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Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length

Vince, Ralph - 2019

Presented is the formulation for determining the exact, expected growth-optimal fraction of equity to risk for all conditions, rather than merely the asymptotic growth-optimal fraction. The formulation presented represents the surface in the leverage space manifold, wherein the loci at the peak...

Persistent link: https://www.econbiz.de/10012904410

Parimutuel Betting Markets : Racetracks and Lotteries Revisited

Ziemba, William T. - 2021

This paper discusses the state of the art in research in racetrack and lottery investment markets. Market efficiency and the pricing of various wagers is studied along with new developments since the Thaler and Ziemba (1988) review. The weak form inefficient market approach using stochastic...

Persistent link: https://www.econbiz.de/10013223442

Environmental, Social and Governance Investment Standardization : Moving Towards Sustainable Economy

Plastun, Alex; Makarenko, Inna; Yelnikova, Yulia; … - 2019

criterion) normative base in the context of standardization process in sustainable economy financing. Complexity of such … standardization and the lack of commonly accepted regulations, indexes metrics are under discussions of scholars, which encourage the … standardization process in sustainable economy and making more grounded investment and regulatory decisions …

Persistent link: https://www.econbiz.de/10014104995

Diversification Effect of Standard and Optimized Carry Trades

Reichenecker, Jurij-Andrei - 2017

Standard carry trades, which consist of purchasing high- and selling low-yield currencies, provide an economic diversification effect. However, the diversification effect is not robust, and is not borne out by much statistical evidence. We introduce optimized carry trades, which incorporate risk...

Persistent link: https://www.econbiz.de/10012971586

Standard and optimized carry trades

Reichenecker, Jurij-Andrei - 2017

Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies,...

Persistent link: https://www.econbiz.de/10012972552

Underwriter reputation and the quality of certification : evidence from high-yield bonds

Andres, Christian; Betzer, André; Limbach, Peter - 2013

This paper provides primary evidence of whether certification via reputable underwriters is beneficial to investors in the corporate bond market. We focus on the high-yield bond market, in which certification of issuer quality is most valuable to investors owing to low liquidity and issuing...

Persistent link: https://www.econbiz.de/10010191992

Standard Stochastic Dominance

Post, Thierry - 2018

We propose a new Stochastic Dominance (SD) criterion based on standard risk aversion, which assumes decreasing absolute risk aversion and decreasing absolute prudence. To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a...

Persistent link: https://www.econbiz.de/10012938036

Adoption of global investment performance standards : case of ASEAN

Zelikson, Deborah; Shubita, Moade Fawzi; Wu, JunJie - In: Cogent business & management 7 (2020) 1, pp. 1-22

Research on voluntary compliance with accepted international standards has paid overwhelming attention to financial reporting standards, but not to investment performance standards. Previous research on the adoption of the Global Investment Performance Standards has overlooked the unique region...

Persistent link: https://www.econbiz.de/10012625848

Bitcoin : A New Digital Gold Standard in the 21st Century?

Taskinsoy, John - 2021

Since a mysterious creator under the alias Satoshi Nakamoto (a pseudonym) launched first successful cryptocurrency in January 2009, he (or could be she) also opened the door for never-ending criticism, claims, arguments, plethora of articles, and media frenzy all contemplating what Bitcoin is....

Persistent link: https://www.econbiz.de/10013322461

The Impact of Standard Setting on Individual Investors : Evidence From SFAS 109

Hutchens, Michelle - 2020

We examine the response of individual investors to firms' adoptions of SFAS 109–Accounting for Income Taxes. We predict SFAS 109 (as compared to APB 11) provides new decision-useful information, reducing the information disadvantage of individual investors relative to more sophisticated...

Persistent link: https://www.econbiz.de/10012852974