搜索结果: 1-15 共查到“货币银行学 asset”相关记录16条 . 查询时间(0.078 秒)
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Insurance Aggregate Uncertainty Financial Markets Optimal Taxation
2015/7/31
his paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equili...
For comments and suggestions, we thank Olivier Blanchard, Markus Brunnermeier, John Campbell,
Martin Feldstein, and participants at the NBER Asset Pricing and Monetary Policy Pre-Conference
in Novem...
This paper studies monetary-policy shocks,
deŽ ned from federal funds target movements
relative to daily interest-rate data. These shocks are nearly ideal measures of unexpected movements in mo...
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model
华中科技大学 投资学 课件 Chapter8 The Capital Asset Pricing Model
2015/5/19
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model。
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
华中科技大学 投资学 课件 Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
2015/5/19
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset。
Leverage Asset Pricing
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses det...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
Asset pricing puzzles explained by incomplete Brownian equilibria
Incomplete markets equity premium puzzle
2010/10/21
We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate co...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Short-term debt, such as overnight repurchase
agreements and commercial paper, was heavily used by financial institutions to fund their
investment positions during the asset market
boom precedin...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。