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A note on super-hedging for investor-producers
arbitrage pricing theory markets with proportional transaction costs non-linear returns super replication theorem
2012/3/2
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produc...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Minimum Variance Portfolios Coordinate-Wise Descent Algorithms
2010/10/20
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms,...
Determinants of volatility on international tourism demand for South Korea: an empirical note
international tourism Korea the leverage effects
2011/4/2
This article examines volatility and its determinants of international tourism demand for Korea. Based on the exponential generalized autoregressive heteroskedasticity model, some evidences are found ...
We concentrated on the other parameters of terminal value. If we accepted the assumptions that since certain point in time a company is “stable” in terms of ratio of profit to a set of capital to whic...