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韩山师范学院财务管理课件第七章 Current Asset Management。
Risk,VaR,CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/25
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
THE FIVE-STAR DOCTOR:An asset to health care reform?
THE FIVE-STAR DOCTOR health care reform
2010/3/5
Defining universal challenges in health reform is itself a challenge, let alone proposing
appropriate responses to such challenges. We hope to avoid the risks inherent in such
generalization by fo...
The five-star doctor: an asset to health care reform
the five-star doctor asset health care reform
2009/10/15
Defining universal challenges in health reform is itself a challenge, let alone proposing
appropriate responses to such challenges. We hope to avoid the risks inherent in such
generalization by fo...
Knowledge Asset Potential vs.Vulnerability:Balancing Risks
intellectual capital knowledge management competitive intelligence risk strategy
2009/7/16
This paper addresses a growing realization in knowledge management (KM) circles that KM choices are strategic and need to fit the circumstances of a particular firm. On one hand, better management of ...
Martingale selection problem and asset pricing in finite discrete time
Martingale selection problem asset pricing finite discrete time
2009/3/23
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES：THE SIMULTANEOUS SWITCHING ARIMA APPROACH
Asymmetrical Volatility Stock Prices Simultaneous Switching AR Model Conditional Heteroskedasticity Daily Effect
2009/3/11
Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect in...
APPLICATION OF ROBUST STATISTICS TO ASSET ALLOCATION MODELS
robust statistics asset allocation FAST-MCD bivariate Winsorization penalization
2009/2/25
Many strategies for asset allocation involve the computation of the expected value and
the covariance matrix of the returns of financial instruments. How much of each instrument
to own is determined...
Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Levy jumps
co-jumps diffusion correlation coefficient stable Levy jumps threshold estimator
2010/4/29
In this paper we consider two processes driven by diffusions and jumps. The jump components
are L´evy processes and they can both have finite activity and infinite activity. Given discrete obse...
Information-Based Asset Pricing
Asset pricing partial information stochastic volatility correlation dividendgrowth Brownian bridge
2010/4/28
A new framework for asset price dynamics is introduced in which the
concept of noisy information about future cash flows is used to derive the corresponding
price processes. In this framework an ass...
Welfare Reform, Saving, and Vehicle Ownership:Do Asset Limits and Vehicle Exemptions Matter?
Welfare Reform Saving Vehicle Ownership Asset Limits Vehicle Exemptions Matter
2016/3/7
This paper examines whether AFDC/TANF asset tests affect the asset holdings of low-educated single mothers. Special emphasis is given to vehicle assets that make up a very significant share of total w...
Do Welfare Asset Limits Affect Household Saving?: Evidence from Welfare Reform
Welfare Asset Limits Household Saving Evidence Welfare Reform
2016/3/7
We use data from the Panel Study of Income Dynamics to estimate the effect of new saving incentives implemented as part of the 1996 welfare reform on household saving. Economic theory predicts that lo...
In this paper the effects of selling assets are examined in a property rights model a`
la Grossmann, Hart and Moore. The possibility of selling an asset gives its owner
a bargaining tool which can s...