1. Proceedings of the 8th International Conference on Operations Research - KOI 2000, [Rovinj, Croatia, September 27-29, 2000]2001, zbornik recenziranih znanstvenih prispevkov na mednarodni ali tuji konferenci Ključne besede: operacijsko raziskovanje, matematično programiranje, metode, informatika, računalništvo, konference, optimizacija, matematična ekonomija, numerične metode, teorija grafov, zborniki
Objavljeno v DKUM: 10.07.2015; Ogledov: 1371; Prenosov: 40
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2. Do mutual fund performance and the abilities of fund managers in Slovenia deviate from those in developed markets?Tanja Markovič-Hribernik, Uroš Vek, 2013, izvirni znanstveni članek Opis: Up until the beginning of the financial crisis, Slovenia was marked by exceptionally high growth rates in the mutual fund industry. The reason for this were in the performance of the Slovenian stock market index, which was one of the best performing in 2007. In this paper we analyzed mutual funds performance in Slovenia to discover the quality of fund managers in the market. The focus was on funds with selected sectoral investment policy. We analyzed different risk adjusted measures such as the M2, the Treynor ratio, the Sortino ratio and the Information ratio using monthly log returns. We also studied selection ability of fund managers with Jensens alpha and timing ability using the Treynor-Mazuy model. We found out that the risk and return performance of mutual funds in Slovenia does not deviate from those in the developed markets and that we can not confirm the selection and market timing ability of fund managers.
Ključne besede: management, manager, vzajemni skladi, investicije, tveganje, meritve, matematična ekonomija, statistične metode, Slovenija
Objavljeno v DKUM: 10.07.2015; Ogledov: 809; Prenosov: 51
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3. Pension funds, the requirement of providing the minimum guaranteed return and excessive legislative restrictions of pension fund investmentsTanja Markovič-Hribernik, Igor Jakopanec, 2012, izvirni znanstveni članek Opis: To reduce the exposure of the pension fund's members to financial risks, legislation in Slovenia and some other countries promises a so-called minimum guaranteed return and at the same time hinders the portfolio diversification process of pension funds. We intend to demonstrate in this article, on a case study basis and using a combination of empirical data from two Slovenian pension funds and a hypothetical one, that by precisely matching the investments' characteristics to the characteristics of the pension fund's liabilities, some important financial risks can be mitigated, while others can even be hedged entirely. We also intend to demonstrate that with the implementation of a proper policy of risk measurement and management, complemented with stress testing practices, excessive legislative restrictions for investments are no longer necessary. Some restrictions can even hinder portfolio diversification and the risk management process.
Ključne besede: pokojninski skladi, donos, tveganje, primerjave, matematična ekonomija, statistične metode, Slovenija
Objavljeno v DKUM: 10.07.2015; Ogledov: 956; Prenosov: 256
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4. Using canonical correlations in testing for common nonlinear componentsAlenka Kavkler, Bernhard Böhm, 2006, izvirni znanstveni članek Opis: The paper discusses the use of canonical correlations for modelling multiple equation systems with common nonlinear components of a smooth transition type.The coefficients in a smooth transition regression model are assumed to be nonlinear continuous functions of a properly chosen transition variable. The obtained model thus captures structural changes in the relationship between the observed economic variables. With the help of the canonical correlations technique a simple test for testing for common nonlinear components helps us interpret the relationships between different economic variables and also simplifies the specification and estimation of the equationsystem, since in this case a reduction in the dimension of nonlinear components is possible. It was shown by Anderson and Vahid (1998) that the test for common nonlinearities is related to the test statistic for the overidentifying restrictions in the generalized method of moments framework and that both tests have the same asymptotic distribution. As an application of the described modelling approach, a three-variable linear vector autoregressive (VAR) model of the consumer price index for Slovenia and Austria and the nominal exchange rate between the currencies of both countriesis investigated. A single common nonlinear component is detected in all 3 equations and the estimated multivariate logistic smooth transition autoregressive model is discussed.
Ključne besede: ekonometrija, matematična ekonomija, matematika, korelacije
Objavljeno v DKUM: 10.07.2015; Ogledov: 797; Prenosov: 65
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5. Operations Research : Quantitative Methoden zur EntscheidungsvorbereitungWerner Zimmermann, učbenik za višje in visoke šole Ključne besede: operacijsko raziskovanje, mrežno planiranje, mreže, linearno optimiranje, optimizacija, transport, linearno optimiranje, linearno programiranje, linearni modeli, stohastični procesi, kvantitativna analiza, nelinearno programiranje, modeli, poslovne odločitve, teorija odločitev, simplex metoda, matematična ekonomija, kombinatorika, učbeniki
Objavljeno v DKUM: 01.06.2012; Ogledov: 2670; Prenosov: 45
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6. Einführung in die Stochastik der Finanzmärkte : mit 77 Abbildingen und 19 TabellenKlaus Sandmann, učbenik za višje in visoke šole Ključne besede: finančni trg, teorija, matematična ekonomija, finančna matematika, modeli, finančna analiza, obresti, obrestna mera, perspektive, čas, raziskovanje, časovne vrste, modeliranje, mednarodni finančni trg, stohastični procesi, teorija verjetnosti, valuta, finančni instrumenti, izvedeni finančni instrumenti, vrednotenje, finančna sredstva, opcije, terminsko poslovanje, delnice, finančna politika, investicijsko odločanje, učbeniki, vaje, rešitve, vprašalniki
Objavljeno v DKUM: 01.06.2012; Ogledov: 2141; Prenosov: 59
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7. International trade : causes and consequencesJitendralal Borkakoti, 1998, pregledno delo Ključne besede: mednarodni ekonomski odnosi, mednarodna trgovina, prednost, teorija, empirične raziskave, metodologija, pregledi, mednarodno poslovanje, mednarodno sodelovanje, teoremi, hipoteze, mednarodna menjava, trgovinska politika, ekonomske teorije, ekonomsko ravnotežje, ekonomski modeli, neoklasiki, ekonomisti, dinamični modeli, statistika, matematična ekonomija, procesiranje, mednarodno gospodarstvo
Objavljeno v DKUM: 01.06.2012; Ogledov: 1714; Prenosov: 126
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8. The econometrics of financial marketsJohn Y. Campbell, Andrew Wen-Chuan Lo, Archie Craig MacKinlay, 1997, učbenik za višje in visoke šole Ključne besede: trg kapitala, finančni trg, modeli, investicije, vrednostni papirji, obveznice, izvedeni finančni instrumenti, obrestna mera, cene, dividende, donos, dohodek, tveganje, ekonometrija, matematična ekonomija, nelinearne enačbe, vzorčenje, časovne vrste, učbeniki
Objavljeno v DKUM: 01.06.2012; Ogledov: 2454; Prenosov: 241
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9. Vrednotenje opcij in aplikacija metode Monte Carlo : magistrsko deloKatja Jager, 2007, magistrsko delo Ključne besede: finančni trg, finančno poslovanje, Monte Carlo metoda, finančni instrumenti, matematična ekonomija, stohastični procesi, teorija verjetnosti, metodologija, modeli, finančna analiza, vrednostni papirji, izvedeni finančni instrumenti, opcije, regulacija, terminsko poslovanje, matematična statistika, strategija, matematični modeli, teorija racionalnih pričakovanj, hipoteze, vrednotenje, valuta, izvršba
Objavljeno v DKUM: 30.05.2012; Ogledov: 3117; Prenosov: 314
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10. Vpliv aktivne politike zaposlovanja na raven registrirane brezposelnosti v Sloveniji : magistrsko deloFranci Klužer, 2007, magistrsko delo Ključne besede: zaposlovanje, učinkovitost, trg delovne sile, reforme, makroekonomija, politika, brezposelnost, Slovenija, Evropska unija, mednarodne primerjave, empirične raziskave, ekonomske analize, ekonomski modeli, matematični modeli, matematična ekonomija, ekonometrija, podatki, rezultati, ocenjevanje, združevanje
Objavljeno v DKUM: 30.05.2012; Ogledov: 2182; Prenosov: 171
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