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Abstract In this paper, we present a mixed risk-return optimization framework for selecting long put option positions for hedging the tail risk of investments in the S&P 500 index. A tractable formulation is developed by constructing hypothetical portfolios that are constantly rolling put...
Abstract Previous Enterprise Resource Planning (ERP) evaluation methods using closed-form solutions have ignored the unique characteristics of ERP’s life cycle. We propose a lifecycle model based on simulation and stochastic processes to capture and evaluate ERP’s value, including additional key...
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