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Delegated asset management, investment mandates, and capital immobility
Institutional frictions Negatively skewed risk Tracking error constraints Market segmentation
2014/3/18
This paper develops a model to explain the widely used investment mandates in the
institutional asset management industry based on two insights: first, giving a manager
more investment fl...
On the semimartingale property of discounted asset-price processes
semimartingale property discounted asset-price processes
2010/12/17
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, ...
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Nonlinear Fokker-Planck Equation Model Asset Returns
2010/12/17
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of as...
Dynamic Equilibrium and Volatility in Financial Asset Markets
Dynamic Equilibrium Volatility Financial Asset Markets
2014/3/13
Dynamic Equilibrium and Volatility in Financial Asset Markets.
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Nonparametric Estimation State-Price Densities Implicit Financial Asset Prices
2014/3/13
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.