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New methods of estimating stochastic volatility and the stock return
Alghalith, Moawia - Volkswirtschaftliche Fakultät, … - 2010
We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.
Persistent link: https://www.econbiz.de/10008623472
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RISK MEASUREMENT USING THE ? (BETA) COEFFICIENT FOR FINANCIAL INVESTMENT COMPANIES
Berceanu, Dorel; Sichigea, Nicolae; Militaru, Daniel - In: Annals of University of Craiova - Economic Sciences Series 1 (2014) 42, pp. 279-288
coefficient at financial investment companies (FICs). Thus, of the 82 companies listed on the first three categories of the …
Persistent link: https://www.econbiz.de/10010798215
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THE INTERACTION BETWEEN THE FINANCIAL SECTOR AND THE REAL SECTOR: A STOCHASTIC MODEL
ALGHALITH, MOAWIA; POLIUS, TRACY - In: Annals of Financial Economics (AFE) 07 (2012) 02, pp. 1250009-1
Using a stochastic factor model, we devise a method to estimate the marginal impact of real GDP on the stock market. We apply our approach to the Jamaican financial market.
Persistent link: https://www.econbiz.de/10010699490
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Optimal investment under partial information
Björk, Tomas; Davis, Mark; Landén, Camilla - In: Computational Statistics 71 (2010) 2, pp. 371-399
manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio …
Persistent link: https://www.econbiz.de/10010759460
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PARTICULARITIES CONCERNING THE PROFITABILITY AND THE FINANCIAL INSTRUMENTS PORTFOLIO RISK
MINEA, Valentina; MANEA, Liliana; LUPU, Maria - In: Internal Auditing and Risk Management 2 (2013) 30, pp. 189-201
helped the portfolio management named also the management of financial assets to enter into a most favorable environment. The …
Persistent link: https://www.econbiz.de/10010726388
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Forward dynamic utility functions: A new model and new results
Alghalith, Moawia - In: European Journal of Operational Research 223 (2012) 3, pp. 842-845
A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to …-continuous viscosity solutions to the portfolio model. …
Persistent link: https://www.econbiz.de/10010871202
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Optimal investment under partial information
Björk, Tomas; Davis, Mark; Landén, Camilla - In: Mathematical Methods of Operations Research 71 (2010) 2, pp. 371-399
manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio …
Persistent link: https://www.econbiz.de/10010999871
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The Impact of Oil Price on the Stock Market - L’impatto del prezzo del petrolio sul mercato azionario
Alghalith, Moawia; Polius, Tracy; Franklin, Martin - In: Economia Internazionale / International Economics 67 (2014) 4, pp. 433-438
Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the …
Persistent link: https://www.econbiz.de/10011165624
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The interaction among production, hedging and investment decisions
Alghalith, Moawia - In: Economic Modelling 30 (2013) C, pp. 193-195
In this paper, we examine the interaction among the investment, production and hedging decisions. In so doing, we …
Persistent link: https://www.econbiz.de/10010608275
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The impact of background risk
Alghalith, Moawia - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6506-6508
In this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so … doing, we show the impact of background risk on the investment decisions. …
Persistent link: https://www.econbiz.de/10010874124