搜索结果: 1-6 共查到“国际金融学 investment”相关记录6条 . 查询时间(0.092 秒)
Delegated asset management, investment mandates, and capital immobility
Institutional frictions Negatively skewed risk Tracking error constraints Market segmentation
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2014/3/18
This paper develops a model to explain the widely used investment mandates in the
institutional asset management industry based on two insights: first, giving a manager
more investment fl...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
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2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
How to quantify the influence of correlations on investment diversification
quantify influence correlations investment diversification
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2010/12/20
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is ...
Ruin models with investment income
Ruin models investment income
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2010/12/20
This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant inte...
Optimal Investment Strategy to Minimize Occupation Time
Optimal Investment Strategy Minimize Occupation Time
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2010/12/20
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
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2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...