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Phân tích giá trị Shapley của các danh mục đầu tư tối ưu Dịch bởi AI
Springer Science and Business Media LLC - Tập 17 - Trang 1-25 - 2020
Haim Shalit
Các nhà đầu tư muốn có khả năng đánh giá rủi ro thực sự và hoàn chỉnh của các tài sản tài chính được nắm giữ trong danh mục đầu tư. Tuy nhiên, các phương pháp phân tích hiện tại chỉ cung cấp các đo lường rủi ro một phần. Tôi đề xuất rằng, bằng cách xem xét một danh mục đầu tư các chứng khoán như một trò chơi hợp tác giữa các tài sản nhằm tối thiểu hóa rủi ro danh mục, các nhà đầu tư có thể tính to... hiện toàn bộ
#Giá trị Shapley #Rủi ro danh mục đầu tư #Danh mục đầu tư tối ưu #Phân tích rủi ro #Phân bổ tài sản #Trung bình-phương sai #Trung bình-Gini
Uninsurable investment risks and capital income taxation
Springer Science and Business Media LLC - Tập 5 - Trang 521-541 - 2008
Césaire A. Meh, Yaz Terajima
This paper studies the capital accumulation and welfare implications of reducing capital income taxation in a general equilibrium economy with uninsurable investment risks. It has been shown that, with uninsurable investment risks, under-accumulation of capital may result compared to the complete markets economy. We show that reducing somewhat the capital income tax rate increases the capital stoc... hiện toàn bộ
A conversation with 590 Nascent Entrepreneurs
Springer Science and Business Media LLC - Tập 5 - Trang 313-340 - 2009
Jeffrey R. Campbell, Mariacristina De Nardi
This paper summarizes interviews from 1998 with 590 individuals trying to create a business centered around five questions: “Who are you?”, “What are you trying to accomplish?”, “What have you and others put into the business?”, “What have you accomplished?”, “What remains to be done?” These Nascent Entrepreneurs are remarkably similar to the general population. Most have already made personally s... hiện toàn bộ
Predicting rating changes for banks: how accurate are accounting and stock market indicators?
Springer Science and Business Media LLC - Tập 9 - Trang 471-500 - 2012
Isabelle Distinguin, Iftekhar Hasan, Amine Tarazi
We aim to assess how accurately accounting and stock market indicators predict rating changes for Asian banks. We conduct a stepwise process to determine the optimal set of early indicators by tracing upgrades and downgrades from rating agencies, as well as other relevant factors. Our results indicate that both accounting and market indicators are useful leading indicators but are more effective i... hiện toàn bộ
Business cycles, financial cycles and capital structure
Springer Science and Business Media LLC - Tập 14 Số 1 - Trang 105-123 - 2018
Haitham A. Al‐Zoubi, Jennifer A. O’Sullivan, Abdulaziz M. Alwathnani
An empirical analysis of organized crime, corruption and economic growth
Springer Science and Business Media LLC - Tập 13 - Trang 273-298 - 2017
Kyriakos C. Neanidis, Maria Paola Rana, Keith Blackburn
In a companion study, Blackburn et al. (Econ Theory Bull, 2017), we have developed a theoretical framework for studying interactions between organized crime and corruption, with the view of examining the combined effects of these phenomena on economic growth. The analysis therein illustrates that organized crime has a negative effect on growth, but that the magnitude of the effect may be either en... hiện toàn bộ
Intragroup transfers, intragroup diversification and their risk assessment
Springer Science and Business Media LLC - Tập 12 - Trang 363-392 - 2016
Andreas Haier, Ilya Molchanov, Michael Schmutz
When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are describ... hiện toàn bộ
Regulatory reform and banking diversity: reassessing Basel 3
Springer Science and Business Media LLC - Tập 18 - Trang 429-456 - 2022
Giuliana Birindelli, Paola Ferretti, Giovanni Ferri, Marco Savioli
We investigate whether and how strongly Basel 3 chief innovations jointly affected in different ways individual Eurozone banks’ stability (z-score) across six business models (BMs). We study this issue in the initial years when adaptation was most intense (2011–2014) and the Eurozone underwent a phase with sovereign crises abated by ECB policies easing financial conditions. In parallel, we run thi... hiện toàn bộ
Nonparametric estimates of option prices via Hermite basis functions
Springer Science and Business Media LLC - Tập 19 - Trang 477-522 - 2023
Carlo Marinelli, Stefano d’Addona
We consider approximate pricing formulas for European options based on approximating the logarithmic return’s density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as perturbations of the classical Black-Scholes one, are nonpararametric in the sense that the distribution of logarithmic returns at fixed times to maturity is only as... hiện toàn bộ
Learning from prices: information aggregation and accumulation in an asset market
Springer Science and Business Media LLC - Tập 17 - Trang 45-77 - 2020
Michele Berardi
Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two potential signals each period: one exogenous and private and the other, prices, endogenous and public. Prices a... hiện toàn bộ
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