搜索结果: 1-15 共查到“经济学 expected”相关记录15条 . 查询时间(0.015 秒)
Public Goods,Reciprocity,and the Causal Effect of Expected Cooperation in Representative Samples
Public Goods Reciprocity Expected Cooperation Representative Samples
2015/6/5
Voluntary cooperation in public goods problems crucially affects the functioning and long-term fate of economic and political systems. Previous research emphasizes that cooperation in public goods gam...
Evaluating Firm-Level Expected-Return Proxies
Cost of Capital Investment Return Performance Evaluation
2015/4/28
We develop and implement a rigorous analytical framework for empirically evaluating the relative performance of firm-level expected-return proxies (ERPs). We show that superior proxies should closely ...
Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital
Measurement and Metrics Cost of Capital Investment Return
2015/4/28
Despite their popularity as proxies of expected returns, the implied cost of capital's (ICC) measurement error properties are relatively unknown. Through an in-depth analysis of a popular implementati...
Quality Provision,Expected Firm Altruism and Brand Extensions
Brands and Branding Consumer Behavior Product Development Corporate Social Responsibility and Impact Quality Mathematical Methods
2015/4/24
This paper studies quality choice in a model where consumers expect firms to act altruistically. It is shown that, under plausible assumptions regarding this altruism and the reaction of consumers to ...
Expected Utility Violations: Implications for Agricultural and Natural Resource
natural resource economics market behavior
2011/10/5
Investigates the implications of expected utility (EU) violations for agricultural and natural resource economics. Risk evaluation under EU; Behavior inconsistent with EU's linear treatment of probabi...
Expected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets
consumption open-economy models interest rate
2011/9/12
Survey data show that the expected growth rates of consumption across countries vary widely and are not highly correlated. This data contradict the simplest of open-economy models in which there is a ...
A simulation study of Basel II expected loss distributions for a portfolio of credit cards
Basel II consumer credit expected loss simulation
2011/8/22
Credit scoring models have been used traditionally as the basis of decisions to reject or accept credit applications. They are also used to categorize applicants or existing accounts into risk groups....
Usefulness of expected values in liability valuation: the role of portfolio size
Liability Valuation Expected Value Portfolio Size
2010/10/18
This study investigates whether the usefulness of expected values to financial statement
users depends on portfolio size (N). Given that standard setting boards require some liabilities to be measure...
Expected Uncertain Utility and Subjective Sources
Expected Uncertain Utility Subjective Sources
2014/3/18
Source preference is the assertion that between two prospects yielding the same dis-
tribution of monetary rewards, decision makers may have a strict preference for one over
the other. Evidence on t...
We introduce and analyze expected uncertain utility theory (EUU). A prior and an
interval utility characterize an EUU decision maker. The decision maker transforms each
uncertain prospect into an in...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Minimizing the expected market time to reach a certain wealth level
Num´ eraire portfolio growth-optimal portfolio market time upcrossing overshoot exponential L´ evy markets Itˆ o markets semimartingale markets
2010/11/1
In a financial market model, we consider variations of the problem of minimizing the
expected time to upcross a certain wealth level. For exponential L´evy markets, we show the asymptotic optim...
Portfolio optimization when expected stock returns are determined by exposure to risk
1/n strategy Black–Scholes model expected stock returns Markowitz’ problem portfolio optimization ranks
2010/11/1
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time.The predo...
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...