排序方式： 共有61条查询结果，搜索用时 0 毫秒
1.
Damir Tokic 《The Australian economic review》2012,45(4):422-440
This study proposes an alternative Data Envelopment Analysis ranking model to evaluate the relative performance efficiency of commodity‐trading advisors. I measure the performance efficiency using the decision‐making process quality/trading skills framework and depart from the traditional risk–return framework. The Data Envelopment Analysis rankings produced some interesting results. First, similarly to the previous studies, I successfully isolated two ‘superstar’ commodity‐trading advisors with the highest Sharpe ratios as the Grade A commodity‐trading advisors. However, as an improvement over the similar studies that used the traditional risk–return framework, I also isolated two commodity‐trading advisors with average and below‐average Sharpe ratios as Grade A commodity‐trading advisors. 相似文献
2.
Damir Tokic 《Journal of Corporate Accounting & Finance》2019,30(4):7-10
The recent U.S. Dollar Index countertrend rally will likely reverse to the longer‐term downtrend due to: (a) narrowing interest rate differentials, (b) rising U.S. budget deficit, and (c) the geopolitical trend of dedollarization. 相似文献
3.
Lévy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the Lévy driven Heath–Jarrow–Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature so far. 相似文献
4.
Damir Tokic 《Journal of Corporate Accounting & Finance》2005,16(5):9-12
There's an interesting difference between U.S.and Chinese Internet companies. The Chinese companies have learned from our mistakes and have well‐diversified revenues. Does this make them a better investment? © 2005 Wiley Periodicals, Inc. 相似文献
5.
International stock markets have significantly outperformed the U.S. stock market from 2005 to 2008. But will this continue? The authors argue that international markets will hit their peak sometime this year—if they haven't already done so. The reason is that they will be dragged down by the anticipated U.S. recession. And what should U.S. investors do? The authors have some prudent recommendations. © 2008 Wiley Periodicals, Inc. 相似文献
6.
Damir Tokic 《Journal of Corporate Accounting & Finance》2019,30(3):5-7
The yield curve spread has predicted every US recession. As of mid‐2019, the inverted yield curve spread is flashing a warning sign about a possible US recession in 2020. This article explains the yield curve spread, and discusses the possible 2020 recession triggers. 相似文献
7.
Damir Tokic 《Journal of Corporate Accounting & Finance》2009,20(5):3-9
The author suggests that the stock market might approach the bottom of its decline during the first half of 2009. And he believes that technology stocks, which have held their price better than the rest of the market, are likely to lead the market higher. But several developments may squelch that recovery—including the geopolitical situation and rising protectionism. © 2009 Wiley Periodicals, Inc. 相似文献
8.
The third wave of globalization has encountered serious barriers: global economic imbalances between the United States and its trading partners. The authors believe these imbalances are not sustainable. So we may be near the end of the current boom in worldwide business. © 2006 Wiley Periodicals, Inc. 相似文献
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In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein–Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed. 相似文献
10.
The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a family of financial instruments that can be efficiently simulated. We provide the mathematical foundations and a novel dynamic and path-dependent RP approach for real-world and risk-neutral sampling. We show that our RP approach yields asymptotically consistent capital estimators if the chaotic representation property holds. We illustrate the tractability of the RP approach by three numerical examples. 相似文献