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Lecture Notes
These notes cover several topics such as Review of Statistics, Least Squares and Maximum Likelihood Estimation, Index Models, Testing CAPM and Multifactor Models
Event Studies, Ti...
SIAMJO
2010
13 years 29 days ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
MANSCI
2010
13 years 4 months ago
2010
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total mark...
IOR
2006
13 years 6 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
EUSFLAT
2009
13 years 4 months ago
2009
Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...