Quantitative portfolio allocation requires the accurate and tractable estimation of covariances between a large number of assets, whose histories can greatly vary in length. Such data are said to follow a monotone missingness pattern, under which the likelihood has a convenient factorization. Upon further assuming that asset returns are multivariate normally distributed, with histories at least...

Results: The analysis finds that cash flow sensitivity is a valid measure of financial constraints in the Indian manufacturing sector. Results according to splitting criteria found that investment decisions of standalone firms are more sensitive to cash flow than group affiliated firms. Further, splitting the firms according to market capitalization and tangible net worth reveals a higher degre...

Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and h...

Two country applications of equilibrium business cycle methodology have succeeded in matching some key features of international fluctuations. However, discrepancies between theory and data remain. This paper identifies a new anomaly related to a basic property of typical models: The prediction of countercyclical net exports is fundamentally related to a (counterfactual) implication for negativ...

This paper argues that the entrepreneurial leader in non-profit Performing Arts Organisations (PAOs) has received too little attention in literature pertaining to these organisations. This criticism also applies to museums. The paper explores how leaders in non-profit performing arts organisations balance the interests of the various funding sources and market opportunities to service their rev...

Banking is a financial sector institution that has very important role in the system Indonesia. As an intermediation institution, banks must have good performance, because by having performance will be easier to gain trust of customers. This study aims determine how effect Non Performing Loan and Deposit Ratio on Return Assets. research was conducted banking companies listed Indonesia Stock Exc...

This study aims to determine the effect of company size, profitability (ROA), Liquidity, Net Profit Margin and Total Asset Turnover on capital structure food beverage companies listed Indonesia Stock Exchange for 2018-2020 research period. The population sector is 30 companies. sampling technique used in this purposive method. There are 18 registered from 2018 2020 that meet criteria be sampled...