Results 21 to 30 of about 22,369 (310)
, 2011 As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to the asset class, the industrial sector(s) of the asset, and
James E. Gentle, Wolfgang Karl Härdle
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Journal of Statistical Software, 2014 We describe an R package for determining the optimal price of an asset which is perishable in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which speci?es the probability that a customer will ...
Rolf Turner +2 more
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Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers, 2011 Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both domestic and global risk factors.
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Portefeuljebestuur, die kapitaalmarkprysmodel en verwante tegnieke
South African Journal of Business Management, 1990 The importance of risk management in business has long been recognised. The importance, assumptions and limitations of the Capital Asset Pricing Model is generally accepted and an elaborate introduction is therefore not necessary.
J. Van Zyl Smit
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Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China
Discrete Dynamics in Nature and Society, 2021 Factor models provide a cornerstone for understanding financial asset pricing; however, research on China’s stock market risk premia is still limited.
Xi Sun +5 more
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Asset Pricing without Garbage [PDF]
SSRN Electronic Journal, 2013 ABSTRACTThis paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption‐based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error.
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A finite integration method for pricing and hedging path-dependent structured derivatives
AIMS MathematicsThis study introduces the finite integration method (FIM) as a robust numerical approach for pricing equity-linked notes (ELNs). The FIM extends its application beyond vanilla options, effectively addressing the complexities of continuous boundaries and ...
Yejin Kim, Wooyeol Jeong, Sungchul Lee
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Emprical Validity of Asset pricing models in Iran's Stock Market: Application of Optimal Significance Level and Equal Probability Test [PDF]
مدلسازی اقتصادسنجی, 2018 One of the most usage of evaluating Empirical Validity of Asset-pricing Models is GRS test. In this paper we implement the GRS test for CAPM and Fama-French 3-factor asset pricing models with explicit consideration of statistical power, by employing the ...
Reza Talebloo +2 more
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Interval Pricing Study of Deposit Insurance in China
Discrete Dynamics in Nature and Society, 2020 This paper first proposes a European option pricing method for deposit insurance based on triangular intuitionistic fuzzy numbers. In the proposed method, we take into account the randomness and fuzziness of bank asset value simultaneously, and hence ...
Sulin Wu +3 more
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FEBS Open Bio, EarlyView.Enzymes of the 2‐hydroxyacyl‐CoA lyase group catalyze the condensation of formyl‐CoA with aldehydes or ketones. Thus, by structural adaptation of active sites, practically any pharmaceutically and industrially important 2‐hydroxyacid could be biotechnologically synthesized. Combining crystal structure analysis, active site mutations and kinetic assays,
Michael Zahn +4 more
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