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11.
We consider the equilibrium in a capital asset market where the risk is measured by the absolute deviation, instead of the
standard deviation of the rate of return of the portfolio. It is shown that the equilibrium relations proved by Mossin for
the mean variance (MV) model can also be proved for the mean absolute deviation (MAD) model under similar assumptions on the
capital market. In particular, a sufficient condition is derived for the existence of a unique nonnegative equilibrium price
vector and derive its explicit formula in terms of exogeneously determined variables. Also, we prove relations between the
expected rate of return of individual assets and the market portfolio. 相似文献
12.
Yugo Konno 《Post - Communist Economies》2016,28(3):300-313
This article offers empirical evidence on the major trends in the nature of Russia’s trade and on the determinants of the different types of trade: horizontal intra-industry trade (HIIT), vertical intra-industry trade (VIIT) and inter-industry trade (INT). The estimation results of gravity-type log-linear models suggest that the combined economic size of Russia and the trading partner has a positive effect, while the distance between the two countries has a negative effect for all types of trade. They also suggest that FDI has a significant effect on all types of trade; however, the effect varies according to whether the partner country is a member of the CIS/CU or not, and whether the FDI is outward or inward. 相似文献