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We propose and investigate a hierarchy of bimatrix games (A, B), whose (entry-wise) sum of the pay-off matrices of the two players is of rank k, where k is a constant. We will say the rank of such a game is k. For every fixed k, the class of rank k-games strictly generalizes the class of zero-sum games, but is a very special case of general bimatrix games. We study both the expressive power and the algorithmic behavior of these games. Specifically, we show that even for k = 1 the set of Nash equilibria of these games can consist of an arbitrarily large number of connected components. While the question of exact polynomial time algorithms to find a Nash equilibrium remains open for games of fixed rank, we present polynomial time algorithms for finding an ε-approximation. 相似文献
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Balasingham Balachandran Chandrasekhar Krishnamurti Michael Theobald Berty Vidanapathirana 《Journal of Corporate Finance》2012,18(5):1232-1247
Australian companies pay dividends semi-annually with smaller “interim” payments and larger “final” payments. Interim dividends are declared and paid within a less full information environment than final dividends. We analyze the interactions between the timing of dividends and their information content, controlling for share repurchase and tax effects. Dividend reductions that are not associated with share repurchases are statistically significantly related to future abnormal earnings and provide strong support for the information content of dividend reductions. The percentage of dividend reduction is stronger for interim than for final dividend reductions. The market reaction is negatively related to the reduction in imputation tax credit and reacts more aggressively and negatively to interim as compared to final dividend reductions. 相似文献
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Lan-chih Ho John Cadle Michael Theobald 《Review of Quantitative Finance and Accounting》2011,36(2):247-267
This paper compares traditional portfolio insurance strategies with modern risk-based dynamic asset allocation strategies
within a currency portfolio context for reserve management. Given the objective of preserving reserve value, the evaluation
of the hedging performances of various strategies focuses on four perspectives regarding, in particular, the return distribution
of the hedged portfolio. In terms of the Sharpe Ratio, the constant proportional portfolio insurance is the best performer
due to having the lowest volatility, while the Value at Risk strategy based upon the normal distribution is the worst due
to its having the smallest return. From the perspective that the return distribution of the hedged portfolio is shifted to
the right, the synthetic put performs the best, with the expected shortfall strategy the second best. In terms of the cumulative
portfolio return across years, the expected shortfall strategy using the historical distribution ranks first, as a result
of its participation in upward markets. Furthermore, the expected shortfall-based strategy results in a lower turnover within
the investment horizon, thereby saving transaction costs. 相似文献
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