Download or read book The Preferences of Omega Ratio for Risk Averters and Risk Seekers written by Xu Guo and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that under some conditions, the mean-variance rule is equivalent to stochastic dominance rule. Some academics hypothesize that there could exist mean-Omega ratio rule that could be equivalent to stochastic dominance rule under certain conditions. To explore this possible, in this paper, we aim to establish the necessary conditions between Omega ratio and stochastic dominance that leads to the preferences of risk averters/seekers. We find that it is possible to establish the necessary conditions between and Omega ratio and the preferences of risk averters/seekers under the condition that the variables being compared belong to the location-scale family or the same linear combination of location-scale families.
Download or read book Could Omega Ratio Perform Better Than Sharpe Ratio written by Xu Guo and published by . This book was released on 2018 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and risk seekers in some strong dominance cases. We set up the Omega ratio rule and find that the Omega ratio rule is better than the mean-variance rule because the former could the former can detect the first order stochastic dominated asset but the latter cannot. We also show the superiority of the Omega ratio rule over any Sharpe ratio rule by using hedging funds data and discuss the advantage of using the Omega ratio rule to stochastic dominance rule.
Download or read book Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications written by Wing-Keung Wong and published by MDPI. This book was released on 2020-12-15 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
Download or read book Stochastic Dominance and Omega Ratio written by Xu Guo and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both stochastic dominance and Omega ratio can be used to examine whether market is efficient, whether there is any arbitrage opportunity in the market, and whether there is any anomaly in the market. In this paper, we first study relationship between stochastic dominance and Omega ratio. We find that second-order stochastic dominance (SD) and/or second-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega-ratio dominance insofar that the Omega ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the preference of second-order SD implies the preference of the corresponding Omega ratios only when the return threshold is less than the mean of the higher-return asset. On the other hand, the preference of the second-order RSD implies the preference of the corresponding Omega ratios only when the return threshold is larger than the mean of the smaller-return asset. Nonetheless, first-order SD does imply Omega-ratio dominance. Thereafter, we apply the theory developed in this paper to examine the relationship between property size and property investment in the Hong Kong real estate market. We conclude that the Hong Kong real estate market is not efficient and there are expected arbitrage opportunity and anomaly in the Hong Kong real estate market. Our findings are useful for investors and policy makers in real estate.
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 Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Stochastic Dominance and Applications to Finance Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Download or read book Handbook of the Economics of Risk and Uncertainty written by Mark Machina and published by Newnes. This book was released on 2013-11-14 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need to understand the theories and applications of economic and finance risk has been clear to everyone since the financial crisis, and this collection of original essays proffers broad, high-level explanations of risk and uncertainty. The economics of risk and uncertainty is unlike most branches of economics in spanning from the individual decision-maker to the market (and indeed, social decisions), and ranging from purely theoretical analysis through individual experimentation, empirical analysis, and applied and policy decisions. It also has close and sometimes conflicting relationships with theoretical and applied statistics, and psychology. The aim of this volume is to provide an overview of diverse aspects of this field, ranging from classical and foundational work through current developments. - Presents coherent summaries of risk and uncertainty that inform major areas in economics and finance - Divides coverage between theoretical, empirical, and experimental findings - Makes the economics of risk and uncertainty accessible to scholars in fields outside economics
Download or read book A History of the Theory of Investments written by Mark Rubinstein and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player." -- Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, Univ. of Pennsylvania; and retired partner, Goldman Sachs A History of the Theory of Investments is about ideas -- where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contributors to some of investment's most influential ideas and models.
Download or read book Financial Theory and Corporate Policy written by Thomas E. Copeland and published by . This book was released on 2013-07-17 with total page 924 pages. Available in PDF, EPUB and Kindle. Book excerpt: This classic textbook in the field, now completely revised and updated, provides a bridge between theory and practice. Appropriate for the second course in Finance for MBA students and the first course in Finance for doctoral students, the text prepares students for the complex world of modern financial scholarship and practice. It presents a unified treatment of finance combining theory, empirical evidence and applications.
Download or read book Intellectual Trespassing as a Way of Life written by David P. Ellerman and published by Rowman & Littlefield. This book was released on 1995 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dramatic changes or revolutions in a field of science are often made by outsiders or 'trespassers, ' who are not limited by the established, 'expert' approaches. Each essay in this diverse collection shows the fruits of intellectual trespassing and poaching among fields such as economics, Kantian ethics, Platonic philosophy, category theory, double-entry accounting, arbitrage, algebraic logic, series-parallel duality, and financial arithmetic.
Download or read book Louis Bachelier s Theory of Speculation written by Louis Bachelier and published by Princeton University Press. This book was released on 2011-12-12 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Download or read book Capital Budgeting Under Conditions of Uncertainty written by R.L. Crum and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: The business environment, particularly after the continuing oil crises of the seventies, can be characterized as evolving rapidly in complex and often unpre dictable ways. Such things as high interest and inflation rates, fluctuating ex change rates, volatile commodity markets, and increasing political turmoil have led to a situation in which explicit consideration of environmental dynamics is becoming much more important for successful business planning than was true in the past. Companies are finding that it is no longer possible to conduct "busi ness as usual" under these changing circumstances. Rather, decision makers are having to be more cognizant of the many sources of uncertainty that could have serious impacts on the continued prosperity of the firm, as well as of actions that can be taken so that the company can thrive in spite of these greater uncertainties. Businesses have responded to these challenges by giving more thorough con sideration to strategic issues. Whereas in the past the steady progression of mar kets and technology was taken for granted, the uncertainties associated with increased worldwide competition, as well as with other exogenous factors, have vii viii INTRODUCTION forced companies to think more about flexibility. This involves not only how best to exploit profitable current options, but also how to position themselves at present to be able to respond appropriately to threats and opportunities as they arise in the future. Unfortunately, in this redirection of outlook, the fmance profession has not kept pace.
Download or read book An Analytic Derivation of the Efficient Portfolio Frontier written by Robert C. Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Intermediate Financial Theory written by Jean-Pierre Danthine and published by Elsevier. This book was released on 2005-07-25 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467.The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor."This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts....many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University - Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts - Focuses on clear explanations of key concepts and requires limited mathematical prerequisites - Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor
Download or read book Microeconomics for the Critical Mind written by Fabio Petri and published by Springer Nature. This book was released on 2021 with total page 1395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook explains comprehensively and in rigorous detail not only mainstream microeconomics, but also why many economists are dissatisfied with major aspects of it, and the alternative that they are exploring in response: the Classical-Keynesian-Kaleckian approach. This advanced yet user-friendly book allows readers to grasp the standard theory of consumers, firms, imperfect competition, general equilibrium, uncertainty, games and asymmetric information. Furthermore, it examines the classical approaches to value and income distribution advocated by Adam Smith, David Ricardo and Karl Marx, as well as Post-Keynesian pricing theory, and the microeconomics of variable capacity utilization. Using simple models, it highlights the analytical roots of the important differences between the marginal/neoclassical approach and the classical-Keynesian, critically examining the plausibility and reciprocal consistency of their assumptions. The book also addresses various microeconomic issues not generally included in advanced microeconomics textbooks, including differential land rent, joint-production long-period pricing, capital theory from Walras to the Cambridge debates, the foundations of aggregate production functions, the microeconomics of labor markets, and the long-period theory of wages. Lastly, it presents a unique re-evaluation of welfare economics. Intended for advanced undergraduate and graduate microeconomics courses, this textbook offers a comprehensive introduction to the various approaches and different schools of thought currently competing in the context of economic theory. It can also be used in courses on value and distribution, heterodox economics, and the history of economic analysis. In the present situation, characterized by scientific uncertainty and the co-existence of competing approaches, it will stimulate students to form their own opinion as to which approach appears more promising from a scientific standpoint.
