搜索结果: 1-8 共查到“知识库 财政学 model”相关记录8条 . 查询时间(0.093 秒)
Understanding small private retail firm growth using the sustainable growth model
small business financial ratios retail growth cycle sustainable growth model
2010/10/18
An analysis was conducted to evaluate the cross-sectional variations of financial ratios
among privatively held retail companies measured as different growth cycle stages. The study
examines four fi...
Optimal closing of a pair trade with a model containing jumps
short position investment strategy financial industry
2010/4/28
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, L...
We propose a top-down model for cash CLO. This model can consistently price cash CLO tranches both within the same deal and across different deals. Meaningful risk measures for cash CLO tranches can a...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...
A proof of a conjecture in the Cramér-Lundberg model with investments
Cramer-Lundberg model ruin probabilit
2010/4/27
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By ass...
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a self-organized model...
A simple model of mortality trends aiming at universality: Lee Carter + Cohort
mortality trends Lee Carter + Cohort universality
2010/4/27
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that ...
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...