This paper relates variation in stock market volatility to regime shifts in stock market returns. We apply a Markov switching model to market returns and examine the variation in volatility in different return regimes. We find that stock returns are best characterized by a model containing six regimes with significantly different volatility across the regimes. Volatility is higher when returns ...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...

We consider two reverse logistics systems where returned products are as good as new. For the first system, the product return flow is independent of the demand flow.We prove that the optimal policy is of base-stock type and we establish monotonicity results for the optimal base-stock levels, with respect to the system parameters (arrival rate, production rate, return rate, production cost, los...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

In evaluating proposals for reforming Social Security that involve stock investments, the Office of the Chief Actuary (OCACT) has generally used a 7.0 percent real return for stocks. The 1994-96 Advisory Council specified that OCACT should use that return in making its 75-year projections of investment-based reform proposals. The assumed ultimate real return on Treasury bonds of 3.0 percent imp...