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Longevity Bonds: Financial Engineering, Valuation, and Hedging 总被引:2,自引:0,他引:2
David Blake rew Cairns Kevin Dowd Richard MacMinn 《The Journal of risk and insurance》2006,73(4):647-672
This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks. 相似文献
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The purpose here is to assess empirically the quasi-supply side model of the firm developed in the paper by Ashton et al. (2004 ) by testing the prediction of the model that the evolution of a firm's debt to equity ratio will be compatible with a non-linear (target adjustment) process whose underlying probability density function possesses no convergent moments. Using a thirty-two-year history of the debt to equity ratio for each of ninety 'mature' United Kingdom firms, a non-parametric estimation procedure shows that the debt to equity ratio evolves in terms of a process which is largely consistent with the predictions of this model. In particular, the evolution of the debt to equity ratio is compatible with a 'long (fat) tailed' density function with no convergent moments. This has the important implication, supported by our empirical analysis, that the linear dynamic models which characterize empirical work in this area will be mis-specified and will return inconsistent and temporally unstable estimates of the target adjustment process as a consequence. 相似文献
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Positioning the World Bank 总被引:2,自引:0,他引:2
Christopher Gilbert rew Powell & David Vines 《Economic journal (London, England)》1999,109(459):598-633
This article examines the rationale for the World Bank and explores whether its objective is best served by its current mix of activities. We are critical of the Bank's reliance on conditionality, and advocate evolution into a Knowledge Bank, which would lend with few conditions to countries with good policies and good institutions, and would concentrate on the provision of knowledge and technical assistance, rather than lending, in countries where the policy framework is poor. We also advocate an expansion in the Bank's role as a provider of global public goods; we critically examine the Banks role in relation to financial crises. 相似文献
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Francesca Cornelli Richard D'Aveni rew Kakabadse Rosabeth Moss Kanter Markus Reitzig Fons Trompenaars Kim Warren 《Business Strategy Review》2009,20(1):72-76
Francesca Cornelli, Richard D'Aveni, Andrew Kakabadse, Rosabeth Moss Kanter, Markus Reitzig, Fons Trompenaars and Kim Warren share their latest research. 相似文献
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Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation 总被引:2,自引:0,他引:2
This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some extremely skeptical prior beliefs nevertheless lead to economically significant allocations to active managers. 相似文献
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Data from 1,374 firms across four broad industrial groupings are used to assess the contribution that real (adaptation) options make to overall equity values. The analysis indicates that real (adaptation) options make a significant contribution to the equity value of firms with a market to book ratio (of equity) of around unity or less. As the market to book ratio grows beyond this level, however, the contribution made by real (adaptation) options decays quickly away and equity values are mainly comprised of the present value of the dividends that firms are expected to pay. This means that for around one in every five of the firms in our sample real (adaptation) options make a significant contribution to overall equity value. Thus, while linear equity valuation models would seem to be appropriate for the substantial majority of firms on which our sample is based, there is a sizeable minority of firms where real (adaptation) options have a significant impact on equity values. For this latter group of firms there will be a non-linear relationship between equity value and its determining variables. This has important implications for the regression procedures that are applied in this area of accounting research. 相似文献
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One of the most important features of the Australian economy in the past two decades has been the structural deterioration of labour market performance, reflected in both an increase in the average rate of unemployment and an outward shift in the Beveridge Curve, which depicts the relationship between unemployment and vacancies. This article attempts to uncover some of the causes for this structural deterioration, in terms of the factors affecting the UVrelationship. We find that the Beveridge Curve shifted out around 1974, consistent with an increase in the equilibrium rate of unemployment which is generally agreed to have occurred around that time. Using gross labour market flow data, we also investigate the determinants of the equilibrium Beveridge Curve in the 1980s. We find that the Beveridge Curve shifted further outwards in the 1980s. The most important determinant of this shift was the decline in the search effectiveness of the unemployed, reflected in the increasing incidence of long-term unemployment. Partially offsetting this influence during this time were the declining labour force participation of men, and the very large increases in female employment. 相似文献
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John F. Wilson,Anthony Webster,and Rachel Vorberg‐Rugh,Building co‐operation. A business history of the Co‐operative Group, 1863–2013 (Oxford: Oxford University Press, 2013. Pp. xv+440. 131 figs. 26 tabs. 20 plates. ISBN 9780199655113 Hbk. £30)
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Peter Gurney 《The Economic history review》2015,68(2):737-739
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Abstract The problem of “optimum stratification” was discussed by the firstmentioned author in an earlier paper (1). The discussion in that paper was limited to sampling from an infinite population, represented by a density function f{y). The optimum points yi of stratification, for estimating the mean µ using were determined by solving the equations: which gives the stratification points Yi that minimize the sampling variance V y (provided the usual condition for the minimum is fulfilled) 相似文献