搜索结果: 1-3 共查到“世界经济学 Asset Returns”相关记录3条 . 查询时间(0.093 秒)
Long-Run Stockholder Consumption Risk and Asset Returns
Asset Pricing Stocks Investment Return Investment Portfolio Risk Management
2015/4/22
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-run stock...
Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Nonlinear Fokker-Planck Equation Model Asset Returns
2010/12/17
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of as...