排序方式: 共有52条查询结果,搜索用时 46 毫秒
31.
Dmitry B. Rokhlin 《Finance and Stochastics》2013,17(4):819-838
To any utility maximization problem under transaction costs one can assign a frictionless model with a price process S ?, lying in the bid/ask price interval $[\underline{S}, \overline{S}]$ . Such a process S ? is called a shadow price if it provides the same optimal utility value as in the original model with bid-ask spread. We call S ? a generalized shadow price if the above property is true for the relaxed utility function in the frictionless model. This relaxation is defined as the lower semicontinuous envelope of the original utility, considered as a function on the set $[\underline{S}, \overline{S}]$ , equipped with some natural weak topology. We prove the existence of a generalized shadow price under rather weak assumptions and mark its relation to a saddle point of the trader/market zero-sum game, determined by the relaxed utility function. The relation of the notion of a shadow price to its generalization is illustrated by several examples. Also, we briefly discuss the interpretation of shadow prices via Lagrange duality. 相似文献
32.
Xiaohui Deng Barry J. Barnett Dmitry V. Vedenov Joe W. West 《Agricultural Economics》2007,36(2):271-280
This article proposes a temperature–humidity index insurance product and examines whether this product can effectively protect against the risk of reduced milk production caused by heat stress. Results suggest that even when premiums are at higher than actuarially fair levels and the insurance purchaser is faced with both spatial and temporal basis risks, a temperature–humidity index insurance product would provide risk management benefits to a representative south‐central Georgia dairy producer. 相似文献
33.
Dmitry Khanin Kristie Ogilvie David Leibsohn 《Journal of International Entrepreneurship》2012,10(1):1-24
Prior research has established that venture capitalists (VCs) may face significant obstacles in financing ventures from emerging
or transition economies. Such hurdles are usually attributed to the weaknesses of host countries’ institutional systems, especially
regulatory. These institutional pitfalls may thwart VCs’ ability to exit a portfolio company leading to lower returns than
expected. Developing this approach, we argue that exit strategies may also be difficult to execute when VCs expand into advanced
economies although for different reasons. Thus, we show that both necessity entrepreneurship prevalent in emerging economies
and opportunity entrepreneurship prevalent in advanced economies are positively associated with the number of investment rounds
received by portfolio companies. In contrast, we establish that VC firm capital and network density are negatively associated
with the number of rounds provided to portfolio companies across distinct institutional environments. This suggests that VCs
may improve their performance by choosing an appropriate strategy to navigate unfamiliar institutional environments to minimize
their liability of foreignness. Finally, we find that the interaction of VC capital and network density is positively related
to the number of VCs’ investment rounds. Apparently, resource-rich VC firms may not fully realize the informational benefits
of their dense “knowledge networks” due to insufficient collaboration with partners. At the same time, such VCs may no longer
enjoy access to free information flows from prospective allies. Hence, network density and superior resources combined may
lead to a greater number of investment rounds. 相似文献
34.
This article presents a family of term structure models that can be applied to value contingent claims in multicommodity and seasonal markets. We apply the framework to the futures contracts on crude and heating oils trading on NYMEX. We show how to deal with the problem of having to value products depending on the “whole” market, such as spread options on contracts on a single commodity maturing at different times (time‐spreads) or spread options on the added value of the products derived from the raw commodity (crack spreads). Also, we show how to build term structure models for a commodity that experiences seasonality, such as heating oil. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1019–1035, 2002 相似文献
35.
Optimal Diversification: Reconciling Theory and Evidence 总被引:9,自引:0,他引:9
In this paper we show that the main empirical findings about firm diversification and performance are consistent with the maximization of shareholder value. In our model, diversification allows a firm to explore better productive opportunities while taking advantage of synergies. By explicitly linking the diversification strategies of the firm to differences in size and productivity, our model provides a natural laboratory to investigate several aspects of the relationship between diversification and performance. Specifically, we show that our model can rationalize the evidence on the diversification discount ( Lang and Stulz (1994) ) and the documented relation between diversification and productivity ( Schoar (2002) ). 相似文献
36.
In a model with irreversible capacity investments, we show that financial statements prepared under replacement cost accounting provide investors with sufficient information for equity valuation purposes. Under alternative accounting rules, including historical cost and value in use accounting, investors will generally not be able to value precisely a firm’s growth options and therefore its equity. For these accounting rules, we describe the range of valuations that is consistent with the firm’s financial statements. We further show that replacement cost accounting preserves all value-relevant information if the firm’s investments are reversible. However, the directional relation between the value of the firm’s equity and the replacement cost of its assets is different from that in the setting with irreversible investments. 相似文献
37.
We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility-based price is that the solution to the dual problem defines an equivalent local martingale measure. 相似文献
38.
Intereconomics - Stabilising the exchange rate allows the Russian government to anchor inflation expectations and support consumption but comes at the cost of the financial repression of domestic... 相似文献
39.
The appearance of significant non-monetary trade in the Russian transition of 1992-98 has been differently interpreted by analysts and observers. Some have seen barter as a symbol of passive resistance to reforms while others have blamed reformist policies for its development. We argue that non-monetary trade is best understood as a natural response of companies to market imperfections remaining from Soviet times. We provide an overview of market institutions that existed at the onset of the transition and conclude that market infrastructure was under-developed (especially trade and finance-related institutions). This fact became obvious after the liberalisation of trade in 1992. When the Central Bank of Russia stopped issuing direct credit to enterprises, newly established commercial banks were unable to fill the gap. Firms had to develop alternative means of financing trade and non-monetary trade was one of them. In our opinion barter, while an inefficient mode of trade, also played a positive role in the transition. Its high transaction costs offered ample opportunities to earn profits from trade and financial intermediation. The latter mushroomed as a result and at the time of the 1998 default the Russian economy had sufficiently developed trade, financial and legal systems to afford a switch from barter to money trade. 相似文献
40.
This study analyzes the problem of multi‐commodity hedging from the downside risk perspective. The lower partial moments (LPM2)‐minimizing hedge ratios for the stylized hedging problem of a typical Texas panhandle feedlot operator are calculated and compared with hedge ratios implied by the conventional minimum‐variance (MV) criterion. A kernel copula is used to model the joint distributions of cash and futures prices for commodities included in the model. The results are consistent with the findings in the single‐commodity case in that the MV approach leads to over‐hedging relative to the LPM2‐based hedge. An interesting and somewhat unexpected result is that minimization of a downside risk criterion in a multi‐commodity setting may lead to a “Texas hedge” (i.e. speculation) being an optimal strategy for at least one commodity. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:290–304, 2010 相似文献