Download or read book Economic Dynamics in Discrete Time second edition written by Jianjun Miao and published by MIT Press. This book was released on 2020-03-03 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified and comprehensive introduction to the analytical and numerical tools for solving dynamic economic problems; substantially revised for the second edition. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. This second edition has been substantially updated. Responding to renewed interest in modeling with multiple equilibria, it incorporates new material on this topic throughout. It offers an entirely new chapter on deterministic nonlinear systems, and provides new material on such topics as linear planar systems, chaos, bifurcations, indeterminacy and sunspot solutions, pruning nonlinear solutions, the bandit problem, rational inattention models, bequests, self-fulfilling prophecies, the cyclical behavior of unemployment and vacancies, and the long-run risk model. The exposition of each chapter has been revised and improved, and many new figures, Matlab codes, and exercises have been added. A student solutions manual can be purchased separately.

Download or read book FFIT 2022 written by Holger Haldenwang and published by European Alliance for Innovation. This book was released on 2023-04-14 with total page 639 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2022 International Conference on Financial Innovation, FinTech and Information Technology (FFIT 2022), hosted by Shenzhen University of Technology and organized by the Financial Innovation and Fintech Research Center of Shenzhen University of Technology, was held on October 28-30, 2022 in Shenzhen, China. Due to the current COVID-19 pandemic and the strict travelling rules, it is still difficult to take international travel for all our attendees to participate in the conference. Therefore, FFIT 2022 was held as a hybrid event. FFIT 2022 brought together innovative academics and industrial experts in the field of Financial Innovation, Financial Technology and Information Technology to discuss the latest research results in this field.

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Developments in Mean Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.

Download or read book Uncertainty in Economic Theory written by Itzhak Gilboa and published by Taylor & Francis. This book was released on 2004-08-02 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume brings together important papers, coupled with new introductions, in the massively influential area of uncertainty in economic theory. Seminal papers are available together for the first time in book format, with new introductions and under the steely editorship of Itzhak Gilboa - this book is a useful reference tool for economists all over the globe.

Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.

Download or read book Macroeconometric Methods written by Pami Dua and published by Springer Nature. This book was released on 2023-04-08 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides empirical applications of macroeconometric methods through discussions on key issues in the Indian economy. It deals with issues of topical relevance in the arena of macroeconomics. The aim is to apply time series and financial econometric methods to macroeconomic issues of an emerging economy such as India. The data sources are given in each chapter, and students and researchers may replicate the analyses.The book is divided into three parts—Part I: Macroeconomic Modelling and Policy; Part II: Forecasting the Indian Economy and Part III: Business Cycles and Global Crises. It provides a holistic understanding of the techniques with each chapter delving into a relevant issue analysed using appropriate methods—Chapter 1: Introduction; Chapter 2: Macroeconomic Modelling and Bayesian Methods; Chapter 3: Monetary Policy Framework in India; Chapter 4: Determinants of Yields on Government Securities in India; Chapter 5: Monetar y Transmission in the Indian Economy; Chapter 6: India’s Bilateral Export Growth and Exchange Rate Volatility: A Panel GMM Approach; Chapter 7: Aggregate and Sectoral Productivity Growth in the Indian Economy: Analysis and Determinants; Chapter 8: Forecasting the INR/USD Exchange Rate: A BVAR Framework; Chapter 9: Forecasting India’s Inflation in a Data-Rich Environment: A FAVAR Study; Chapter 10: A Structural Macroeconometric Model for India; Chapter 11: International Synchronization of Growth Rate Cycles: An Analysis in Frequency Domain; Chapter 12: Inter-Linkages Between Asian and U.S. Stock Market Returns: A Multivariate GARCH Analysis; Chapter 13: The Increasing Synchronization of International Recessions. Since the selection of issues is from macroeconomic aspects of the Indian economy, the book has wide applications and is useful for students and researchers of fields such as applied econometrics, time series econometrics, financial econometrics, forecasting methods and macroeconomics.

Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Download or read book Ageing Health and Pensions in Europe written by Lans Bovenberg and published by Springer. This book was released on 2010-10-27 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an overview of the future research challenges for economists and social scientists concerning population ageing, pensions, health and social care in Europe, this book examines how scientific research can provide cutting-edge evidence on income security and well-being of the elderly, and labour markets and older workers.

Download or read book Economic Dynamics in Discrete Time written by Jianjun Miao and published by MIT Press. This book was released on 2014-09-19 with total page 737 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified, comprehensive, and up-to-date introduction to the analytical and numerical tools for solving dynamic economic problems. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. The book first introduces the theory of dynamical systems and numerical methods for solving dynamical systems, and then discusses the theory and applications of dynamic optimization. The book goes on to treat equilibrium analysis, covering a variety of core macroeconomic models, and such additional topics as recursive utility (increasingly used in finance and macroeconomics), dynamic games, and recursive contracts. The book introduces Dynare, a widely used software platform for handling a range of economic models; readers will learn to use Dynare for numerically solving DSGE models and performing Bayesian estimation of DSGE models. Mathematical appendixes present all the necessary mathematical concepts and results. Matlab codes used to solve examples are indexed and downloadable from the book's website. A solutions manual for students is available for sale from the MIT Press; a downloadable instructor's manual is available to qualified instructors.

Download or read book Dynamic Strategy and Performance of German Mutual Fund Managers written by Nikola Jelicic and published by Diplomica Verlag. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Messung des Anlageerfolgs von Fondmanagern ist ein sowohl f r Praktiker als auch f r Forscher herausforderndes Thema. Das Ziel beider Gruppen ist nachhaltig erfolgreiche Manager, gute Performer, zu identifizieren. Die meisten Performancema e beruhen auf der Annahme des konstanten Risikos ber die Messungsperiode. Das Risiko wird wiederum als das Beta aus dem Capital Asset Pricing Model erfasst. Als Erweiterung solcher Modelle werden zus tzliche Faktoren, ma geschnittene Benchmarks oder Nichtliniearit ten zwischen Risiken und Renditen erfasst usw. Die Dynamik der Wirtschaft und Kapitalm rkten ist f r die Zwecke der Performancemessung von Ferson und Schaft in ein Modell eingef hrt. Das Beta aus diesem Modell ist auf die Marktbedingungen bedingt und Fondsrenditen werden somit gegen eine dynamische Benchmark gemessen. Diese Studie berichtet aus einem solchen Modell ergebene Performancema e (sog. "Conditional Alphas") f r 1192 deutsche Aktien- und Rentenmanager. Diese werden auch mit CAPM-basierten Alphas auf Persistenz verglichen. Zus tzlich wird die F higkeit des Managers richtig auf die ver ndernden Marktbedingungen zu reagieren aus der Dynamik des Beta extrahiert. Die Marktentwicklung wird durch vier anerkannte Indikatoren abgebildet (kurzfristiger Zins, Dividendenrendite, Laufzeitspread und Bonit tsspread). Die Ergebnisse bef rworten die Nutzung von Modellen mit bedingtem Beta anstelle vom CAPM. Die Existenz einer dynamischen Investmentstrategie wurde anhand der Indikatoren bewiesen. Zum Schluss werden anhand der Erfahrungen aus dieser Studie konkrete Empfehlungen f r die Erforschung von Performance anhand hnlicher Modelle gegeben.

Download or read book Optimal Investment written by L. C. G. Rogers and published by Springer Science & Business Media. This book was released on 2013-01-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.

Download or read book Financial Modeling written by Hercules Vladimirou and published by . This book was released on 2007 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.

Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.