An Analysis of the Howard Hughes Corporation
... Vegas strip, in walking distance of the key attractions • In 2007, North Vegas Strip land sold for $34M/acre • Wynn, Trump International, The Palazzo, The Venetian – all have easy access to Fashion Show • We can say with confidence that this asset is worth much more than its carrying value of $0! ...
... Vegas strip, in walking distance of the key attractions • In 2007, North Vegas Strip land sold for $34M/acre • Wynn, Trump International, The Palazzo, The Venetian – all have easy access to Fashion Show • We can say with confidence that this asset is worth much more than its carrying value of $0! ...
Long-Term Analysis Conquers Wrong Turn Paralysis
... important to note that not all performance is attributable to a ‘single factor’. Just as French and Fama have since found that there are at least five factors that influence performance (size, value, market risk, profitability, investment, and possibly a sixth as Cliff Asness - Fama’s student - want ...
... important to note that not all performance is attributable to a ‘single factor’. Just as French and Fama have since found that there are at least five factors that influence performance (size, value, market risk, profitability, investment, and possibly a sixth as Cliff Asness - Fama’s student - want ...
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... goods may accelerate or slow growth by shifting resources among alternative productive uses. The model set out below pursues this line of analysis, showing that a pure expansion of opportunities for trade across states of nature may itself promote resource reallocations favorable to long-term econom ...
... goods may accelerate or slow growth by shifting resources among alternative productive uses. The model set out below pursues this line of analysis, showing that a pure expansion of opportunities for trade across states of nature may itself promote resource reallocations favorable to long-term econom ...
NBER WORKING PAPER SERIES A REHABILITATION OF STOCHASTIC DISCOUNT FACTOR METHODOLOGY
... Kan and Zhou (1999) compare the “stochastic discount factor” (SDF) methodology, using GMM, to a “traditional” maximum likelihood estimate and test, applied to the static linear CAPM with i.i.d. normal returns. They conclude that the SDF methodology performs much worse than the traditional estimate a ...
... Kan and Zhou (1999) compare the “stochastic discount factor” (SDF) methodology, using GMM, to a “traditional” maximum likelihood estimate and test, applied to the static linear CAPM with i.i.d. normal returns. They conclude that the SDF methodology performs much worse than the traditional estimate a ...
the use of portfolio credit risk models in central banks
... risk models for reasons unrelated to their investments, notably in their capacity as bank supervisors or for market surveillance. Only a few central banks have practical experience with credit risk modelling, but many others are testing or implementing systems. Of those represented in the task force ...
... risk models for reasons unrelated to their investments, notably in their capacity as bank supervisors or for market surveillance. Only a few central banks have practical experience with credit risk modelling, but many others are testing or implementing systems. Of those represented in the task force ...
Asset Pricing with Return Asymmetries: Theory
... of high aggregate marginal utility. When the market portfolio is negatively skewed, which indicates that it offers large negative returns more often than large positive returns, investors may prefer to hold assets with high idiosyncratic asymmetry because they cannot obtain positive skewness in their ...
... of high aggregate marginal utility. When the market portfolio is negatively skewed, which indicates that it offers large negative returns more often than large positive returns, investors may prefer to hold assets with high idiosyncratic asymmetry because they cannot obtain positive skewness in their ...
Risk Sharing between Banks and Markets
... insurance contracts). First-loss positions have been shown to be optimal arrangements in a number of papers, including Arrow (1971), Townsend (1979), and Gale and Hellwig (1985). Riddiough (1997) shows that splitting (tranching) the portfolio payoff into a risk-free security, which is not subject to ...
... insurance contracts). First-loss positions have been shown to be optimal arrangements in a number of papers, including Arrow (1971), Townsend (1979), and Gale and Hellwig (1985). Riddiough (1997) shows that splitting (tranching) the portfolio payoff into a risk-free security, which is not subject to ...
Cumulative Prospect Theory, Aggregation, and Pricing
... a complete market is insufficient to guarantee that the set of efficient portfolios is convex, as is guaranteed for risk-averse investors who use objective probabilities. This means that there may be no representative agent who holds the average or market portfolio. Unfortunately, a representative i ...
... a complete market is insufficient to guarantee that the set of efficient portfolios is convex, as is guaranteed for risk-averse investors who use objective probabilities. This means that there may be no representative agent who holds the average or market portfolio. Unfortunately, a representative i ...
Chapter 7
... • To approximate the standard deviation use random sampling • If CFs are highly correlated over time – The risk of a project will be greater than if they are mutually independent • Degree of dependence of CFs is important ...
... • To approximate the standard deviation use random sampling • If CFs are highly correlated over time – The risk of a project will be greater than if they are mutually independent • Degree of dependence of CFs is important ...
Section 1 Short Term Variability
... of the period of interest. Then again, both X and Y are zero with high probability, but have possibly long left tails on the negative half-line. If the probability of a zero payout is close enough to 1, VaR is zero for each option separately, but may be positive for their sum. ...
... of the period of interest. Then again, both X and Y are zero with high probability, but have possibly long left tails on the negative half-line. If the probability of a zero payout is close enough to 1, VaR is zero for each option separately, but may be positive for their sum. ...
Loss Aversion and Incentives Omission Bias Evaluating Talent
... • Which Lotto number is more likely to win? ...
... • Which Lotto number is more likely to win? ...
Integrated Approach to Managing Risk and
... managing trading floor risks, it has many limitations for managing the risks of a structural balance sheet. For example, consider the treasury function. Such monitoring the risk can be used for position management but it is not used for structural balance sheet management, formulating funding strat ...
... managing trading floor risks, it has many limitations for managing the risks of a structural balance sheet. For example, consider the treasury function. Such monitoring the risk can be used for position management but it is not used for structural balance sheet management, formulating funding strat ...
Alternative risk premia investing: from theory to practice
... classes. Meanwhile, several studies have shown that momentum investing can be exploited in a cross-asset setting, reproducing the returns offered by trend-following strategies. These strategies are part of the family of alternative risk premia. The case for alternative risk premia Alternative risk p ...
... classes. Meanwhile, several studies have shown that momentum investing can be exploited in a cross-asset setting, reproducing the returns offered by trend-following strategies. These strategies are part of the family of alternative risk premia. The case for alternative risk premia Alternative risk p ...
Estimating Security Returns Variance
... Price volatility of a security thirty years ago hardly seems relevant today). On the other hand, longer-term returns such as those computed on a monthly or annual basis will more closely follow a normal distribution than returns computed on a daily or shorter-term basis. This is a highly desirable q ...
... Price volatility of a security thirty years ago hardly seems relevant today). On the other hand, longer-term returns such as those computed on a monthly or annual basis will more closely follow a normal distribution than returns computed on a daily or shorter-term basis. This is a highly desirable q ...
PRICING AND HEDGING OF SWAPTIONS∗
... occurring at time t+∆t. Cashflows on both sides coinciding would mean the net value being paid to the beneficiary. Swaps are particularly useful in the restructuring of risk in an investment. Eventual interest rate risks can be hedged away with swaps. It is for this reason that swaps have become so ...
... occurring at time t+∆t. Cashflows on both sides coinciding would mean the net value being paid to the beneficiary. Swaps are particularly useful in the restructuring of risk in an investment. Eventual interest rate risks can be hedged away with swaps. It is for this reason that swaps have become so ...
Dynamic Volatility Targeting
... asset falls, but more importantly, the rate of the increase in the price of puts increases as the price of the underlying asset falls. Conversely, the rate of the decrease in the price of puts decreases as the price of the underlying asset rises. This characteristic is unique to a long options posit ...
... asset falls, but more importantly, the rate of the increase in the price of puts increases as the price of the underlying asset falls. Conversely, the rate of the decrease in the price of puts decreases as the price of the underlying asset rises. This characteristic is unique to a long options posit ...
Characterizing world market integration through time
... portfolio, and Re is the vector of returns on all securities that can be bought by all investors irrespective of their nationality. Thus, the expected return on the ith security commands a global risk premium and a super risk premium which is proportional to the conditional market risk. Securities t ...
... portfolio, and Re is the vector of returns on all securities that can be bought by all investors irrespective of their nationality. Thus, the expected return on the ith security commands a global risk premium and a super risk premium which is proportional to the conditional market risk. Securities t ...