A Mean-Variance Optimization Approach for Residential Real Estate Valuation
Real Estate Management and Valuation, 2021 This paper introduces a new approach to the sales comparison model for the valuation of real estate that can objectively estimate the coefficients associated with the explanatory price variables.
Guijarro Francisco
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Modelling the fair value of annuities contracts: the impact of interest rate risk and mortality risk [PDF]
, 2006 The purpose of this paper is to analyze the problem of the fair valuation of annuities contracts. The market consistent valuation of these products requires a pricing framework which includes the two main sources of risk affecting the value of the ...
Ballotta, L., Esposito, G., Haberman, S.
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The impact of fundamental factors and sentiments on the valuation of cryptocurrencies
Blockchain: Research and Applications, 2023 The valuation of cryptocurrencies is important given the increasing significance of this potential asset class. However, most state-of-the-art cryptocurrency valuation methods only focus on one of the fundamental factors or sentiments and use out-of-date
Tiam Bakhtiar +2 more
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Credit Valuation Adjustment Compression by Genetic Optimization
Risks, 2019 Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
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Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions
Risks, 2018 A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming.
Guojun Gan
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A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
, 2020 We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a certain Radon ...
Ruszczynski, Andrzej, Yao, Jianing
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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
Dependence Modeling, 2017 Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts.
Gan Guojun, Valdez Emiliano A.
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Neural Mechanisms of Choice Diversification
Frontiers in Neuroscience, 2020 When asked to select several options at once, people tend to choose a greater diversity of items than when they are asked to make these selections one at a time. Using functional magnetic resonance imaging (fMRI), we provide novel insight into the neural
Linda E. Couwenberg +4 more
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Assessment and valuation of technologies, development and application of Valorativo software [PDF]
Innovation & Management Review, 2023 Purpose – Although Public Research Institutions (PRIs) are large technology producers, they lack automated information tools that follow technical and scientific criteria for assessing and valuing patents.
Robson Almeida Borges De Freitas +1 more
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International Journal of Financial Studies, 2023 This study investigated the relationship between a sector-specific Australian Real Estate Investment Trust (A-REITs) and the underlying property assets in its property portfolio.
Xinyi Li +3 more
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