This paper presents a closed-form solution to the portfolio optimization problem where an agent wishes to maximize expected terminal wealth, trading continuously between a risk-free bond and a risky stock following Stressed-Beta dynamics specified in Fouque and Tashman (2010). The agent has a finite horizon and a utility of the Constant Relative Risk Aversion type. The model for stock dynamics ...

In this paper we propose a new approach to estimating the systematic risk (the beta of an asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. At each scale, the wavelet variance of the market return and the wavelet covariance between the market return and a portfolio are ca...

Market risk of an asset or portfolio is recognized through beta in Capital Asset Pricing Model (CAPM). Traditional estimation techniques emerge poor results when beta in CAPM assumed to be dynamic and follows auto regressive model. Kalman Filter (KF) can optimally estimate dynamic beta where measurement noise covariance and state noise covariance are assumed to be known in a state-space framewo...

1.はじめに CGで現実感のある画像を生成する技術は、いかにして物体を 忠実に表現するかの技術である。物体を特徴付ける要素として は、大きく分けて、物体の形状と、物体表面の色情報や光学属 性などの表面属性がある。物体の表面属性を表現する場合、一 般的には、バンプマッピングなどのさまざまなマッピング手法 がとられている。CGデザイナがマッピングに利用できる素材と しては、市販の CD-ROM やインターネット経由で入手できる素 材集、およびテクスチャ生成のプログラムから出力されるデー タなどがある。 本報告で取り扱う石畳を表現する場合、CGデザイナが路面の 敷石を1つ1つモデリングして表現することが理想ではある が、大変な労力を要するため現実的ではない。一方、石畳の写 真素材を路面にマッピングして表現することも可能であるが、 以下のような問題が生ずる。 ・テクスチャ全体として凹凸が激し...

The hfarerirds Science Cimrion Index w on CD-ROM, a new specialty index launched by the Institute for Scientific Information’@, is discussed. The index contains searchable author abstracts,

Phase synchronization phenomena are directly connected with the underlying neural mechanisms of certain cognitive processes. However, only amplitude information is utilized in most electroencephalogram (EEG)-based brain-computer interfaces (BCIs). Few existing methods can simultaneously measure and phase required for classification. In this study, a novel common amplitude-phase measurement (CAP...

The simulation-based company valuation values a on the basis of risks actually present in without having to derive them from capital market data. takes into account imperfections, such as probability insolvency or lack diversification, and fulfils legal requirements auditing standards for valuation. is an alternative CAPM-based valuation, which, under assumption perfect markets, derives through...

Adrian and Franzoni (2005) suggest that beta of a stock is determined by the factor loading of its unobservable long-run beta. The fundamental idea behind this model is that investors engage in a learning process of estimating this long-run beta. In this paper, a variation of this model is tested. Instead of estimating long-run beta, investors try to learn about factor loading. Given the long-r...