نتایج جستجو برای: price return
تعداد نتایج: 158744 فیلتر نتایج به سال:
This article examines the relationship between return, systematic risk, skewness and kurtosis in Tehran stock exchange during 2002-2006. Similar research, in this field, shows different results on upward and downward markets, therefore the period under study is divided into sub periods including upward market (2002-2004) and downward market (2004-2006) and the relationship between these sub per...
This paper uses the stochastic discount factor (SDF) to price real options and introduces the expected discounted shortfall (EDS) risk measure to control risk. A multivariate covariance based SDF modelling framework is described. Explicit formulae linking the correlation matrix to the risk premium are derived for assets prices following both Brownian and Ornstein-Uhlenbeck processes. Applying t...
In this paper, we study return policy and supply chain coordination in a channel of one supplier and one retailer. The paper assumes that unsold merchandise should been refunded to the supplier by the retailer. The retailer knows the cost of reverse logistics operations but the supplier has to estimate it. The contract menu under asymmetric reverse logistics cost information between supply chai...
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect bymodeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model pre...
The goal of this study is to improve upon the existing literature in quantifying the economic return of transportation infrastructure. Specifically, I propose incorporating the changes of between-city price gaps to approximate economic benefits that have been omitted by the current literature. Identifying the causal impact of new infrastructure on price gaps is complicated. To circumvent this p...
This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated ...
We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions ...
We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the Baseline treatment participants must forecast the stock return one period ahead; in the Volatility treat...
We use Bayesian Markov Chain Monte Carlo methods to investigate the linkage between the volatility of ethanol security prices and the uncertainty surrounding the profitability of ethanol production and the price variations of non-ethanol energy securities. The joint evolution of return and volatility is modeled as a stochastic process that incorporates jumps in both return and volatility. While...
Comparing World Economic and Net Energy Metrics, Part 1: Single Technology and Commodity Perspective
We translate between biophysical and economic metrics that characterize the role of energy in the economy. Specifically, using data from the International Energy Agency, we estimate the energy intensity ratio (EIR), a price-based proxy for a power return ratio (PRR ∼ Pout/Pinvested). The EIR is a useful metric, because for most countries and energy commodities, it can indicate the biophysical t...
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