搜索结果: 121-135 共查到“知识库 投资理论”相关记录325条 . 查询时间(2.163 秒)
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
The recent crisis and the following flight to simplicity put most derivative businesses
around the world under considerable pressure. We argue that the traditional mod-
eling techniques must be exte...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Piecewise-deterministic compound Poisson model optimal stochastic control HJB equation quasi-variational inequality threshold strategy barrier strategy
2011/7/5
This paper deals with optimal dividend payment problem in the general setup of a
piecewise-deterministic compound Poisson risk model. The objective of an insurance
business under consideration is to...
Knowledge Dispersion Index for Measuring Intellectual Capital
network flow perturbations intellectual capital metrics
2011/7/5
In this paper we propose a novel index to quantify
and measure the flow of information on macro and micro
scales. We discuss the implications of this index for knowledge
management fields and also ...
Counterparty Risk and the Impact of Collateralization in CDS Contracts
Counterparty Risk Collateralization CDS
2011/7/25
Abstract: We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and we derive t...
Default Clustering in Large Portfolios: Typical and Atypical Events
Large Portfolios Default Clustering Typical Atypical Events
2011/7/22
Abstract: We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical and atypical default profiles in the limit as the size of the pool grows. I...
异质信念与金融异象研究最新进展
异质信念 卖空限制 金融异象
2011/4/6
投资者异质信念和卖空限制前提下资产定价和金融异象的理论和实证研究大大丰富和发展了传统的金融经济理论。本文从理论和实证两个方面综合阐述了这一领域的最新研究成果。这一领域的理论研究为金融异象、资产泡沫、市场崩溃形成机制提供了全新的解释思路。虽然对异质信念的衡量存在一定困难和分歧，实证结果也不完全一致，但大多数的实证研究支持了理论观点。
我国股市的特质波动率之谜及基于异质信念的解释
特质波动率 预期收益 异质信念
2011/4/6
本文以1997年至2007年沪深两市A股为样本，以三因素模型残差项的标准差测度特质波动率，发现特质波动率与截面预期收益显著负相关，这种关系不能由公司规模、账面市值比和动量等因素解释。以AR（2）模型估计的预期特质波动率也与截面预期收益负相关，表明我国股市同样存在特质波动率之谜。我们还从异质信念角度对特质波动率之谜提出了初步的解释。
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Sensitivity Analysis Quantitative Operational Risk Management Value at Risk
2011/7/22
Abstract: We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of ...
Modeling the Dynamics of Chinese Spot Interest Rates
Generalized residuals Robust specification tests Robust M-estimation Spot rate
2011/4/2
Understanding the dynamics of spot interest rates is important for derivatives pricing, risk
management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-da...
Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
Preferences, Lévy Jumps and Option Pricing
equilibrium option pricing recursive utility Levy jumps
2011/4/2
This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices includin...
Varying the VaR for Unconditional and Conditional Environments
Value at Risk extreme value theory GARCH filter conditional risk
2011/3/31
Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their un...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...