Worst-Case Approach to Strategic Optimal Portfolio Selection Under Transaction Costs and Trading Limits
This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the results of a spline approximation for observational data and allows a theoretical interpretation of the results. The method was applied to real data resulting in estimation of market resiliency for the given period.
The paper aims to investigate the process of establishing distribution network. The paper takes network paradigm as a main basis of investigation looking at the development of distribution networks in Russian chemical industry.
The article presents the results of a study of organizational culture of enterprises in accordance with the new methodology focused on identification of its two levels: the declared and actual ones. Compilation of the data of the analysis allowed characterizing six variants of a combination of such levels.
The article considers various approaches to the theory of human and social capital, analyzes the problem of measurement of human resources and application of "Human Development Index" in the Russian Federation. Under market economy conditions the human capital is considered as an asset bringing regular income.
In modern world enterprises need to be agile in their operation and structure to react to changes quickly. One of the open questions here is how to develop the enterprise, or, to be more precise, if enterprise needs to be developed, and if yes, in which way. In this research we are focusing on the case when enterprise stakeholders understand the need of enterprise development, have ideas for that, and they need decision support method to understand if enterprise restructuring is likely to be successful and cost effective. Another covered topic is how to choose the best option for restructuring from variety provided. In this paper we describe the developed decision support method which combines DEMO methodology and transaction costs theory for quantitative costs estimation. To make this method applicable and reproducible we proposed few enhancements to DEMO notation.
In this paper we investigate how asymmetric information and informed trading influences liquidity and how liquidity influences asset pricing on the Russian stock market in 1998-2011. We use a battery of existing liquidity proxies as well as our own modification of Lesmond et al. (1999) measure and capture informed trading through positive daily return autocorrelation. We find that asymmetric information worsens liquidity, whereas no supportive evidence of adverse impact of informed trading can be discovered, which could be partly due to a weak proxy. Furthermore, liquidity, along with market risk, seems to be the major driver of asset pricing on the Russian stock market. This result, however, is not robust to specifying liquidity as characteristic rather than factor.