Back to top

C61

Optimization Techniques; Programming Models; Dynamic Analysis

Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

Vsevolod I Gorlach
This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that...
Aug 2017
Read more

Decomposition of the Technical Efficiency: Pure Technical and Scale Efficiency of the Financial System

Sanderson Abel and Alex Bara
The study investigated the technical efficiency of the commercial banks in Zimbabwe during the period 2009-2015. The study entailed the decomposition of the technical efficiency into pure technical and scale efficiency to understand the sources of the technical inefficiency of the commercial banks...
Jun 2017
Read more

Social capital as an engine of growth: Multisectoral modelling and implications

Youyou Baende Bofota, Raouf Boucekkine and Alain Pholo Bala
We propose a multisector endogenous growth model incorporating social capital. Social capital only serves as an input in the production of human capital and it involves a cost in terms of the final good. We show that in contrast to existing alternative specifications, this setting assures that...
Oct 2012
Read more

Can the restrictive harvest period policy conserve mopane worms in Southern Africa? A bio-economic modelling approach

Wisdom Akpalu, Edwin Muchapondwa & Precious Zikhali
Imbrasia Belina also known as the mopane worm, like other edible insects and caterpillars, is a vital source of protein to Southern African countries. The worms live and graze on mopane trees, which occupy agricultural land. With increasing commercialization of the worm, the management of the worm...
Oct 2007
Read more
Subscribe to RSS - C61