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It is shown that the arbitrage pricing theory holds in eachinfinitesimal period of a continuous trading model under theassumption that dividend payoffs are functionals of factor andidiosyncratic uncertainty. This generalizes the one- periodmodel's result that the arbitrage pricing theory holds underthe assumption that price changes in a given period satisfya factor structure. Since instantaneous returns in a multiperiodmodel are endogenously determined, the theory is derived underassumptions that may be viewed as restricting more primitivecharacteristics of the economy than the assumptions made forthe one-period model. 相似文献
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Reisman R 《Medical economics》1984,61(10):96-100, 104, 108
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In this case study four actual energy efficiency projects are analyzed with two traditional engineering economy capital budgeting methods - internal rate of return and payback period - and the results compared with those obtained using the capital asset pricing model (CAPM). The alternative scenarios of the future states-of-the-world necessary for the latter are based on information available in Department of Energy reports. The traditional and CAPM approaches result in different economic conclusions for some of the projects. These differences are analyzed and the implications for certain types of improvement projects and equipment replacement problems as well as financial decision-making in general are discussed. 相似文献
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We provide simple methods of constructing known results. At the core of our methods is the identification of a simple concise basis that spans the Capital Market Line (CML). We show that a portfolio whose risky assets weights are the product of the inverse variance‐covariance matrix of (nonredundant) security rates of return times the vector of the excess expected rates of return over the risk‐free rate is a CML portfolio. This portfolio and the risk‐free security span the CML. In addition, with this basis, there is immediate construction of the efficient frontier of risky assets (the 'hyperbola'), 'tangency' portfolios, 'reflection' portfolios, and a CAPM relationship. Our method is quick and simple. It is easy to derive, teach, implement, interpret, and remember. 相似文献
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A bstract . Professor Reisman responds to Professor James C. W. Ahiakpor's criticisms pp. 715–717. 相似文献
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For managing credit risk, commercial banks use various scoring methodologies to evaluate the financial performance of client firms. This paper upgrades the quantitative analysis used in the financial performance modules of state-of-the-art credit scoring methodologies. This innovation should help lending officers in branch levels filter out the poor risk applicants. The Data Envelopment Analysis-based methodology was applied to current data for 82 industrial/manufacturing firms comprising the credit portfolio of one of Turkey's largest commercial banks. Using financial ratios, the DEA synthesizes a firm's overall performance into a single financial efficiency score—the “credibility score”. Results were validated by various supporting (regression and discriminant) analyses and, most importantly, by expert judgments based on data or on current knowledge of the firms. 相似文献
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