Forecasting the future price trend of a stock traded on financial exchange is aim market prediction. In recent decades, prediction has been fascinating topic in domain Data Science and Finance. reality, movement ambiguous chaotic due to various influencing factors such as government policy, current events, interest rates Etc. At same time, accurate enough forecasting leads substantial benefits ...

The focus of this article is to compare dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging or the CAPM approach, more ad...

Stock are proof of ownership the value a company, stock also one securities traded in capital market. In addition,stocks investment instruments that have high risk and return, however, they still most popular. This is evidenced by increasing number Indonesian investors every year. The purpose this research to assess efficient banking stocks classify them. analytical method used descriptive anal...

Generalized measures of deviation, as substitutes for standard deviation, are considered in a framework like that of classical portfolio theory for coping with the uncertainty inherent in achieving rates of return beyond the risk-free rate. Such measures, associated for example with conditional value-at-risk and its variants, can reflect the different attitudes of different classes of investors...

This short paper is intended to demonstrate a crucial omission made by traders in setting the risk-free interest rate, especially times of crisis: instead increasing undercut it en masse on contrary. results incorrect investment and financial decisions, those involving CAPM models, option pricing models portfolio theory.

Introduction. This paper aims to assess time variability of beta coefficients (systematic risk) Capital Asset Pricing Model (CAPM) using data from five key sectors in Saudi Arabia and Kuwait stock markets. Material methods. To – varying systematic risk we employed symmetric as well asymmetric conditional volatility specifications account for skewness leptkurtosis high frequency financial series...

In this paper, we aim at 1. giving formulas of prices and replicating-strategies of defaultable securities(e.g., bonds, swaps, derivatives) in incomplete market, and 2. giving “solvable” examples of quantile hedging strategies in incomplete market. Considering an incomplete market that consists of tradable assets and an unhedgeable defaultable security, whose non-predictable default time has st...

It is known that the Capital Asset Pricing Model (CAPM) provides an expression which relates the expected return of an asset to its systematic risk. In a decision making problem involving financial data however, we have to take in account the uncertainty given by the imprecision and the incompleteness of the information. Uncertainty in the data may be treated by considering, rather than a singl...