Results 61 to 70 of about 1,757,848 (130)
Dynamic exponential utility indifference valuation [PDF]
Annals of Applied Probability 2005, Vol. 15, No. 3, 2113-2143, 2005 We study the dynamics of the exponential utility indifference value process C(B;\alpha) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B;\alpha) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for ...
arxiv +1 more source
Decoding Stock Market with Quant Alphas [PDF]
Journal of Asset Management 19(1) (2018) 38-48, 2017 We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha combos". Simply put, we have developed a new method for trading alphas which does not involve combining them. This yields substantial cost savings as alpha
arxiv
Thompson Sampling on Symmetric Alpha-Stable Bandits
International Joint Conference on Artificial Intelligence, 2019 Thompson Sampling provides an efficient technique to introduce prior knowledge in the multi-armed bandit problem, along with providing remarkable empirical performance.
Abhimanyu Dubey, Alex Pentland
semanticscholar +1 more source
Academic Finance, 2016 La Finance fractale est venue au secours des modèles classiques incapables d’expliquer les anomalies boursières et des modèles linéaires inadéquats pour caractériser les processus complexes.
Monia ANTAR
doaj
Universal Fluctuations of AEX index [PDF]
, 2010 We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the \alpha re-scaled AEX daily index positive returns r(t)^\alpha and negative returns (-r(t))^\alpha that we call, after normalization, the \alpha positive ...
arxiv +1 more source
Sustainable finance : a look into impact-weighted accounting, ESG Scores and Alpha
, 2022 Sustainable finance plays a key role in the transition to a more responsible and low-carbon economy. Sustainable investments accounted for 35.5 trillion $ in 2020 and currently represent over 30% of global AUMs. This paper examines the alpha generation ability of two sustainable investment approaches, ESG- and Impact-investing, on the US and Developed ...
openaire +1 more source
Jensen’s Alpha Estimation Models in Capital Asset Pricing Model
Journal of Asian Finance, Economics and Business, 2018 This research examined the alternatives of Jensen's alpha (α) estimation models in the Capital Asset Pricing Model, discussed by Treynor (1961), S harpe (1964), and Lintner (1965), using the robust maximum likelihood type m-estimator (MM estimator) and ...
L. Phuoc
semanticscholar +1 more source
PLoS ONE, 2019 ObjectiveThe current study aimed to develop iWorkHealth, a valid and reliable self-administered instrument which identifies workplace psychosocial risk factors in Singapore.MethodsThe survey was conducted among 2718 employees who were primarily salaried ...
Edimansyah Abdin +7 more
doaj +1 more source
Investigating the effect of dust on the economy of Ahvaz city [PDF]
تحقیقات کاربردی علوم جغرافیایی, 2022 The purpose of this study is to investigate the effect of dust on the economy of Ahvaz. The present study has used descriptive and analytical research methods. In addition, this research is applied-developmental in terms of purpose.
Sara Behvandi +3 more
doaj
Investigating the Difficulties and Obstacles of Accounting Controllers and Financial Managers in Presenting Final Financial Statements on Due Time [PDF]
حسابداری سلامت, 2013 Introduction: The most important financial report of the government is the total state budget annual performance bill which is prepared and presented by the Ministry of Economic Affairs and Finance.
E. Abbasi, M. Nikpassand, A. Radsaeed
doaj