Michael Zabarankin's Books

Statistical Decision Problems

Selected Concepts and Portfolio Safeguard Case Studies

By: Michael Zabarankin,Stan Uryasev

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Statistical Decision Problems

Selected Concepts and Portfolio Safeguard Case Studies

By: Michael Zabarankin,Stan Uryasev

Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-one case studies from real-life applications. The case studies cover a broad area of topics and the authors include links with source code and data, a very helpful tool for the reader. In its core, the text demonstrates how to use different factors to formulate statistical decision problems arising in various risk management applications, such as optimal hedging, portfolio optimization, cash flow matching, classification, and more. The presentation is organized into three parts: selected concepts of statistical decision theory, statistical decision problems, and case studies with portfolio safeguard. The text is primarily aimed at practitioners in the areas of risk management, decision making, and statistics. However, the inclusion of a fair bit of mathematical rigor renders this monograph an excellent introduction to the theory of general error, deviation, and risk measures for graduate students. It can be used as supplementary reading for graduate courses including statistical analysis, data mining, stochastic programming, financial engineering, to name a few. The high level of detail may serve useful to applied mathematicians, engineers, and statisticians interested in modeling and managing risk in various applications.

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254

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Springer Science & Business Media

Published Date

ISBN 10

1461484715

ISBN 13

9781461484714

Convex Functional Analysis

By: Andrew J. Kurdila,Michael Zabarankin

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Convex Functional Analysis

By: Andrew J. Kurdila,Michael Zabarankin

This volume is dedicated to the fundamentals of convex functional analysis. It presents those aspects of functional analysis that are extensively used in various applications to mechanics and control theory. The purpose of the text is essentially two-fold. On the one hand, a bare minimum of the theory required to understand the principles of functional, convex and set-valued analysis is presented. Numerous examples and diagrams provide as intuitive an explanation of the principles as possible. On the other hand, the volume is largely self-contained. Those with a background in graduate mathematics will find a concise summary of all main definitions and theorems.

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Page Count

238

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3764373571

ISBN 13

9783764373573

Geopolitical Risk, Sustainability and “Cross-Border Spillovers” in Emerging Markets, Volume I

Constitutional Law, Economic Psychology and Quasi-Labor Issues

By: Michael I. C. Nwogugu

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Geopolitical Risk, Sustainability and “Cross-Border Spillovers” in Emerging Markets, Volume I

Constitutional Law, Economic Psychology and Quasi-Labor Issues

By: Michael I. C. Nwogugu

Economic recessions, social networks, environmental damage in several large countries (eg. China, Brazil, U.S.), the Global Financial Crisis of 2007-2015 and cross-border spillovers continue to significantly affect economic systems, financial markets, social structures and environmental compliance worldwide. These have rekindled economists’ and policy-makers’ interest in the relationships among constitutions, risk regulation, foreign aid, political systems, government size, credit expansion and sustainable growth. Risk regulation remains highly ineffective as manifested by the failures of new financial regulations and government stimulus programs that were implemented during 2007-2020 in many developed countries and emerging markets countries. This book, the first of two volumes, addresses these issues in the context of the role of constitutional economics and economic psychology as tools for national and global sustainable growth and risk management. Furthermore, this volume analyzes the often symbiotic relationship between alternative sets of legal-institutional-constitutional rules that constrain the choices and activities of economic and political agents on one hand, and sustainable growth, financial regulation and the risk management of financial institutions on the other; and reviews the effects of constitutions and legal institutions on market dynamics (real estate; fixed-income, stocks; etc.) including volatility, market depth and liquidity. This book will help researchers develop better artificial intelligence and decision-systems models of geopolitical risk, public policy and international capital flows, all of which are increasingly relevant to investment managers, boards-of-directors and government officials.

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Page Count

401

Publisher

Springer Nature

Published Date

ISBN 10

3030714152

ISBN 13

9783030714154

Complex Systems, Multi-Sided Incentives and Risk Perception in Companies

By: Michael I.C. Nwogugu

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Complex Systems, Multi-Sided Incentives and Risk Perception in Companies

By: Michael I.C. Nwogugu

Most research about financial stability and sustainable growth focuses on the financial sector and macroeconomics and neglects the real sector, microeconomics and psychology issues. Real-sector and financial-sectors linkages are increasing and are a foundation of economic/social/environmental/urban sustainability, given financial crises, noise, internet, “transition economics”, disintermediation, demographics and inequality around the world. Within complex systems theory framework, this book analyses some multi-sided mechanisms and risk-perception that can have symbiotic relationships with financial stability, systemic risk and/or sustainable growth. Within the context of Regret Minimization, MN-Transferable Utility and WTAL, new theories-of-the-firm are developed that consider sustainable growth, price stability, globalization, financial stability and birth-to-death evolutions of firms. This book introduces new behaviour theories pertaining to real estate and intangibles, which can affect the evolutions of risk-taking and risk perception within organizations and investment entities. The chapters address elements of the dilemma of often divergent risk perceptions of, and risk-taking by corporate executives, regulators and investment managers.

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Page Count

864

Publisher

Springer Nature

Published Date

ISBN 10

1137447044

ISBN 13

9781137447043

Indices, Index Funds And ETFs

Exploring HCI, Nonlinear Risk and Homomorphisms

By: Michael I. C. Nwogugu

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Indices, Index Funds And ETFs

Exploring HCI, Nonlinear Risk and Homomorphisms

By: Michael I. C. Nwogugu

Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.

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Page Count

710

Publisher

Springer

Published Date

ISBN 10

113744701X

ISBN 13

9781137447012

Portfolios and Investments

Third Edition

By: Michael Frömmel

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Portfolios and Investments

Third Edition

By: Michael Frömmel

The book is concerned with the theory of portfolios, as well as with investing in assets and securities and offers a general introduction, rather than a toolbox for making money. It will help its readers to better understand investing. The book is structured in two parts. Part I introduces the student into fundamental principles of portfolio theory and investment analysis, such as the Markowitz portfolio selection approach, factor models, basic evaluation techniques and portfolio management. Part II extends the material to more advanced topics and focuses on inefficient markets, including topics including technical analysis and momentum effects, behavioural finance, bubbles and herding, portfolio management in inefficient markets and market microstructure. followed by an appendix consisting of primers to some econometric approaches.

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Page Count

536

Publisher

BoD – Books on Demand

Published Date

ISBN 10

3732253791

ISBN 13

9783732253791

Earnings Management, Fintech-Driven Incentives and Sustainable Growth

On Complex Systems, Legal and Mechanism Design Factors

By: Michael I. C. Nwogugu

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Earnings Management, Fintech-Driven Incentives and Sustainable Growth

On Complex Systems, Legal and Mechanism Design Factors

By: Michael I. C. Nwogugu

Traditional research about Financial Stability and Sustainable Growth typically omits Earnings Management (as a broad class of misconduct), Complex Systems Theory, Mechanism Design Theory, Public Health, psychology issues, and the externalities and psychological effects of Fintech. Inequality, Environmental Pollution, Earnings Management opportunities, the varieties of complex Financial Instruments, Fintech, Regulatory Fragmentation, Regulatory Capture and real-financial sector-linkages are growing around the world, and these factors can have symbiotic relationships. Within Complex System theory framework, this book analyzes these foregoing issues, and introduces new behaviour theories, Enforcement Dichotomies, and critiques of models, regulations and theories in several dimensions. The issues analyzed can affect markets, and evolutions of systems, decision-making, "nternal Markets and risk-perception within government regulators, operating companies and investment entities, and thus they have Public Policy implications. The legal analysis uses applicable US case-law and statutes (which have been copied by many countries, and are similar to those of many common-law countries). Using Qualitative Reasoning, Capital Dynamics Theory (a new approach introduced in this book), Critical Theory and elements of Mechanism Design Theory, the book aims to enhance cross-disciplinary analysis of the above-mentioned issues; and to help researchers build better systems/Artificial-Intelligence/mathematical models in Financial Stability, Portfolio Management, Policy-Analysis, Asset Pricing, Contract Theory, Enforcement Theory and Fraud Detection. The primary audience for this book consists of university Professors, PHD students and PHD degree-holders (in industries, government agencies, financial services companies and research institutes). The book can be used as a primary or supplementary textbook for graduate courses in Regulation; Capital Markets; Law & Economics, International Political Economy and or Mechanism Design (Applied Math, Operations Research, Computer Science or Finance).

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Page Count

275

Publisher

Routledge

Published Date

ISBN 10

1317146557

ISBN 13

9781317146551

Finance 2: Asset Allocation and Market Efficiency

By: Michael Frömmel

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Finance 2: Asset Allocation and Market Efficiency

By: Michael Frömmel

This books builds on 'Finance 1: Portfolio Theory and Management'. Both volumes are linked through the asset allocation process. While Finance 1 focuses on portfolio theory and strategic asset allocation, Finance 2 deals with tactical asset allocation and market efficiency. We start by reviewing the asset allocation process, market timing and the approach by Black and Litterman. Section 2 deals with the predictability of prices, including technical analysis and momentum. Turning to factors that may cause the predictability - if there is any - we discuss models from behavioural finance. The subsequent section deals with bubbles and herd behaviour, before we cover market microstructure and its implications. The book's last section deals with price manipulation as a cause for inefficiencies.

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Page Count

378

Publisher

BoD – Books on Demand

Published Date

ISBN 10

3750437734

ISBN 13

9783750437739

Statistical Decision Problems

Selected Concepts and Portfolio Safeguard Case Studies

By: Michael Zabarankin,Stan Uryasev

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Statistical Decision Problems

Selected Concepts and Portfolio Safeguard Case Studies

By: Michael Zabarankin,Stan Uryasev

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Page Count

254

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461484715

ISBN 13

9781461484714

Convex Functional Analysis

By: Andrew J. Kurdila,Michael Zabarankin

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Convex Functional Analysis

By: Andrew J. Kurdila,Michael Zabarankin

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Page Count

238

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3764373571

ISBN 13

9783764373573

Convex Functional Analysis

By: Andrew Kurdila,Michael Zabarankin

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Convex Functional Analysis

By: Andrew Kurdila,Michael Zabarankin

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Page Count

228

Publisher

Birkhauser

Published Date

ISBN 10

0817621989

ISBN 13

9780817621988

Book's by Michael Zabarankin

Statistical Decision Problems

Statistical Decision Problems

Convex Functional Analysis

Convex Functional Analysis

Geopolitical Risk, Sustainability and “Cross-Border Spillovers” in Emerging Markets, Volume I

Geopolitical Risk, Sustainability and “Cross-Border Spillovers” in Emerging Markets, Volume I

Complex Systems, Multi-Sided Incentives and Risk Perception in Companies

Complex Systems, Multi-Sided Incentives and Risk Perception in Companies

Indices, Index Funds And ETFs

Indices, Index Funds And ETFs

Portfolios and Investments

Portfolios and Investments

Earnings Management, Fintech-Driven Incentives and Sustainable Growth

Earnings Management, Fintech-Driven Incentives and Sustainable Growth

Finance 2: Asset Allocation and Market Efficiency

Finance 2: Asset Allocation and Market Efficiency

Statistical Decision Problems

Statistical Decision Problems

Convex Functional Analysis

Convex Functional Analysis

Convex Functional Analysis

Convex Functional Analysis

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