We investigate the extent to which a parsimonious measure of maximum likely loss that captures tail risk returns—known as value-at-risk (VaR)—explains relationship between accruals and cross-sectional dispersion expected stock returns. construct portfolios based on Sloan’s (Account Rev 71(3):289–315, 1996) total (TA) individual asset-level VaR, reflects dynamic behavior asset distribution. docu...

I analyze whether case-based decision makers (CBDM) can survive in an asset market in the presence of expected utility maximizers. Conditions are identified, in which the CBDM retain a positive mass with probability one. CBDM can cause predictability of asset returns, high volatility and bubbles. It is found that the expected utility maximizers can disappear from the market for a finite period ...

In practical reasoning, it is important to take into consideration what other agents will do, since this will often influence the effect of actions performed by the agent concerned. In previous treatments, the actions of others must either be assumed, or argued for using a similar form of practical reasoning. Such arguments, however, will also depend on assumptions about the beliefs, values and...

A new portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law-invariant preference measures, including expected utility maximisation, mean-variance, goal reachi...

In portfolio management, Robust Conditional Value at Risk (Robust CVaR) has been proposed to deal with structured uncertainty in the estimation of the assets probability distribution. Meanwhile, regularization in portfolio optimization has been investigated as a way to construct portfolios that show satisfactory out-ofsample performance under estimation error. In this paper, we prove that optim...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

let $g$ be a molecular graph with vertex set $v(g)$, $d_g(u, v)$ the topological distance between vertices $u$ and $v$ in $g$. the hosoya polynomial $h(g, x)$ of $g$ is a polynomial $sumlimits_{{u, v}subseteq v(g)}x^{d_g(u, v)}$ in variable $x$. in this paper, we obtain an explicit analytical expression for the expected value of the hosoya polynomial of a random benzenoid chain with $n$ hexagon...

the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...