Results 81 to 90 of about 68,268 (314)
A statistical inference method for the stochastic reachability analysis. [PDF]
, 2005 The main contribution of this paper is the characterization of reachability problem associated to stochastic hybrid systems in terms of imprecise probabilities. This provides the connection between reachability problem and Bayesian statistics.
Bujorianu, L.M.
core +3 more sources
Folia Oeconomica Stetinensia, 2016 In the article, several methods of taking investment decisions are described: a fundamental, portfolio, and technical analysis. They constitute different approaches which are convenient for different types of investors with various expectations and time ...
Flotyński Marcin
doaj +1 more source
Eesti Majanduspoliitilised Väitlused, 2012 Government often faces decisions, which concern choosing between projects carrying different risk level and timing of cash flows. For calculating government real estate investment discount rate, we can apply social opportunity cost approach and ...
Priit Sander, Oliver Lukason, Kaia Kask
doaj +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient [PDF]
The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio.
Ekern, Steinar
core
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
core +1 more source
Non-standardized form of CAPM and stock returns [PDF]
, 2012 Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form of this model has unrealistic assumptions, different non-standardized forms have been introduced by different researchers.
Muhammad, Irfan
core
Tzhoecoen, 2019 Este trabajo tiene como objetivo medir la eficiencia del Costo de Oportunidad de Capital (COK) comparando su estimación a partir del uso betas y retornos de empresas del MILA (ADRs), versus los retornos de los títulos en el mercado.
Wilson Idrogo Rengifo
doaj
Exposure to Left‐Tail Risk, Risk Appetite, and Mutual Fund Flows
Financial Review, EarlyView.ABSTRACT Using a measure of aggregate tail risk, we show that a fund's sensitivity (exposure) to tail risk negatively affects the fund flows and the fund's performance. Further, a fund's tail risk sensitivity relates positively to the left‐tail risk measures of the fund.
Ali K. Malik
wiley +1 more source