14. Capital Budgeting Under Uncertainty
... stabilization, and decline. Using this framework we can examine cash flows associated with each stage in the life cycle so that even very-long-term projects becomes easier to analyze. Beyond forecasting future cash flows, the PLC approach aids financial planning in terms of determining financing nee ...
... stabilization, and decline. Using this framework we can examine cash flows associated with each stage in the life cycle so that even very-long-term projects becomes easier to analyze. Beyond forecasting future cash flows, the PLC approach aids financial planning in terms of determining financing nee ...
A comparison of option prices under different pricing
... Stochastic volatility models were developed as it became apparent that the Black Scholes option pricing formula exhibits pricing biases across moneyness and maturity. In particular, the Black Scholes formula underprices deep out-of-themoney puts and calls. Further, empirical evidence suggests that ...
... Stochastic volatility models were developed as it became apparent that the Black Scholes option pricing formula exhibits pricing biases across moneyness and maturity. In particular, the Black Scholes formula underprices deep out-of-themoney puts and calls. Further, empirical evidence suggests that ...
Boyson persistence
... higher, and is measured relative to other managers rather than based on absolute performance: unless a young hedge fund manager’s returns are in the top third of managers, his probability of failure is significantly higher than that of an older manager. In other words, young hedge fund managers have ...
... higher, and is measured relative to other managers rather than based on absolute performance: unless a young hedge fund manager’s returns are in the top third of managers, his probability of failure is significantly higher than that of an older manager. In other words, young hedge fund managers have ...
Package `maRketSim`
... Create a market object. Inside a market object must be one or more market-specific objects. Currently this means inside a market object must be a market.bond object holding timing and interest rate information. Eventually market objects will be able to hold market.stock objects as well. Usage market ...
... Create a market object. Inside a market object must be one or more market-specific objects. Currently this means inside a market object must be a market.bond object holding timing and interest rate information. Eventually market objects will be able to hold market.stock objects as well. Usage market ...
CARESS Working Paper #97-16 'The Impact of Capital-Based Regulation on
... ply it to analyze the impact on bank risk-taking of increased capital requirements, capital-based premia differentials, and risk-based capital requirements. The model yields a variety of interesting implications in regard to the choice of bank portfolios and the efficacy of capital-based regulation ...
... ply it to analyze the impact on bank risk-taking of increased capital requirements, capital-based premia differentials, and risk-based capital requirements. The model yields a variety of interesting implications in regard to the choice of bank portfolios and the efficacy of capital-based regulation ...
Teaching Spreadsheet Simulation
... Risk is not the same as just being uncertain about something, and is not just the possibility of a bad outcome. ...
... Risk is not the same as just being uncertain about something, and is not just the possibility of a bad outcome. ...
The nature of Jumps in Brazil`s stock market
... Economics, since, at least, Keynes’ observation of the required “Animal Spirits” to take risks. CAPM assumes the existence of two kinds of risk, the stock’s idiosyncratic risk, and the whole market risk. CAPM’s main idea is that because idiosyncratic risks are diversifiable, one should not expect to ...
... Economics, since, at least, Keynes’ observation of the required “Animal Spirits” to take risks. CAPM assumes the existence of two kinds of risk, the stock’s idiosyncratic risk, and the whole market risk. CAPM’s main idea is that because idiosyncratic risks are diversifiable, one should not expect to ...
Low volatility anomaly and mutual fund allocations - Aalto
... beta stocks experience lower absolute returns than suggested by the CAPM, whereas low beta stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative t ...
... beta stocks experience lower absolute returns than suggested by the CAPM, whereas low beta stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative t ...
Determination of forward and futures prices
... † If we assume constant, deterministic interest rates, it does not matter whether we use a bank account or a zero coupon bond as the risk-free instrument in our strategy † Examples and exercises in Hull using † stocks tend to assume deterministic, constant r (i.e. a flat yield curve) † bonds may req ...
... † If we assume constant, deterministic interest rates, it does not matter whether we use a bank account or a zero coupon bond as the risk-free instrument in our strategy † Examples and exercises in Hull using † stocks tend to assume deterministic, constant r (i.e. a flat yield curve) † bonds may req ...
Risk Aversion, Wealth, and Personality
... status, we have personality trait scores. We relate this detailed information on personal characteristics to risk aversion measures. We find interesting results showing how personal characteristics influence risk behavior. As far as we know, we are the first to explore these relationships using the ...
... status, we have personality trait scores. We relate this detailed information on personal characteristics to risk aversion measures. We find interesting results showing how personal characteristics influence risk behavior. As far as we know, we are the first to explore these relationships using the ...
Explaining the Magnitude of Liquidity Premia
... of return predictability and wealth shocks can generate liquidity premia up to 42 times larger than in the standard i.i.d. return case. When returns are predictable, the unconditional distribution of the wealth shocks is always the same as that for the i.i.d. shocks. The liquidity premium is largest ...
... of return predictability and wealth shocks can generate liquidity premia up to 42 times larger than in the standard i.i.d. return case. When returns are predictable, the unconditional distribution of the wealth shocks is always the same as that for the i.i.d. shocks. The liquidity premium is largest ...
JP Morgan Securities LLC | Wrap Fee Program Brochure | Advisory
... Except in the case of JPMPI, the Portfolio Manager (or its agent) to a Client’s Account is designated to receive and act on Client’s behalf, all shareholder communications (including, but not limited to, proxy statements and other proxy solicitation materials, annual reports and semi-annual reports) ...
... Except in the case of JPMPI, the Portfolio Manager (or its agent) to a Client’s Account is designated to receive and act on Client’s behalf, all shareholder communications (including, but not limited to, proxy statements and other proxy solicitation materials, annual reports and semi-annual reports) ...
Momentum`s Got Style Style Investing and - Aalto
... testable propositions about a market in which investors engage in style investing. I test three of these propositions: i) asset-level and style-level momentum strategies are profitable, ii) the existence of popular styles cause individual assets to exhibit momentum, and iii) assets that belong to th ...
... testable propositions about a market in which investors engage in style investing. I test three of these propositions: i) asset-level and style-level momentum strategies are profitable, ii) the existence of popular styles cause individual assets to exhibit momentum, and iii) assets that belong to th ...
Margin regulation and volatility - ECB
... i.e. investors building a leveraged position in securities using loans that are collateralised by the securities that are purchased. The margin requirement dictates how much investors can borrow against these securities. The FRB established Regulation T to set minimum margin requirements for such pa ...
... i.e. investors building a leveraged position in securities using loans that are collateralised by the securities that are purchased. The margin requirement dictates how much investors can borrow against these securities. The FRB established Regulation T to set minimum margin requirements for such pa ...
Common Factors in Return Seasonalities
... consider the seasonality in stock returns as a function of firm size. Small stocks tend to outperform large stocks in January, so firms’ historical January returns are noisy signals of their sizes. A sort of stocks into portfolios by their past January returns thus predicts variation in future Janua ...
... consider the seasonality in stock returns as a function of firm size. Small stocks tend to outperform large stocks in January, so firms’ historical January returns are noisy signals of their sizes. A sort of stocks into portfolios by their past January returns thus predicts variation in future Janua ...