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Vitillo, Francesco. "Contribution expérimentale et numérique à l’amélioration de l’échange thermique des échangeurs de chaleur compacts à plaques." Thesis, Toulouse, ISAE, 2014. http://www.theses.fr/2014ESAE0039/document.
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Dans le cadre du programme CEA R&D pour développer un prototype industriel de Réacteur à Neutrons Rapides refroidi au Sodium (RNR-Na), cette thèse vise à proposer une technologie d'échangeur de chaleur compact innovant. Afin d'augmenter la compacité globale du composant la conception est réalisée d’un canal: il peut être considéré comme le résultat de la superposition de deux canaux ondulés en opposition de phase. Afin de fournir un modèle numérique physiquement cohérent, un nouveau modèle de turbulence à viscosité turbulente non linéaire nommé modèle ASST a été développé et implémenté dans le solveur ANSYS FLUENT ®. Il a été démontré que le modèle ASST peut fournir une alternative intéressante aux modèles plus complexes. Pour valider le modèle ASST, deux montages expérimentaux ont été réalisés, dont un utilisant la Vélocimétrie Laser à franges et l'autre la Vélocimétrie Laser par images de particules. Pour la validation thermique, l'installation "VHEGAS" a été construite. Une fois le modèle ASST validé, les performances pour différentes géométries peuvent être étudiées. Enfin, il a été montré que la géométrie innovante est la plus compacte parmi les autres technologies d'échangeurs de chaleur compacts type PCHE<br>In the framework of CEA R&D program to develop an industrial prototype of Sodiumcooled Fast Reactor, the present thesis aimed to propose an innovative compact heat exchanger technology. In order to increase the global compactness the basic idea of this work is to design a channel were the fluid flow is as much three-dimensional as possible. In particular the channel can be thought as the result of the superposition of two undulated channels in phase opposition. To numerically provide a physically-consistent model, a new non-linear eddy viscosity named Anisotropic Shear Stress Transport (ASST) model has been developed and implemented into the available solver ANSYS FLUENT. To validate the numerical model, two experimental sections have been used to acquire an extensive aerodynamic database, whereas, to validate the thermal modeling approach, the VHEGAS facility has been built. Once having validated the ASST model, correlations for friction factor and Nusselt number for various geometries could be obtained. Finally, it has been shown that the innovative channel is the most compact one among the most important existing industrial compact heat exchanger technologies
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Brandão, Diego Gusmão. "Three essays on the estimation of asset pricing models." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17994.
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Previous issue date: 2016-09-23<br>The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data.<br>Esta tese consiste em três artigos sobre a estimação de modelos de apreçamento de ativos. No primeiro artigo, analisamos as propriedades de amostra pequena dos estimadores da classe Generalized Empirical Likelihood para o coeficiente de aversão ao risco de preferências CRRA quando a economia é suscetível a desastres. No segundo artigo, apresentamos e testamos uma metodologia de avaliação de modelos de apreçamento mal especificados que leva em conta a menor distorção de probabilidade necessária sobre a medida real para que modelo aprece corretamente ativos. No terceiro artigo, estimamos uma versão aproximada do modelo de riscos de longo prazo utilizando dados brasileiros.
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Davies, Philip R. "Empirical tests of asset pricing models." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1184592627.
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Murara, Jean-Paul. "Asset Pricing Models with Stochastic Volatility." Licentiate thesis, Mälardalens högskola, Utbildningsvetenskap och Matematik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-31576.
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Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. Stochastic volatility models appear as a response to the weakness of the constant volatility models. In Paper A , we present a survey on popular diffusion models where the volatility is itself a random process and we present the techniques of pricing European options under each model. Comparing single factor stochastic volatility models to constant factor volatility models it seems evident that the stochastic volatility models represent nicely the movement of the asset price and its relations with changes in the risk. However, these models fail to explain the large independent fluctuations in the volatility levels and slope. We consider Chiarella and Ziveyi model, which is a subclass of the model presented in Christoffersen and in paper A, we also explain a multi-factor stochastic volatility model presented in Chiarella and Ziveyi. We review the first-order asymptotic expansion method for determining European option price in such model. Multiscale stochastic volatilities models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. In paper B, we provide experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi. In paper C, we implement and analyze the Regime-Switching GARCH model using real NordPool Electricity spot data. We allow the model parameters to switch between a regular regime and a non-regular regime, which is justified by the so-called structural break behaviour of electricity price series. In splitting the two regimes we consider three criteria, namely the intercountry price di_erence criterion, the capacity/flow difference criterion and the spikes-in-Finland criterion. We study the correlation relationships among these criteria using the mean-square contingency coe_cient and the co-occurrence measure. We also estimate our model parameters and present empirical validity of the model.
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Galagedera, Don U. A. "Investment performance appraisal and asset pricing models." Monash University, Dept. of Econometrics and Business Statistics, 2003. http://arrow.monash.edu.au/hdl/1959.1/5780.
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Lindtner, Armin. "Asset backed securities : ein Cash-flow-Modell /." Sternenfels : Verl. Wiss. und Praxis, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010673704&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Lindtner, Armin. "Asset backed securities ein Cash-flow-Modell." Sternenfels Verl. Wiss. und Praxis, 2001. http://deposit.ddb.de/cgi-bin/dokserv?id=2654981&prov=M&dok_var=1&dok_ext=htm.
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Chen, Ping, and 陈平. "Asset-liability management under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B43223928.
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Ong, Alen Sen Kay. "Asset location decision models in life insurance." Thesis, City University London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.336430.
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Chen, Ping. "Asset-liability management under regime-switching models." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B43223928.
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De, Araujo Pedro Falcão. "Heterogeneity in macro models of asset accumulation." [Bloomington, Ind.] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3337250.
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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.<br>Title from PDF t.p. (viewed on Jul 28, 2009). Source: Dissertation Abstracts International, Volume: 69-12, Section: A, page: 4804. Adviser: Gerhard Glomm.
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Hong, Harrison G. (Harrison Gregory). "Dyanmic models of asset returns and trading." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/10315.
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Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options." Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.
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The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the options. Our main tool is the equivalence of the option pricing and a certain stochastic control problem and the resulting concept of superhedging. This concept has been well known for some time but never applied to barrier options. First, we prove the dynamic programming principle (DPP) for the control problem. Next, using rather standard arguments we derive the Hamilton-Jacobi-Bellman equation for the value function. We show that the value function is a unique viscosity solution of the Hamilton-Jacobi-Bellman equation. Then we define the super price and superhedging strategy for the barrier options and show equivalence with the control problem studied above. The superprice price can be found by solving the nonlinear Hamilton-Jacobi-Equation studied above. It is called sometimes the Black-Scholes-Barenblatt (BSB) equation. This is the Hamilton-Jacobi-Bellman equation of the exit control problem. The sup term in the BSB equation is determined dynamically: it is either the upper bound or the lower bound of the volatility matrix, according to the convexity or concavity of the value function with respect to the stock prices. By utilizing a probabilistic approach, we show that the value function of the exit control problem is continuous. Then, we also obtain bounds for the first derivative of the value function with respect to the space variable. This derivative has an important financial interpretation. Namely, it allows us to define the superhedging strategy. We include an example: pricing and hedging of a single-asset barrier option and its numerical solution using the finite difference method.
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Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.
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Starting from the most famous Black-Scholes model for the underlying asset
price, there has been a large variety of extensions made in recent decades.
One main strand is about the models which allow a jump component in the
asset price. The first topic of this thesis is about the study of jump risk
premium by an equilibrium approach. Different from others, this work provides
a more general result by modeling the underlying asset price as the ordinary
exponential of a L?vy process. For any given asset price process, the equity
premium, pricing kernel and an equilibrium option pricing formula can be
derived. Moreover, some empirical evidence such as the negative variance risk
premium, implied volatility smirk, and negative skewness risk premium can
be well explained by using the relation between the physical and risk-neutral
distributions for the jump component.
Another strand of the extensions of the Black-Scholes model is about the
models which can incorporate stochastic volatility in the asset price. The second
topic of this thesis is about the replication of exponential variance, where
the key risks are the ones induced by the stochastic volatility and moreover it
can be correlated with the returns of the asset, referred to as leverage effect.
A time-changed L?vy process is used to incorporate jumps, stochastic volatility
and leverage effect all together. The exponential variance can be robustly
replicated by European portfolios, without any specification of a model for the
stochastic volatility.
Beyond the above asset pricing and hedging, portfolio optimization is also
discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization
and the delta hedging problem, a portfolio of an option, the underlying stock
and a risk-free bond can be optimized in discrete time and its optimal solution
can be shown to be a mixture of the Merton's result and the delta hedging
strategy. The main approach is the elasticity approach, which has initially
been proposed in continuous time.
In addition to the above optimization problem in discrete time, the same
topic but in a continuous-time regime-switching market is also presented. The
use of regime-switching makes our market incomplete, and makes it difficult to
use some approaches which are applicable in complete market. To overcome
this challenge, two methods are provided. The first method is that we simply
do not price the regime-switching risk when obtaining the risk-neutral probability.
Then by the idea of elasticity, the utility maximization problem can be
formulated as a stochastic control problem with only a single control variable,
and explicit solutions can be obtained. The second method is to introduce
a functional operator to general value functions of stochastic control problem
in such a way that the optimal value function in our setting can be given by
the limit of a sequence of value functions defined by iterating the operator.
Hence the original problem can be deduced to an auxiliary optimization problem,
which can be solved as if we were in a single-regime market, which is
complete.<br>published_or_final_version<br>Statistics and Actuarial Science<br>Doctoral<br>Doctor of Philosophy
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Yang, Cheng-Yu. "Essays on multi-asset jump diffusion models : estimation, asset allocation and American option pricing." Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/93986/.
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In the first essay (Chapter 2), we develop an efficient payoff function approximation approach to estimating lower and upper bounds for pricing American arithmetic average options with a large number of underlying assets. This method is particularly efficient for asset prices modeled by jump-diffusion processes with deterministic volatilities because the geometric mean is always a one-dimensional Markov process regardless of the number of underlying assets and thus is free from the curse of dimensionality. Another appealing feature of our method is that it provides an extremely efficient way to obtain tight upper bounds with no nested simulation involved as opposed to some existing duality approaches. Various numerical examples with up to 50 underlying stocks suggest that our algorithm is able to produce computationally efficient results. Chapter 3 solves portfolio choice problem in multi-dimensional jump-diffusion models designed to capture empirical features of stock prices and financial contagion effect. To obtain closed-form solution, we develop a novel general decomposition technique with which we reduce the problem into two relative simple ones: Portfolio choice in a pure-diffusion market and in a jump-diffusion market with less dimension. The latter can be reduced further to be a bunch of portfolio choice problems in one-dimensional jump-diffusion markets. By virtue of the decomposition, we obtain a semi-closed form solution for the primary optimal portfolio choice problem. Our solution provides new insights into the structure of an optimal portfolio when jumps are present in asset prices and/or their variance-covariance. In Chapter 4, we develop a estimation procedure based on Markov Chain Monte Carlo methods and aim to provide systematic ways to estimating general multivariate stochastic volatility models. In particular, this estimation technique is proved to be efficient for multivariate jump-diffusion process such as the model developed in Chapter 3 with various simulation studies. As a result, it contributes to the asset pricing literature by providing an efficient estimation technique for asset pricing models.
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Rossvoll, Eivind. "Asset Pricing Models and the Norwegian Stock Market." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23067.
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Näsström, Jens. "Volatility Modelling of Asset Prices using GARCH Models." Thesis, Linköping University, Department of Electrical Engineering, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1625.
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<p>The objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. The four data series that are used in the estimation are price series from: Münchner Rück, Suez-Lyonnaise des Eaux, Volkswagen and OMX, a Swedish stock index. The risk prediction is done with univariate GARCH models. GARCH models are estimated and validated for these four data series. </p><p>Conclusions are drawn regarding different GARCH models, their numbers of lags and distributions. The model that performs best, out-of-sample, is the APARCH model but the standard GARCH is also a good choice. The use of non-normal distributions is not clearly supported. The result from this master thesis could be used in option pricing, hedging strategies and portfolio selection.</p>
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Vassalou, Maria G. "A test of alternative international asset pricing models." Thesis, London Business School (University of London), 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261703.
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Petherick, Stuart Gary. "Fractal activity time risky asset models with dependence." Thesis, Cardiff University, 2011. http://orca.cf.ac.uk/55127/.
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The paradigm Black-Scholes model for risky asset prices has occupied a central place in asset-liability management since its discovery in 1973. While the underlying geometric Brownian motion surely captured the essence of option pricing (helping spawn a multi-billion pound derivatives industry), three decades of statistical study has shown that the model departs significantly from the realities of returns (increments in the logarithm of risky asset price) data. To remedy the shortcomings of the Black-Scholes model, we present the fractal activity time geometric Brownian motion model proposed by Chris Heyde in 1999. This model supports the desired empirical features of returns including no correlation but dependence, and distributions with heavier tails and higher peaks than Gaussian. In particular, the model generalises geometric Brownian motion whereby the standard Brownian motion is evaluated at random activity time instead of calendar time. There are also strong suggestions from literature that the activity time process here is approximately self-similar. Thus we require a way to accommodate both the desired distributional and dependence features as well as the property of asymptotic self-similarity. In this thesis, we describe the construction of this fractal activity time based on chi-square type processes, through Ornstein-Uhlenbeck processes driven by Levy noise, and via diffusion-type processes. Once we validate the model by fitting real data, we endeavour to state a new explicit formula for the price of a European option. This is made possible as Heyde's model remains within the Black-Scholes framework of option pricing, which allows us to use their engendered arbitrage-free methodology. Finally, we introduce an alternative to the previously considered approach. The motivation for which comes from the understanding that activity time cannot be exactly self-similar. We provide evidence that multi-scaling occurs in financial data and outline another construction for the activity time process.
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Simin, Timothy T. "The poor predictive performance of asset pricing models /." Thesis, Connect to this title online; UW restricted, 2002. http://hdl.handle.net/1773/8823.
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Dalderop, Jeroen Wilhelmus Paulus. "Essays on nonparametric estimation of asset pricing models." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/277966.
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This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.
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Zhou, Xinfeng. "Application of robust statistics to asset allocation models." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36231.
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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2006.<br>Includes bibliographical references (p. 105-107).<br>Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial assets) subject to various constraints such as a given level of return, concentration limits, etc. The expected returns and the covariance matrix contain many parameters to estimate and two main problems arise. First, the data will very likely have outliers that will seriously affect the covariance matrix. Second, with so many parameters to estimate, a large number of observations are required and the nature of markets may change substantially over such a long period. In this thesis we use robust covariance procedures, such as FAST-MCD, quadrant-correlation-based covariance and 2D-Huber-based covariance, to address the first problem and regularization (Bayesian) methods that fully utilize the market weights of all assets for the second. High breakdown affine equivariant robust methods are effective, but tend to be costly when cross-validation is required to determine regularization parameters.<br>(cont.) We, therefore, also consider non-affine invariant robust covariance estimation. When back-tested on market data, these methods appear to be effective in improving portfolio performance. In conclusion, robust asset allocation methods have great potential to improve risk-adjusted portfolio returns and therefore deserve further exploration in investment management research.<br>by Xinfeng Zhou.<br>S.M.
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Endekovski, Jessica. "Pricing multi-asset options in exponential levy models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.
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This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods are also compared: a closed-form (analytical) approximation of the price, derived by Linders and Stassen (2016) and the standard Monte Carlo method. The convergence of the analytical approximation to Monte Carlo prices was found to improve as the time to maturity of the option increased. In comparison to real market data, the multivariate NIG model was able to fit the data more accurately for shorter maturities and the multivariate VG model for longer maturities. However, when looking at Monte Carlo prices, the multivariate VG model was found to outperform the results of the multivariate NIG model, as it was able to converge to Monte Carlo prices to a greater degree.
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Liu, Liu. "Essays in asset pricing." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/essays-in-asset-pricing(c5e4c9b3-04b2-4e6e-97bc-e445b1ee6b4d).html.
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This thesis improves our understanding of asset prices and returns as it documents a regime shift risk premium in currencies, corrects the estimation bias in the term premium of bond yields, and shows the impact of ambiguity aversion towards parameter uncertainty on equities. The thesis consists of three essays. The first essay "The Yen Risk Premiums: A Story of Regime Shifts in Bond Markets" documents a new monetary mechanism, namely the shift of monetary policies, to account for the forward premium puzzle in the USD-JPY currency pair. The shift of monetary policy regimes is modelled by a regime switching dynamic term structure model where the risk of regime shifts is priced. Our model estimation characterises two policy regimes in the Japanese bond market---a conventional monetary policy regime and an unconventional policy regime of quantitative easing. Using foreign exchange data from 1985 to 2009, we find that the shift of monetary policies generates currency risk: the yen excess return is predicted by the Japanese regime shift premium, and the emergence of the yen carry trade in the mid 1990s is associated with the transition from the conventional to the unconventional monetary policy in Japan. The second essay "Correcting Estimation Bias in Regime Switching Dynamic Term Structure Models" examines the small sample bias in the estimation of a regime switching dynamic term structure model. Using US data from 1971 to 2009, we document two regimes driven by the conditional volatility of bond yields and risk factors. In both regimes, the process of bond yields is highly persistent, which is the source of estimation bias when the sample size is small. After bias correction, the inference about expectations of future policy rates and long-maturity term premia changes dramatically in two high-volatility episodes: the 1979--1982 monetary experiment and the recent financial crisis. Empirical findings are supported by Monte Carlo simulation, which shows that correcting small sample bias leads to more accurate inference about expectations of future policy rates and term premia compared to before bias correction. The third essay "Learning about the Persistence of Recessions under Ambiguity Aversion" incorporates ambiguity aversion into the process of parameter learning and assess the asset pricing implications of the model. Ambiguity is characterised by the unknown parameter that governs the persistence of recessions, and the representative investor learns about this parameter while being ambiguity averse towards parameter uncertainty. We examine model-implied conditional moments and simulated moments of asset prices and returns, and document an uncertainty effect that characterises the difference between learning under ambiguity aversion and learning under standard recursive utility. This uncertainty effect is asymmetric across economic expansions and recessions, and this asymmetry generates in simulation a sharp increase in the equity premium at the onset of recessions, as in the recent financial crisis.
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Ajrapetova, Tamara. "Asset Pricing in Emerging Markets." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359270.
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General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets. The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place.
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Užik, Martin. "Berücksichtigung der Informationsunsicherheitsprämie im Capital Asset Pricing Model /." Lohmar ; Köln : Eul, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012826721&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Hatgioannides, John. "Essays on asset pricing in continuous time." Thesis, Birkbeck (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.244543.
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Pristas, Georg. "Limit order book dynamics and asset liquidity." Göttingen Cuvillier, 2007. http://d-nb.info/990426475/04.
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Zaffaroni, Paolo. "Nonlinear long memory models with applications in finance." Thesis, London School of Economics and Political Science (University of London), 1997. http://etheses.lse.ac.uk/1468/.
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The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment decision on the expected risk and return as formalized in classical asset pricing theory. Precise evaluation of volatilities is a compulsory step in order to perform correct options pricing according to recent theories of the term structure of interest rates and for the construction of dynamic hedge portfolios. Models of time varying volatility represent an important ground for the development of new estimation and forecasting techniques for situations not reconcilable with the Gaussian or, more generally, a linear time series framework. This is particularly true for the statistical analysis of time series with long range dependence in a nonlinear framework. The aim of this thesis is to introduce parametric nonlinear time series models with long memory, with particular emphasis on volatility models, and to provide a methodology which yields asymptotically exact inference on the parameters of the models. The importance of these results stems from: (i) rigorous asymptotics was lacking from the stochastic volatility literature; (ii) the statistical literature does not cover the analysis of the asymptotic behaviour of quadratic forms in nonlinear non-Gaussian variates that characterizes our problem.
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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
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Caliskan, Nilufer. "Asset Pricing Models: Stochastic Volatility And Information-based Approaches." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608213/index.pdf.
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We present two option pricing models, both different from the classical Black-Scholes-Merton model. The first model, suggested by Heston, considers the case where the asset price volatility is stochastic. For this model we study the asset
price process and give in detail the derivation of the European call option price process. The second model, suggested by Brody-Hughston-Macrina, describes the observation of certain information about the claim perturbed by a noise represented by a Brownian bridge. Here we also study in detail the properties of this noisy information process and give the derivations of both asset price dynamics and the European call option price process.
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Bäurer, Patrick [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "Credit and liquidity risk in Lévy asset price models." Freiburg : Universität, 2015. http://d-nb.info/1115861794/34.
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Bach, Christian. "Asset Pricing and Habit Models for Calculating Bond Prices /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. http://mit.econ.au.dk/Library/Specialer/2008/20033894.pdf.
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Oagile, Joel. "Sequential Calibration of Asset Pricing Models to Option Prices." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29840.
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This paper implements four calibration methods on stochastic volatility models. We estimate the latent state and parameters of the models using three non-linear filtering methods, namely the extended Kalman filter (EKF), iterated extended Kalman filter (IEKF) and the unscented Kalman filter (UKF). A simulation study is performed and the non-linear filtering methods are compared to the standard least square method (LSQ). The results show that both methods are capable of tracking the hidden state and time varying parameters with varying success. The non-linear filtering methods are faster and generally perform better on validation. To test the stability of the parameters, we carry out a delta hedging study. This exercise is not only of interest to academics, but also to traders who have to hedge their positions. Our results do not show any significant benefits resulting from performing delta hedging using parameter estimates obtained from non-linear filtering methods as compared to least square parameter estimates.
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Wang, Shuo. "Optimization Models for Network-Level Transportation Asset Preservation Strategies." University of Toledo / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1416578565.
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Opedayo, Okubule Bukola. "Civil recovery of corruptly-acquired assets : a legal roadmap for Nigeria." Thesis, University of the Western Cape, 2010. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_2208_1307098827.
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<p>The aim of this research paper is to examine the legal framework for the recovery of corruptly-acquired assets, with particular emphasis on the Nigerian situation. Its primary focus is a detailed examination of the legal mechanisms for the recovery of such assets in the context of international asset recovery. Despite the success of the Nigerian government in recovering the Abacha loot,8 siphoning off of public funds by public office holders continues, and charges of fraud persist against top bank executives alleged to have converted depositors&rsquo<br>funds fraudulently. The prevailing criminal or conviction-based forfeiture mechanism in Nigeria appears inadequate to deal effectively with these situations. The need to enhance capacity through the adoption of civil or non-conviction based forfeiture laws therefore becomes imperative.</p>
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Peng, Zhun. "Population aging and asset prices." Thesis, Université Paris-Saclay (ComUE), 2015. http://www.theses.fr/2015SACLE009/document.
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La démographie des économies développées révèle un vieillissement rapide de leur population et ce processus s'est amorcé dans les pays émergents. Le vieillissement démographique est dû à trois phénomènes : le report de l'âge du premier enfant, la baisse de la fécondité et la hausse de l'espérance de vie. Ce phénomène entraîne des conséquences économiques importantes, notamment à travers l'élévation du ratio de dépendance défini comme le nombre des retraités rapporté à la population en âge de travailler. Cette thèse s'intéresse aux conséquences du vieillissement démographique sur le prix du capital ainsi qu'au financement des retraites face à la crise financière. Dans un premier chapitre, nous étudions l'effet de la dynamique de la structure démographique sur le prix du capital dans un modèle à générations imbriquées avec coût d'ajustement du capital. Les conclusions indiquent que le prix des actifs augmente puis diminue en fonction de l'évolution de la structure démographique. Le deuxième chapitre porte sur la performance d'un portefeuille de grande taille lors de tensions sur les marchés financiers. Grâce à la théorie des copules, nous développons une méthodologie qui permet d'analyser l'exposition d'un portefeuille aux différents risques de marché extrêmes. Le troisième chapitre aborde l'analyse de la sensibilité de la situation financière des fonds de pension aux risques de marché, en utilisant la méthodologie élaborée dans le chapitre précédent. Nous constatons que l'actif et le passif du bilan d'un fonds de pension sont vulnérables aux mouvements volatils des marchés financiers<br>Population of advanced economies is rapidly aging while emerging countries follow closely the same transformation. Population aging is due to three factors: delayed child-bearing, falling birth rates, and rising life expectancy. This process causes significant economic consequences, especially due to the rise in the dependency ratio that is defined as the number of retirees divided by the working age population. This thesis is particularly interested in the consequences of population aging on the price of capital as well as the pension funding under current financial crisis. In the first chapter, we study the effect of the dynamics of population structure on the price of capital in an overlapping generations model with capital adjustment costs. The results show that the asset prices increase and then decrease with changes in the demographic structure. The second chapter focuses on the performance of a large portfolio during turbulent periods in financial markets. Using the copula theory, we develop a methodology for analyzing the exposure of a portfolio to different extreme market risks. The third chapter covers the analysis of the sensitivity of the funding situation of a representative pension fund to market risks, by using the methodology developed in the second chapter. We find that both the asset and liability sides of pension fund's balance sheets are vulnerable to volatile movements in financial markets
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Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.
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Spurway, Kayleigh Fay Nanette. "A study of the Consumption Capital Asset Pricing Model's appilcability across four countries." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013016.
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Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
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Parmler, Johan. "Essays in empirical asset pricing." Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2005. http://www.hhs.se/efi/summary/691.htm.
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Karam, Philippe Doumit. "Dynamic asset pricing models with incomplete markets and market frictions." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq22471.pdf.
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Sherif, Mohamed A. "Modelling consumption asset pricing models : empirical evidence from the UK." Thesis, University of Manchester, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.633243.
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This thesis adopts a range of different methodologies in an attempt to evaluate the performance of consumption-based asset pricing models. In particular, it sets out to investigate the relationship between asset prices, consumption and investment decisions. Different utility functions are used in an attempt to examine their roles in pricing assets, reducing pricing errors and solving the equity premium puzzle. First considered is whether the value of relative risk aversion can be changed by using parametric tests and different utility functions. Whereas the power utility model introduces a basic learning framework of the relation between consumption and asset returns, there is general consensus that there is evidence against the model as an asset pricing tool and for its ability to resolve the equity premium puzzle. Within the context of representation of agent models, various studies have attempted to introduce more general preferences. In this study, tests are made of the traditional CCAPM, the Epstein and Zin (1989, 1991) model, and two external habit formation specifications using GMM on a quarterly data set spanning 35 years. In a novel approach the models are estimated for both the whole economy and four separate industrial sector groupings. The structural stability tests advocated by Hall and Sen (1999) are used to test the models further. There is little evidence found to support the traditional CCAPM and the recursive preferences model of Epstein and Zin (1989, 1991). There is highly supportive evidence for the performance of the habit formation models, particularly the Campbell-Cochrane specification. Importantly, the analysis of the four sector groupings shows that estimated levels of risk aversion are similar across these groupings, conforming with theory. In line with previous studies, the models show signs of sensitivity to choices of asset return data, consumption measures, and particularly, instrumental variables. Second, a non-parametric framework is used in an attempt to investigate the performance of the models. In particular, investigation of the pricing errors of consumption asset pricing models by estimating the vertical and minimum distances to the Hansen-Jagannathan bound. Additionally, bootstrap experiments are conducted in a further attempt to examine the performance of the models. The power utility model produces high pricing errors associated with higher values of relative risk aversion. The Epstein-Zin (1991) recursive preferences model and the Abel (1990) formulation manage to reduce the pricing errors. However, these pricing errors are associated with higher values of relative risk aversion. In the bootstrap experiments, in the majority of simulations, the models violate the Hansen and Jagannathan bound, and the distance is an order of magnitude larger than the IMRS volatility. However, the lower risk aversion coefficient associated with the lower distance is obtained from the Campbell-Cochrane model. Third, investigation of the performance of the consumption-based asset pricing models in pricing bonds. Additionally, an investigation of whether the term structure in the UK can reflect information about consumption growth. In this study, the methodology adopted by Harvey (1988) is used to test the relation between term structure and the consumption asset pricing models. Also used are the structure stability tests of Hall and Sen (1999). The models perform better with longer horizons. The results suggest that the estimates of the coefficient of relative risk aversion/curvature parameter are negative and insignificant, very often with the models that no longer consider the habit formation specification. The empirical evidence based on the regression are broadly supportive of efficiency in using lagged consumption and yield spread as predictors of consumption growth, rather than other lagged stock returns. The final study investigates the recent explorations of asset pricing in the UK, using the OLS and GMM methodology to revisit the conditional Sharp-Linter CAPM model with fixed and time varying parameters. Additionally, an examination is made to the performance of the consumption-based asset pricing models and the conditional asset pricing model with the Famma-F'rench factors, 8MB and HML. Following Harvey (1988), a specification is estimated that allows for the time variation in conditional covariance, conditionally expected returns, and the conditional variance of the market and it is found that the restriction can not be rejected. However, there is evidence that the conditional Sharpe-Linter model with fixed parameter is unable to capture the dynamic behaviour of asset returns. Additionally, the estimation of the conditional CAPM that allows for time variation performs better with the inclusion of BMS and HML. As for the consumption-based asset pricing models, the Campbell-Cochrane specification still best characterises the UK market.
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Rios, dos Santos Jalila. "AST um modelo para automação de horários escolares." Universidade Federal de Pernambuco, 2008. https://repositorio.ufpe.br/handle/123456789/6958.
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Made available in DSpace on 2014-06-12T18:27:30Z (GMT). No. of bitstreams: 2
arquivo1642_1.pdf: 3240172 bytes, checksum: 20b51b421dc923f18b5115c1606bb545 (MD5)
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Previous issue date: 2008<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>O trabalho aqui apresentado consiste de um modelo para automação de horários escolares, cujo
problema está baseado no estudo de casos brasileiros, e também consiste de uma análise da
relação entre as restrições do problema e sua complexidade.
O problema automação de horários escolares é um problema NP-completo, mesmo nos
casos mais simples, onde as restrições mantidas são o mínimo absolutamente necessário. Aqui
são construídas ou apresentadas provas desta relação entre as restrições e o problema.
O modelo usa programação inteira para encontrar uma solução viável inicial. Uma vez encontrada,
é aplicada uma heurística desenvolvida para trabalhar com trocas locais via um grafo
chamado grafo híbrido. A solução viável inicial também pode ser encontrada por uma heurística
que usa trocas via o grafo híbrido. Estas heurísticas são essencialmente meta-heurísticas
busca tabu. O grafo híbrido, que é facilmente construído dos dados do problema, permitiu a
definição de movimentos (mudanças) que aplicados a uma solução preservam o atendimento a
um grande número de restrições. A descoberta do grafo híbrido fez uma grande diferença em
nosso trabalho: nenhuma outra estrutura de dados na literatura (tanto quanto sabemos) tem a
flexibilidade de acompanhar uma troca de horários atribuídos a um par de encontros às suas
últimas conseqüências. As trocas são rápidas e milhares de soluções viáveis podem ser facilmente
geradas e comparadas. A idéia do grafo híbrido tem aplicações a uma grande variedade
de problemas de horários e de restrições de conflitos
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Desban, Marc. "Modèles d'évaluation des actifs financiers, anomalies et notation extra-financière." Thesis, Paris Est, 2019. http://www.theses.fr/2019PESC0106.
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Les prix des actifs financiers reflètent-ils toutes les informations antérieures ainsi que toutes celles qui sont publiques ? La théorie de l’efficience informationnelle, dans une forme semi-forte (Fama, 1970), stipule que les prix des titres représentent, à tout moment, leurs valeurs intrinsèques respectives. Tester cette théorie impose de recourir à un modèle de formation des prix, le MÉDAF. Seulement, ce modèle, dans un contexte empirique, n'explique pas des portions significatives des rentabilités : les anomalies. Que conclure ? S’agit-il d’un modèle mal spécifié ou bien d’un modèle valide qui, dans ses échecs, indique que les marchés sont inefficients ? Fama et French (1992) avancent que le risque d’un actif est une combinaison de plusieurs facteurs de risque. Les anomalies de marché, selon ces auteurs, n’existent pas. Elles résultent de l’omission de facteurs de risque qui influencent la formation du prix que le seul beta du marché ne capture pas. Les auteurs formalisent un modèle à trois (1993) puis à cinq facteurs empiriques (2015) afin d’expliquer l'intégralité des rentabilités ex post en séries chronologiques ainsi qu'en coupe transversale. C’est dans cette démarche que ce travail de thèse s’inscrit. Malgré leurs carences en fondements théoriques, les modèles ad-hoc peuvent-ils gagner une forme de légitimité en intégrant un contenu informationnel large et en apparaissant comme des solutions pertinentes et efficaces pour l'estimation du risque des actifs financiers. À partir d'un échantillon français de 1 163 titres sur la période 1990-2016 et d'un échantillon européen de 12 144 actions entre 2002 à 2015, trois études empiriques sont produites. La première interroge le caractère généralisable des modèles multifactoriels à l'échelle nationale et plus précisément à destination du marché hexagonal. La seconde étude cherche à s'affranchir des limites du MÉDAF en ajoutant les co-moments d'ordres trois et quatre dans les combinaisons de facteurs testés. Dans un axe de généralisation du MÉDAF, le caractère asymétrique (co-skewness) et leptokurtique (co-kurtosis) des distributions de rentabilité constitue-t-il un apport informationnel susceptible d'expliquer les anomalies de marché rendant, par voie de conséquence, les primes de risque caduques ? Dans un troisième essai portant sur le marché européen, nous testons l'hypothèse selon laquelle la notation extra-financière constitue une information publique intégrée dans les cours. Dans ce contexte régional, quid de la capacité des modèles multifactoriels à intégrer une dimension du risque associé à la notation extra-financière. Nous montrons que la notation extra-financière portant sur les dimensions environnementales, sociales et de gouvernance (ESG) approxime un contenu informationnel perçu par les investisseurs comme un facteur de risque. En cela, les modèles ad-hoc montrent une capacité explicative supérieure à celle du modèle de marché. Ils permettent d'intégrer des contenus informationnels larges et disparates non captés par le beta et trouvent en cela une forme de légitimité dans l'estimation du risque des actifs financiers<br>Do the prices of financial assets reflect all previous information as well as all that is public? The efficient market hypothesis (EMH), in a semi-strong form (Fama, 1970), states that securities prices represent, at all times, their respective intrinsic values. Testing this EMH requires the use of an asset pricing model, the CAPM. However, it does not explain significant portions of the returns: the market anomalies. What to conclude? Is it a misspecified model or a valid one that, in its failures, indicates that markets are inefficient? Fama and French (1992) argue that the risk of an asset is a combination of several risk factors. Market anomalies, according to these authors, do not exist. They result from the omission of risk factors that influence the formation of the price that the beta of the market does not capture. The authors formalize a three (1993) and a five factor model (2015) to explain the completeness of the ex post returns in time series as well as in cross section. Despite their shortcomings in theoretical foundations, can ad-hoc models gain some form of legitimacy by integrating broad informational content and appearing as relevant and effective solutions for risk estimation of financial assets. From a French sample of 1,163 individual securities over the period 1990-2016 and from a European one of 12,144 stocks between 2002 and 2015, three empirical studies are done. The first interrogates the generalizability of multifactorial models at the national level and more specifically to the French market. The second study seeks to overcome the limitations of the CAPM by adding co-moments of orders three and four in the combinations of factors tested. In an axis of generalization of the CAPM, do the co-skewness and the co-kurtosis constitute an informational contribution likely to explain the market anomalies, which consequently makes the risk premiums outdated? In a third essay on the European market, we test the EMH through the extra-financial rating. This rating is a public information integrated into the prices. In this regional context, what about the ability of multifactor models to integrate a dimension of the risk associated with the extra-financial rating? We show that this rating of environmental, social and governance (ESG) dimensions approximates information content perceived by investors as a risk factor. Ad-hoc models show a higher explanatory power than the ex post CAPM. They succeed in integrating broad and disparate information contents not captured by the beta and find in this, a form of legitimacy for estimating the risk of financial assets
45
Kim, Joocheol. "Stochastic programming approach to asset liability management under uncertainty." Diss., Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/25324.
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Karehnke, Paul. "Portfolio choice and asset pricing with endogenous beliefs and skewness preference." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090050.
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Cette thèse étudie le choix de portefeuille et l'évaluation d'actifs avec des préférences qui vont au-Delà des préférences d'espérance d'utilité et de moyenne-Variance standard. La première partie de cette thèse porte sur un modèle de décision dans lequel le décideur forme des croyances endogènes compte tenu de son utilité d'anticipation et de sa déception à posteriori. Les implications du modèle en termes de choix de portefeuille et d'évaluation d'actifs sont dérivées et comparées aux implications du modèle d'espérance d'utilité standard. La deuxième partie de cette thèse porte sur des investisseurs qui dérivent l'utilité des trois premiers moments du rendement de leur portefeuille. Nous dérivons et testons les conditions sous lesquelles des actifs supplémentaires peuvent améliorer l'univers d'investissement des investisseurs avec des préférences moyenne-variance-skewness. Les implications de ces préférences pour les rendements d'actifs à l'équilibre sont ensuite analysées et testées avec des rendements boursiers<br>This thesis studies portfolio choice and asset pricing with preferences which go beyond the standard expected utility and mean-Variance preferences. The first part of this thesis analyses a decision model in which the decision maker forms endogenous beliefs given his anticipation utility and his ex-Post disappointment. Portfolio choice and asset pricing implications of the model are derived and compared to the implications of the standard expected utility framework. The second part of this thesis analyses investors choice when preferences are derived from the first three moments of portfolio returns. We derive and test the conditions under which additional assets can improve the investment opportunity set of investors with mean-Variance-Skewness preferences. The implications of these preferences for the equilibrium cross-Section of asset returns are then analyzed and tested with stock returns
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Yoon, Jai-Hyung. "Four essays on international real business cycle and asset pricing models." Monash University, Dept. of Accounting and Finance, 2002. http://arrow.monash.edu.au/hdl/1959.1/8520.
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Manopchantarote, Chatsupa. "The performance of adaptive simulated annealing in building asset pricing models /." Available to subscribers only, 2005. http://proquest.umi.com/pqdweb?did=1095439881&sid=11&Fmt=2&clientId=1509&RQT=309&VName=PQD.
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Thesis (M.S.)--Southern Illinois University Carbondale, 2005. Regression analysis is a method for determining the association between a dependent variable and one or more independent variables. It plays an important role in various research and practical application. Up until now, there is no single best technique to find solution because the problem turns out to be intractable when the number of independent variables become large. Presently, there are many techniques to solve this problem both greedy algorithms and exhaustive searches. Therefore, the quality of solution depends on computation time and resources. This thesis focuses on using Adaptive Simulated Annealing (ASA) to search best subset combination. The ASA algorithm has annealing schedule that is faster than previous annealing. To measure the quality of solution, we use low C p statistics and C p less than the number of selected independent variables as the criterion. This study was shown that ASA was always able to discover the subset solution that yielded low C p statistics.<br>"Department of Computer Science." Includes bibliographical references (leaves 52-54). Also available online.
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Roman, Diana. "Models for choice under risk with applications to optimum asset allocation." Thesis, Brunel University, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.427730.
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Hussain, Syed Iqbal. "Financial distress, asset pricing models and market anomalies : the UK evidence." Thesis, University of Nottingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.251738.
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