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Chen, Lu; Singh, Vijay P; Guo, Shenglian - 2011

Droughts produce a complex set of negative economic, environmental, and social impacts across a country or region. Using monthly standardized Precipitation Index (SPI) values, drought characteristics, namely, drought duration, severity, interval time and minimum SPI values, were determined. Two...

Persistent link: https://www.econbiz.de/10009430735

Pricing Derivatives Under A Gains Tax Regime: New Impacts

Wöster, Christoph - 2006

Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...

Persistent link: https://www.econbiz.de/10009452631

Derivative Finanzinstrumente nach HGB, IFRS und US-GAAP sowie ihre Bedeutung f?r die Jahresabschlusspolitik und -analyse

Gantzkow, Marcus - 2007

Jahresabschlusspolitik und -analyse darzustellen. These der Dissertation ist hierbei, dass derivative Finanzinstrumente und die mit ihnen …

Persistent link: https://www.econbiz.de/10009482293

Pricing and hedging derivative securities in a regime-switching model with state-dependent jumps

Lee, Michael Shou-Cheng, Banking & Finance, Australian … - 2007

In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps of various types. In particular, we consider a jump that is synchronous with a change in the regime state. Thus, for example, we can define a process such that the stock price...

Persistent link: https://www.econbiz.de/10009484250

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

Examining CAPM in Today's Markets

Knox, Dave - 2011

how can it model an equity’s return. The goal of this work is not to challenge the theory behind CAPM, nor compare it to …The purpose of this work is to empirically assess the validity of the Capital Asset Pricing Model (CAPM) in terms of … than testing a specific hypothesis, my goal is to let the data speak for itself.The main difficulty with assessing CAPM is …

Persistent link: https://www.econbiz.de/10009430254

The CAPM and the High Frequency Trading: Will the CAPM hold good under the impact of high-frequency trading?

Ki, YoungHa - 2011

- CAPM and the prevailing High Frequency Trading (HFT) method of stocks trading and to explain the relationship between them … and Wang's paper (The Conditional CAPM and the cross-section of expected return, 1996) to explain the capability of CAPM …

Persistent link: https://www.econbiz.de/10009430943

Minority Discounts and Control Premiums in Appraisal Proceedings

Booth, Richard A., Marbury Research Professor of Law - 2001

(whether routine or not) may amount to double-counting. The Capital Asset Pricing Model (CAPM), which is the generally … on its riskiness) relative to the market as a whole. Indeed, CAPM may actually add on an implicit premium in that it …

Persistent link: https://www.econbiz.de/10009432052

On the performance of efficient portfolios

Böhm, Volker - 2004

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

Persistent link: https://www.econbiz.de/10009452466

The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

Hillebrand, Marten; Wenzelburger, Jan - 2005

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …

Persistent link: https://www.econbiz.de/10009452468