相关论文: Self-Consistent Asset Pricing Models
Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there is no true model with fixed dimensions in the candidate set.…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$.…
We develop novel estimation procedures with supporting econometric theory for a dynamic latent-factor model with high-dimensional asset characteristics, that is, the number of characteristics is on the order of the sample size. Utilizing…
In this paper, we define probabilistic measures for venture portfolio performance based on individual outlier probability for each investment and the dependence across investments. This work is inspired by loan portfolio modeling against…
Good large sample performance is typically a minimum requirement of any model selection criterion. This article focuses on the consistency property of the Bayes factor, a commonly used model comparison tool, which has experienced a recent…
Happiness computing based on large-scale online web data and machine learning methods is an emerging research topic that underpins a range of issues, from personal growth to social stability. Many advanced Machine Learning (ML) models with…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
The price-bubble and crash process formation is theoretically investigated in a two-asset equilibrium model. Sufficient and necessary conditions are derived for the existence of average equilibrium price dynamics of different agent-based…
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For this reason, passive wealth management has emerged in recent…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Quantitative portfolio allocation requires the accurate and tractable estimation of covariances between a large number of assets, whose histories can greatly vary in length. Such data are said to follow a monotone missingness pattern, under…
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in…
Factor analysis (FA) and principal component analysis (PCA) are popular statistical methods for summarizing and explaining the variability in multivariate datasets. By default, FA and PCA assume the number of components or factors to be…
Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference…
Factor models are a very efficient way to describe high dimensional vectors of data in terms of a small number of common relevant factors. This problem, which is of fundamental importance in many disciplines, is usually reformulated in…
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with the application of the replica method borrowed from the…
Financial time series are commonly decomposed into market factors, which capture shared price movements across assets, and residual factors, which reflect asset-specific deviations. To hedge the market-wide risks, such as the COVID-19…
We consider a linear regression model with regression parameter beta=(beta_1,...,beta_p) and independent and identically N(0,sigma^2) distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…