Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
... Lévy processes are an excellent tool for modelling price processes in mathematical finance. On the one hand, they are very flexible, since for any time increment ∆t any infinitely divisible distribution can be chosen as the increment distribution over periods of time ∆t. On the other hand, they have ...
... Lévy processes are an excellent tool for modelling price processes in mathematical finance. On the one hand, they are very flexible, since for any time increment ∆t any infinitely divisible distribution can be chosen as the increment distribution over periods of time ∆t. On the other hand, they have ...
1/N and Long Run Optimal Portfolios
... means that in mixed asset menus that include public real estate investment vehicles, the application of explicit optimized portfolio strategies pays off over time in actual, ex-post terms. Such superior performance holds with respect to both naive strategies avoiding all calculations and portfolios ...
... means that in mixed asset menus that include public real estate investment vehicles, the application of explicit optimized portfolio strategies pays off over time in actual, ex-post terms. Such superior performance holds with respect to both naive strategies avoiding all calculations and portfolios ...
CTAs: Shedding light on the black box
... convexity and capital efficiency when considering single programs for an allocation to a portfolio to maximize the benefits of ‘CTA-ness’. We define in some detail what we mean by ‘CTA-ness’ and why we think it's important (and, as an aside, have built a managed account platform to take advantage of ...
... convexity and capital efficiency when considering single programs for an allocation to a portfolio to maximize the benefits of ‘CTA-ness’. We define in some detail what we mean by ‘CTA-ness’ and why we think it's important (and, as an aside, have built a managed account platform to take advantage of ...
Valuation: Part I Discounted Cash Flow Valuation
... Noisy estimates: Even with long time periods of history, the risk premium that you derive will have substantial standard error. For instance, if you go back to 1928 (about 80 years of history) and you assume a standard deviation of 20% in annual stock returns, you arrive at a standard error of great ...
... Noisy estimates: Even with long time periods of history, the risk premium that you derive will have substantial standard error. For instance, if you go back to 1928 (about 80 years of history) and you assume a standard deviation of 20% in annual stock returns, you arrive at a standard error of great ...
Introduction to Share Buyback Valuation
... about USD 780b, made dividend payouts of about USD 280b and share buybacks of almost USD 400b.3 It is shown in the treatise that the companies in the S&P 500 index have had a historical tendency to increase share buybacks when the share price was high relative to the estimated value to long-term sha ...
... about USD 780b, made dividend payouts of about USD 280b and share buybacks of almost USD 400b.3 It is shown in the treatise that the companies in the S&P 500 index have had a historical tendency to increase share buybacks when the share price was high relative to the estimated value to long-term sha ...
In this paper, we develop a theory for the time varying takeover
... optimism regarding stocks outperforming bonds with quite moderate stock return expectations per se. Rather than uncovering realistic estimates of mean-reversion implied by these expectations, we found it impossible to reconcile the moderate return expectations with a high degree of confidence in st ...
... optimism regarding stocks outperforming bonds with quite moderate stock return expectations per se. Rather than uncovering realistic estimates of mean-reversion implied by these expectations, we found it impossible to reconcile the moderate return expectations with a high degree of confidence in st ...
Cost Approach Inconsistencies
... The cost approach is probably the least favored approach to value. However, the fundamental relationship between the cost of a project and market value absolutely must be understood. The direction of a local real estate market can be determined by the understanding of how the cost of putting improve ...
... The cost approach is probably the least favored approach to value. However, the fundamental relationship between the cost of a project and market value absolutely must be understood. The direction of a local real estate market can be determined by the understanding of how the cost of putting improve ...
Margin Regulation and Volatility
... of one class of collateralizable assets may have only small effects on the assets’ return volatility if investors have access to another (unregulated) class of assets to leverage their positions. We also demonstrate that a common countercyclical margin regulation of all asset classes in the economy ...
... of one class of collateralizable assets may have only small effects on the assets’ return volatility if investors have access to another (unregulated) class of assets to leverage their positions. We also demonstrate that a common countercyclical margin regulation of all asset classes in the economy ...
Ashmore Emerging Markets Liquid Investment Portfolio Ashmore
... of appreciation following intervention by the People's Bank of China (PBoC). The economy responded positively to targeted monetary easing as the Q2 2014 GDP accelerated from 7.4% to 7.5%. The PBoC announced a further CNY 1trn in collateralised credit lines for priority sectors, to be supplied via th ...
... of appreciation following intervention by the People's Bank of China (PBoC). The economy responded positively to targeted monetary easing as the Q2 2014 GDP accelerated from 7.4% to 7.5%. The PBoC announced a further CNY 1trn in collateralised credit lines for priority sectors, to be supplied via th ...
Values Based Management_Text_4
... The above definitions are characterized by relatively high degree of generality, even though they become certain foundation for further reflection on this subject. Company value can be divided into two categories8. Namely the value of components that make up the company as well as its value in use, ...
... The above definitions are characterized by relatively high degree of generality, even though they become certain foundation for further reflection on this subject. Company value can be divided into two categories8. Namely the value of components that make up the company as well as its value in use, ...
Fixed Income Analysis: Securities, Pricing, and Risk
... 11.2.2 The dynamics of all forward rates under the same probability measure . . . 247 11.2.3 Consistent pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252 11.3 The lognormal LIBOR market model . . . . . . . . . . . . . . . . . . . . . . . . . . 252 11.3.1 Model description . ...
... 11.2.2 The dynamics of all forward rates under the same probability measure . . . 247 11.2.3 Consistent pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252 11.3 The lognormal LIBOR market model . . . . . . . . . . . . . . . . . . . . . . . . . . 252 11.3.1 Model description . ...
Capital Structure Decision
... The type of securities that the investors prepare to buy is an important factor determining the type of securities shall be issued. (V) Maintaining maneuverability for commercial strategy: Maneuverability refers to the firm ability to either increasing or decreasing its sources of funds in response ...
... The type of securities that the investors prepare to buy is an important factor determining the type of securities shall be issued. (V) Maintaining maneuverability for commercial strategy: Maneuverability refers to the firm ability to either increasing or decreasing its sources of funds in response ...
Accounting for Leases
... (b) Accounting for Operating Leases in the Financial Statements of Lessor Where a lease is classified as an operating lease, the leased property subject to the lease is requirements as a non-current asset. LKAS 17 states that ‘lessors shall present assets subject to operating leases in their stateme ...
... (b) Accounting for Operating Leases in the Financial Statements of Lessor Where a lease is classified as an operating lease, the leased property subject to the lease is requirements as a non-current asset. LKAS 17 states that ‘lessors shall present assets subject to operating leases in their stateme ...
The Cross-Section of Expected Trading Activity
... may be argued, however, that stocks with more active trading are likely to attract more analysts instead of higher analyst coverage causing more active trading. We address this issue by examining a simultaneous equation system. Estimation of this system preserves our results on the determinants of ...
... may be argued, however, that stocks with more active trading are likely to attract more analysts instead of higher analyst coverage causing more active trading. We address this issue by examining a simultaneous equation system. Estimation of this system preserves our results on the determinants of ...
(Ab)Use of Omega?
... (2002),2 called Omega, when ordering investment portfolios according to a rational criterion. The first ones consider Omega in the evaluation of active management strategies in contrast to the well-known Sharpe ratio, supporting their choice by the non-Gaussianity of returns and by the inappropriat ...
... (2002),2 called Omega, when ordering investment portfolios according to a rational criterion. The first ones consider Omega in the evaluation of active management strategies in contrast to the well-known Sharpe ratio, supporting their choice by the non-Gaussianity of returns and by the inappropriat ...
Investor Sentiment and Beta Pricing
... Specifically, in June of year t, all NYSE firms are sorted by size (price x shares outstanding) to determine decile breakpoints. Using these breakpoints, we assign all firms in the sample in year t to 10 size portfolios. To allow for variation in beta that is unrelated to size, we further subdivide ...
... Specifically, in June of year t, all NYSE firms are sorted by size (price x shares outstanding) to determine decile breakpoints. Using these breakpoints, we assign all firms in the sample in year t to 10 size portfolios. To allow for variation in beta that is unrelated to size, we further subdivide ...
Using Financial Derivatives to Hedge Against Market
... actively managing the financial hedging portfolio might be a very complex endeavor and is beyond the scope of this paper. The probability ...
... actively managing the financial hedging portfolio might be a very complex endeavor and is beyond the scope of this paper. The probability ...
index of defined terms
... authorised or to any person to whom it is unlawful to make such offer or solicitation, and no action has been taken or will be taken to permit an offering of the Securities or the distribution of this Prospectus in any jurisdiction where any such action is required. Prospects and financial or tradin ...
... authorised or to any person to whom it is unlawful to make such offer or solicitation, and no action has been taken or will be taken to permit an offering of the Securities or the distribution of this Prospectus in any jurisdiction where any such action is required. Prospects and financial or tradin ...