Executive Stock and Option Valuation in a Two State-Variable Framework: Allowing Optimal Investment of Outside Wealth in the Riskfree Asset and the Market Portfolio

2004 ◽  
Author(s):  
Jie Cai ◽  
Anand M. Vijh
Keyword(s):  
Optimal Investment ◽  
Option Valuation ◽  
State Variable ◽  
Market Portfolio

scholarly journals Defer option valuation and optimal investment timing of solar photovoltaic projects under different electricity market systems and support schemes

Energy ◽  
2017 ◽  
Vol 127 ◽  
pp. 594-610 ◽  
Author(s):  
Cheng Cheng ◽  
Zhen Wang ◽  
Mingming Liu ◽  
Qiang Chen ◽  
Abimelech Paye Gbatu ◽  
...  
Keyword(s):  
Electricity Market ◽  
Optimal Investment ◽  
Option Valuation ◽  
Solar Photovoltaic ◽  
Investment Timing

scholarly journals Comparison of a Modified and Classic Fama-French Model for the Polish Market

2017 ◽  
Vol 17 (1) ◽  
pp. 80-96 ◽  
Author(s):  
Stanisław Urbański
Keyword(s):  
Stock Exchange ◽  
Model Risk ◽  
Modified Model ◽  
State Variable ◽  
Market Portfolio ◽  
Warsaw Stock Exchange ◽  
Portfolio Managers ◽  
Simulation Results ◽  
Comparison Of The Results ◽  
French Model

AbstractThis paper shows a comparison of the results of return, risk, and risk price simulation by a modified and classic Fama-French model. The modified model defines the new ICAPM state variable as a function of the structure of a company’s past financial results. The model tests are run on the basis of stocks listed on the Warsaw Stock Exchange. In light of the classic model the risk price, on the tested market, turned out univariate due to HML, however, in light of the modified model, risk price turned out to be threedimensional due to the proposed factors, and market portfolio. The factors of the modified model, compared with the HML and SMB, are widely perceived by portfolio managers, and the simulation results indicate a greater possibility to use this pricing application by large institutional investors.

Adaptive identification methods of nonlinear random electrical signal

2020 ◽  
Vol 64 (1-4) ◽  
pp. 431-438
Author(s):  
Jian Liu ◽  
Lihui Wang ◽  
Zhengqi Tian
Keyword(s):  
Wavelet Transform ◽  
Electric Vehicle ◽  
Signal To Noise Ratio ◽  
Sudden Change ◽  
Electrical Signal ◽  
Signal Recognition ◽  
State Variable ◽  
Signal Characteristics ◽  
The Matrix ◽  
Kalman Filter Algorithm

The nonlinearity of the electric vehicle DC charging equipment and the complexity of the charging environment lead to the complex and changeable DC charging signal of the electric vehicle. It is urgent to study the distortion signal recognition method suitable for the electric vehicle DC charging. Focusing on the characteristics of fundamental and ripple in DC charging signal, the Kalman filter algorithm is used to establish the matrix model, and the state variable method is introduced into the filter algorithm to track the parameter state, and the amplitude and phase of the fundamental waves and each secondary ripple are identified; In view of the time-varying characteristics of the unsteady and abrupt signal in the DC charging signal, the stratification and threshold parameters of the wavelet transform are corrected, and a multi-resolution method is established to identify and separate the unsteady and abrupt signals. Identification method of DC charging distortion signal of electric vehicle based on Kalman/modified wavelet transform is used to decompose and identify the signal characteristics of the whole charging process. Experiment results demonstrate that the algorithm can accurately identify ripple, sudden change and unsteady wave during charging. It has higher signal to noise ratio and lower mean root mean square error.

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

A Dynamic Investment Model with Profit-Sharing in an Interest-Free Economy

1991 ◽  
Vol 8 (1) ◽  
pp. 109-127
Author(s):  
Zaidi Sattar
Keyword(s):  
Optimal Investment ◽  
Integrated Approach ◽  
Building Blocks ◽  
Profit Sharing ◽  
Comparative Statics ◽  
Investment Model ◽  
Financial Contracts ◽  
Endogenous Variables ◽  
Rate Of Profit ◽  
Component Models

The present paper is a contribution to the building blocks of an investmentmodel within the framework of an integrated macroeconomic model of anIslamic economy. Investment behavior in the model is guided by an Islamicethicalvalue system and profit-sharing financial contracts. The typical firm’sinvestment decision is believed to emerge from a dynamic inter-temporalmaximization exercise within an infinite time horizon. The method of Calculusof Variations is applied to arrive at the optimal investment and employmentcriteria for the firm. The result is then incorporated into a macroeconomicmodel to study the behavior of key endogenous variables like national incomeand the rate of profit-share. Comparative statics exercised within a generalequilibrium framework reveal the potency of monetary policy but the neutralityof fiscal policy with respect to output and employment.IntroductionThe past decade has witnessed a tremendous outpouring of interest aswell as effort in the formalization of economic models based on profit-sharingfinancial arrangements as an Islamic alternative to the conventional interestbasedeconomic system. Several macroeconomic models for interest-freeeconomies have been proposed (Anwar 1987; Habibi 1987; Metwally 1981& 1983). The rigor of an integrated approach to such macroeconomic modelhgdepends on the rigor of the component models, namely, the consumption,investment, monetary, and fiscal relationships. Economists have writtenextensively on different aspects of consumer behavior in Islamic societies.Kahf (1978) and Khan (1984), among others, have contributed to the conceptualand analytical formulation of the consumption function under ...

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