지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
이 논문의 연구 히스토리 (3)
- 이 논문의 후속연구가 궁금하신가요?
- 연관 학술논문 또는 학술발표를 통해 보다 발전된 연구결과를 확인하실 수 있습니다.
- 이 논문의 연구 히스토리 확인하기
초록· 키워드
오류제보하기
In this study we suggested two optimization models to determine conversion weight of convertible bonds. The problem of this study is same as that of Park and Shim [1]. But this study used Value-at-Risk (VaR) for risk measurement instead of CVaR, Conditional-Value-at-Risk. In comparison with conventional Markowitz portfolio models, which use the variance of return, our models used VaR.
In 1996, Basel Committee on Banking Supervision recommended VaR for portfolio risk measurement. But there are difficulties in solving optimization models including VaR. Benati and Rizzi [5] proved NP-hardness of general portfolio optimization problems including VaR. We adopted their approach. But we developed efficient algorithms with time complexity O(nlogn) or less for our models. We applied examples of our models to the convertible bond issued by a semiconductor company Hynix.
In 1996, Basel Committee on Banking Supervision recommended VaR for portfolio risk measurement. But there are difficulties in solving optimization models including VaR. Benati and Rizzi [5] proved NP-hardness of general portfolio optimization problems including VaR. We adopted their approach. But we developed efficient algorithms with time complexity O(nlogn) or less for our models. We applied examples of our models to the convertible bond issued by a semiconductor company Hynix.
목차
Abstract
1. 서론
2. 전환사채 주식전환 비중 결정 모형
3. 효율적 해법
4. 적용 예
5. 결론
참고문헌
참고문헌 (14)
참고문헌 신청
3. [학술지(정기간행물)] - Artzner, P. / 1999 / Coherent measures of risk / Mathematical Finance 9 : 203 ~ 228
4. [학술지(정기간행물)] - Ayache, E. / 2003 / The valuation of convertible bonds with credit risk / Journal of Derivatives 11 : 9 ~ 29
5. [학술지(정기간행물)] - Benati, S. / 2007 / A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem / European Journal of Operational Research 176 : 423 ~ 434
6. [학술지(정기간행물)] - Brennan M.J. / 1977 / Convertible bonds：Valuation and optimal strategies for call and conversion / Journal of Finance 32 : 1699 ~ 1715
7. [학술지(정기간행물)] - Habian, C.I. / 2008 / Handling CVaR objectives and constraints in two-stage stochastic models / European Journal of Operational Research 191 : 888 ~ 911
4. [학술지(정기간행물)] - Ayache, E. / 2003 / The valuation of convertible bonds with credit risk / Journal of Derivatives 11 : 9 ~ 29
5. [학술지(정기간행물)] - Benati, S. / 2007 / A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem / European Journal of Operational Research 176 : 423 ~ 434
6. [학술지(정기간행물)] - Brennan M.J. / 1977 / Convertible bonds：Valuation and optimal strategies for call and conversion / Journal of Finance 32 : 1699 ~ 1715
7. [학술지(정기간행물)] - Habian, C.I. / 2008 / Handling CVaR objectives and constraints in two-stage stochastic models / European Journal of Operational Research 191 : 888 ~ 911
이 논문의 저자 정보
이 논문과 함께 이용한 논문
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2014-320-002644471