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Persistent link: https://www.econbiz.de/10011106751
This paper compiles the risk measures associated with the Lorenz curve. The Lorenz curve is the main tool in economics for measuring income distribution and inequality. For the past decades some of the Lorenz curve spin-offs have been used in risk analysis and finance. In particular, the Lorenz...
Persistent link: https://www.econbiz.de/10008752465
A comprehensive empirical analysis of the return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using GARCH models. The prediction performance of these conditional changing variance models is compared to newer asymmetric GJR and APARCH models. We also quantify...
Persistent link: https://www.econbiz.de/10011272234
Persistent link: https://www.econbiz.de/10011273270
Persistent link: https://www.econbiz.de/10004248931
In this paper, we combine direct arbitrage arguments and an option-pricing approach to develop a method of pricing the option for rent control. For a lump-sum payment of "key money," a tenant acquires the right to rent a real estate unit for an exogenously determined controlled rent, as opposed...
Persistent link: https://www.econbiz.de/10005680674
Persistent link: https://www.econbiz.de/10007111005
In this paper, we combine direct arbitrage arguments and an option-pricing approach to develop a method of pricing the option for rent control. For a lump-sum payment of key money, a tenant acquires the right to rent a real estate unit for an exogenously determined controlled rent, as opposed to...
Persistent link: https://www.econbiz.de/10012774712
A comprehensive empirical analysis of the mean return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using various GARCH models. The prediction performance of these conditional changing variance models is compared to newer asymmetric GJR and APARCH models. We...
Persistent link: https://www.econbiz.de/10005451914
This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...
Persistent link: https://www.econbiz.de/10005462490