The Spanish Review of Financial Economics最新文献_第5页

From PIN to VPIN: An introduction to order flow toxicity 从PIN到VPIN:介绍订单流毒性

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/J.SRFE.2012.10.002

David Abad, José Yagüe

引用次数: 53

Multiplicity in financial equilibrium with portfolio constrains under the generalized logarithmic utility model 广义对数效用模型下具有投资组合约束的金融均衡的多重性

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/j.srfe.2012.04.002

Alex Barrachina , Gonzalo Rubio , Amparo Urbano

引用次数: 0

From PIN to VPIN: An introduction to order flow toxicity 从PIN到VPIN：序流毒性简介

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/j.srfe.2012.10.002

David Abad , José Yagüe

引用次数: 56

The interaction of environmental factors and individual traits on investors’ perception 环境因素与个体特征对投资者感知的交互作用

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/J.SRFE.2012.10.001

R. Mayoral, Eleuterio Vallelado

引用次数: 9

Building good deals with arbitrage-free discrete time pricing models 用无套利的离散时间定价模型建立好的交易

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/J.SRFE.2012.06.001

B. Balbás, Raquel Balbás

引用次数: 0

The interaction of environmental factors and individual traits on investors’ perception 环境因素与个体特征对投资者感知的交互作用

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/j.srfe.2012.10.001

Rosa M. Mayoral, Eleuterio Vallelado

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引用次数: 9

Building good deals with arbitrage-free discrete time pricing models 利用无套利离散时间定价模型构建良好交易

The Spanish Review of Financial Economics Pub Date : 2012-07-01 DOI: 10.1016/j.srfe.2012.06.001

Beatriz Balbás , Raquel Balbás

{"title":"Building good deals with arbitrage-free discrete time pricing models","authors":"Beatriz Balbás , Raquel Balbás","doi":"10.1016/j.srfe.2012.06.001","DOIUrl":"https://doi.org/10.1016/j.srfe.2012.06.001","url":null,"abstract":"<div>Recent literature has proved that many classical very important pricing models of Financial Economics (Black and Scholes, Heston, etc.) and risk measures (VaR, CVaR, etc.) may lead to “pathological meaningless situations”, since there exist sequences of portfolios whose negative risk and positive expected return are unbounded. Such a sequence of strategies will be called “good deal”.This paper focuses on a discrete time arbitrage-free and complete pricing model and goes beyond existence properties. It deals with the effective construction of good deals, i.e., sequences <math><mo>(</mo><msub><mi>y</mi><mi>m</mi></msub><msubsup><mo>)</mo><mrow><mi>m</mi><mo>=</mo><mn>1</mn></mrow><mo>∞</mo></msubsup></math> of portfolios such that<math><mo>(</mo><mi>VaR</mi><mo>(</mo><msub><mi>y</mi><mi>m</mi></msub><mo>)</mo><mo>,</mo><mi>CVaR</mi><mo>(</mo><msub><mi>y</mi><mi>m</mi></msub><mo>)</mo><mo>,</mo><mi>Expected</mi><mo>_</mo><mi>return</mi><mo>(</mo><msub><mi>y</mi><mi>m</mi></msub><mo>)</mo><mo>)</mo></math>tends to (−∞, −∞, +∞). Under quite general conditions the explicit expression of a good deal is given, and practical algorithms are provided. The sensitivity of our results with respect to measurement errors or dynamic changes of the parameters is analyzed, and numerical experiments are presented with the binomial model.</div>","PeriodicalId":101250,"journal":{"name":"The Spanish Review of Financial Economics","volume":"10 2","pages":"Pages 53-61"},"PeriodicalIF":0.0,"publicationDate":"2012-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.srfe.2012.06.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72242157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A market based approach to inflation expectations, risk premia and real interest rates 基于市场的通胀预期、风险溢价和实际利率方法

The Spanish Review of Financial Economics Pub Date : 2012-01-01 DOI: 10.1016/j.srfe.2011.12.002

Ricardo Gimeno, José Manuel Marqués

引用次数: 0

Crawling EDGAR 爬行埃德加

The Spanish Review of Financial Economics Pub Date : 2012-01-01 DOI: 10.1016/j.srfe.2012.04.001

Diego García , Øyvind Norli

引用次数: 11

Diversification in M&As: Decision and shareholders’ valuation 并购中的多元化:决策与股东估值

The Spanish Review of Financial Economics Pub Date : 2012-01-01 DOI: 10.1016/j.srfe.2012.03.001

Isabel Feito-Ruiz , Susana Menéndez-Requejo

引用次数: 6