links to other traditional asset classes and describes and warns of data issues in digital asset data.
The Use of Risk Budgets in Portfolio Optimization
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.
Operations Research Proceedings 2007
The symposium Operations Research 2007 was held from September 5-7, 2007 at the Saarland University in Saarbru ̈cken. This international conference is at the same time the annual meeting of the German - erations Research Society (GOR). The transition in Germany (and many other countries in Europe) from a production orientation to a service society combined with a continuous demographic change generated a need for intensi?ed Op- ations Research activities in this area. On that account this conference has been devoted to the role of Operations Research in the service industry. The links to Operations Research are manifold and include many di?erent topics which are particularly emphasized in scienti?c sections of OR 2007. More than 420 participants from 30 countries made this event very international and successful. The program consisted of three p- nary,elevensemi-plenaryandmorethan300contributedpresentations, which had been organized in 18 sections. During the conference, the GOR Dissertation and Diploma Prizes were awarded. We congratulate all winners, especially Professor Wolfgang Domschke from the Da- stadt University of Technology, on receiving the GOR Scienti?c Prize Award.
Principles of Data Mining and Knowledge Discovery
This book constitutes the refereed proceedings of the Third European Conference on Principles and Practice of Knowledge Discovery in Databases, PKDD'99, held in Prague, Czech Republic in September 1999. The 28 revised full papers and 48 poster presentations were carefully reviewed and selected from 106 full papers submitted. The papers are organized in topical sections on time series, applications, taxonomies and partitions, logic methods, distributed and multirelational databases, text mining and feature selection, rules and induction, and interesting and unusual issues.
Operations Research Proceedings 2005
This volume contains a selection of 128 papers presented in lectures during the international scientific symposium "Operations Research 2005" (OR 2005) held at the University of Bremen, September 7-9, 2005. This international conference took place under the auspices of the German Operations Research Society (GOR). The symposium had about 600 participants from countries all over the world. It attracted academics and practitioners working in various fields of Operations Research and provided them with the most recent advances in Operations Research as well as related areas in Economics, Mathematics, and Computer Science including the special interest streams Logistics and New Maritime Businesses. The program consisted of 3 plenary and 15 semi-plenary talks and about 400 contributed presentations selected by the program committee to be presented in 20 sections.
Operational Freight Carrier Planning
This book represents the compilation of several research approaches on opera tional freight carrier planning carried out at the Chair of Logistics, University of Bremen. It took nearly three years from the first ideas to the final version, now in your hands. During this time, several persons helped me all the time to keep on going and to re-start when I got stuck in a dead end or when I could not see the wood for the trees. I am deeply indebted to them for their encouragement and comments. Prof. Dr. Herbert Kopfer, holder of the Chair of Logistics, introduced me into the field of operational transport planning. He motivated and supervised me. Furthermore, he supported me constantly and allow...
Operations Research Proceedings 2010
This book contains selected papers from the symposium "Operations Research 2010" which was held from September 1-3, 2010 at the "Universität der Bundeswehr München", Germany. The international conference, which also serves as the annual meeting of the German Operations Research Society (GOR), attracted more than 600 participants from more than thirty countries. The general theme "Mastering Complexity" focusses on a natural component of the globalization process. Financial markets, traffic systems, network topologies and, last but not least, energy resource management, all contain complex behaviour and economic interdependencies which necessitate a scientific solution. Operations Research is one of the key instruments to model, simulate and analyze such systems. In the process of developing optimal solutions, suitable heuristics and efficient procedures are some of the challenges which are discussed in this volume.
Model-Based Control of Logistics Processes in Volatile Environments
This monograph presents results originating from a research project investigating autonomous adaptation of vehicle schedules and systematically develops and evaluates innovative ideas for the management of transportation processes in volatile scenarios. Showing the progress made in the development of the methodological toolbox for decision support in dynamic process management is the major motivation behind this book. The result is a new integrated approach to dynamic decision making. Existing process planning approaches for volatile environments and their application boundaries are investigated in Part I. Part II introduces the concept of feedback-controlled adaptive decision models and pro...
Advances in Intelligent Data Analysis
This book constitutes the refereed proceedings of the Third International Symposium on Intelligent Data Analysis, IDA-99 held in Amsterdam, The Netherlands in August 1999. The 21 revised full papers and 23 posters presented in the book were carefully reviewed and selected from a total of more than 100 submissions. The papers address all current aspects of intelligent data analysis; they are organized in sections on learning, visualization, classification and clustering, integration, applications and media mining.
Diginomics Research Perspectives
This book focuses on traditional fields of business studies and economics and how digitalization has affected them. It provides an overview about the lessons learned from academic research and highlights implications for practitioners. Digitalization has not only changed the ways business administration and economics are taught, but also the substance at the core of the two disciplines. Chapters from expert contributors define and carefully evaluate the developments that have occurred over the last decades. The authors further provide an assessment of how industry branches have adapted and in which form regulators have engaged. Attention is given to the theoretical and empirical findings from recent scholarly literature. Furthermore, the authors provide some novel insights from their own research at the University of Bremen. This book appeals to business administration, economics, and entrepreneurship scholars and practitioners alike.
