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Standard optimal portfolio selection models take no account of the special information that active investors believe they
possess. For example, active investors who believe they can place bounds on the price of a security will want to use that
information when assessing risk and expected return in order to construct an optimal portfolio. In this paper, we use two
continuous-time models to analyze how placing boundaries on the price of a stock affects assessed risk, expected returns,
and the optimal holdings of an active investor, and how those vary as a function of the relation between the stock price and
the boundaries. In particular, the optimal strategy takes significant long/short positions as the price nears its lower/upper
boundary. 相似文献
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The above analysis allows several conclusions to be drawn:
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1) | Firstly, deregulation and liberalisation in an economy undergoing the transition from plan to market must differ somewhat from their counterparts in a highly developed market economy. This is because what is being aimed at in the transition process is to modify, not to eliminate the regulatory function of the public administration responsible for planning and implementing new institutional solutions. |
2) | Secondly, privatisation of the public sector must not become a fetish, nor must it be treated as a panacea for rapid systemic changes. For objective reasons, privatisation is not susceptible to shock methods (of the cold turkey type) and therefore it is unable to rapidly induce structural changes. |
3) | Thirdly, the stabilisation policy should be accompanied by a selective industrial policy carried out by the State. And the stabilisation policy must give balanced consideration to the relationship: inflation rate -output level- unempolyment rate. |
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Jakša Cvitanić 《Asia-Pacific Financial Markets》1999,6(1):7-35
In this article we survey methods of dealing with the following problem: A financial agent is trying to hedge a claim C, without
having enough initial capital to perform a perfect (super) replication. In particular, we describe results for minimizing
the expected loss of hedging the claim C both in complete and incomplete continuous-time financial market models, and for
maximizing the probability of perfect hedge in complete markets and markets with partial information. In these cases, the
optimal strategy is in the form of a binary option on C, depending on the Radon-Nikodym derivative of the equivalent martingale
measure which is optimal for a corresponding dual problem. We also present results on dynamic measures for the risk associated
with the liability C, defined as the supremum over different scenarios of the minimal expected loss of hedging C.
This revised version was published online in August 2006 with corrections to the Cover Date. 相似文献
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We consider a general formulation of the principal–agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following. We first find the contract that is optimal among those for which the agent’s value process allows a dynamic programming representation, in which case the agent’s optimal effort is straightforward to find. We then show that the optimization over this restricted family of contracts represents no loss of generality. As a consequence, we have reduced a non-zero-sum stochastic differential game to a stochastic control problem which may be addressed by standard tools of control theory. Our proofs rely on the backward stochastic differential equations approach to non-Markovian stochastic control, and more specifically on the recent extensions to the second order case. 相似文献
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On dynamic measures of risk 总被引:10,自引:0,他引:10
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Witold Jakóbik 《International Advances in Economic Research》1999,5(2):167-177
The objective of this analysis is to describe, interpret, and assess the socioeconomic changes that took place in Poland during 1989 to 1997. This is a dynamic approach that considers the relationships that exist between successive phases of transformation and is characterized by both quantitative and qualitative analysis. The study is in three sections. The first section sets forth analytical tools and methods to study systemic transformation at large. It searches for the promising manner of a transition appraisal. The second section discusses division of the economy into sphere of regulation and real sphere. In turn, the third section includes a dynamic analysis of interrelationships between those spheres that are subject to changes in the course of transformation and, in various ways, shape the economic performance in Poland. Finally, this paper draws conclusions concerning the failures and successes of the economic transition. 相似文献