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Advanced Search Results For "MATHEMATICAL models of finance"

1 - 10 of 7,486 results for
 "MATHEMATICAL models of finance"
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A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio.

Publication Type:Academic Journal

Source(s):Discrete Dynamics in Nature & Society. 9/14/2022, p1-8. 8p.

Abstract:The present paper investigates the problem of capital portfolio selection under uncertain conditions and uses a robust optimization approach for modeling. The model provided in this paper is a three-objective model that aims to maximize returns, maximi...

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A Study of Internet Development and Enterprise Financing in China.

Publication Type:Academic Journal

Source(s):Networks & Spatial Economics. Sep2021, Vol. 21 Issue 3, p495-511. 17p.

Abstract:The development of the Internet has changed many traditional commercial models of enterprises. Therefore, the term Internet development is increasingly drawing attention from scholars. However, we are not certain whether the development of the Internet...

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Estimating and Testing Dynamic Corporate Finance Models.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Jan2018, Vol. 31 Issue 1, p322-361. 40p.

Abstract:We assess the finite sample performance of simulation estimators that are used to estimate the parameters of dynamic corporate finance models. We formulate an external validity specification test and propose a new set of statistical benchmarks that can...

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Panel-Data Estimation in Finance: Testable Assumptions and Parameter (In)Consistency.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Feb2019, Vol. 54 Issue 1, p1-29. 29p.

Abstract:We investigate the strict-exogeneity assumption, a necessary condition for estimator consistency in many finance panel-data applications. We outline tests for strict exogeneity in both traditional (non–instrumental variable (IV)) and IV settings. When ...

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The Factor Structure in Equity Options.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Feb2018, Vol. 31 Issue 2, p595-637. 43p.

Abstract:Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the crosssectional variation. Furthermore, these principal components are hig...

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Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default.

Publication Type:Academic Journal

Source(s):Mathematical Problems in Engineering. 3/17/2020, p1-12. 12p.

Abstract:Power exchange option is an exotic option which combines power option and exchange option. In this paper, we consider the pricing of the power exchange option under exchange rate volatility risk and issuing company bankruptcy risk. Meanwhile, consideri...

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Testing Beta-Pricing Models Using Large Cross-Sections.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Jun2020, Vol. 33 Issue 6, p2796-2842. 47p.

Abstract:We propose a methodology for estimating and testing beta-pricing models when a large number of assets is available for investment but the number of time-series observations is fixed. We first consider the case of correctly specified models with constan...

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A Dynamic Model of Optimal Creditor Dispersion.

Publication Type:Academic Journal

Source(s):Journal of Finance (John Wiley & Sons, Inc.). Feb2021, Vol. 76 Issue 1, p267-316. 50p.

Abstract:Borrowing from multiple creditors exposes firms to rollover risk due to coordination problems among creditors, but it also improves firms' repayment incentives, thereby increasing pledgeability. Based on this trade‐off, I develop a dynamic debt rollove...

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A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching.

Publication Type:Academic Journal

Source(s):Journal of Finance (John Wiley & Sons, Inc.). Feb2021, Vol. 76 Issue 1, p317-356. 40p.

Abstract:We develop a unified theory of dynamic contracting and assortative matching to explain firm dynamics. In our model, neither firms nor managers can commit to arrangements that yield lower payoffs than their outside options, which are microfounded by the...

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Uncertainty and Economic Activity: A Multicountry Perspective.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Aug2020, Vol. 33 Issue 8, p3393-3445, 53p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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