搜索结果: 1-15 共查到“知识库 理论经济学 the return”相关记录20条 . 查询时间(0.048 秒)
The Need to Return to a Monetary Framework
monetary policy framework reserve balances quantitative easing
2015/8/3
This paper examines the 100-fold increase in reserve
balances at the Federal Reserve during 2008. By
looking at the balance sheet of the Federal Reserve
and factors influencing the supply and deman...
Evaluating Firm-Level Expected-Return Proxies
Cost of Capital Investment Return Performance Evaluation
2015/4/28
We develop and implement a rigorous analytical framework for empirically evaluating the relative performance of firm-level expected-return proxies (ERPs). We show that superior proxies should closely ...
Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital
Measurement and Metrics Cost of Capital Investment Return
2015/4/28
Despite their popularity as proxies of expected returns, the implied cost of capital's (ICC) measurement error properties are relatively unknown. Through an in-depth analysis of a popular implementati...
MAKING FINANCIAL HISTORY The crisis of 2008 and the return of the past
MAKING FINANCIAL HISTORY the return of the past
2014/4/21
The past does not simply provide conditions of possibility for capitalist finance; it also serves
as a vital resource for those who might seek to understand or negotiate it in a particular
present...
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Microscopic understanding of heavy-tailed return distributions agent-based model
2012/9/14
The distribution of returns in nancial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby ...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
An algorithm for the orthogonal decomposition of financial return data
portfolio selection mean-variance analysis principal components of risk
2012/9/14
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and “systemic”, “productive”, and “nonproductive”risk. Generally, when the nu...
Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
THE ROLE OF RETAIL BANKING IN THE U.S. BANKING INDUSTRY: RISK, RETURN, AND INDUSTRY STRUCTURE
the return in the U.S banking industry retail banking of the industry
2011/10/3
The article discusses the return in retail in the U.S. banking industry and offers some insight into why this strategic shift has occurred. It relates that the renewed interests in retail banking of t...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model New York Vilnius Stock Exchanges
2010/10/19
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
Drive for Show, Putt for Dough: Rates of Return to Golf Skills, Events Played, and Age on the PGA Tour
Golf Skills Events Played Age on the PGA Tour
2009/11/30
The “winner take all” structure of professional golf, where there i
substantial incentive to perform at one's highest ability, invites investigation
into the rates of return to golf skills on the PG...
Scaling and memory in the return intervals of realized volatility
Econophysics Realized volatility Return interval Scaling Long memory
2010/10/29
We performreturn interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent...
Statistical analysis of the overnight and daytime return
price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...