The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
High-tech industry zone play a important role in the global economic system with the continuously new knowledge innovation, itpsilas becoming the main motion of regional economic structure optimization and competition. The technology ability and diffuse effect of High-tech zone influence itself and regional economic development greatly. This paper design High-tech zone technology innovation ability...
This paper presents a new method (fuzzy pay-off method) for real option valuation using fuzzy numbers that is based on findings from earlier real option valuation methods and from fuzzy real option valuation. The method is intuitive to understand and far less complicated than any previous real option valuation model to date. The paper also presents the use of triangular and trapezoidal fuzzy numbers...
Based on chaos theory in economics, this paper introduces an application of the non-linear Duffing equation in financial crisis and briefly interprets an equation coefficient corresponding to the economic significance. This paper specifically focuses on the empirical problems of the Duffing equation in financial markets to solve the anti-disturbance coefficient of financial system to the external...
We develop a dynamic realistically model of a typical Chinese resident with stochastic labor income, risky owner-occupied house, housing rental market and costly adjustment in housing of Chinese real estate market, and try to analyze the optimal life-cycle portfolio choice for Chinese residents with housing factors. Our analysis indicates that home ownership crowds out stock investment of Chinese...
By simultaneously considering the financial risk and longevity risk, this paper develops a discrete multi-period framework that integrates annuity purchase decisions with consumption-investment selections in retirement planning, so as to discuss the optimal allocation of wealth in consumption, annuity and traditional assets. Computational results are provided to demonstrate the construction of consumption...
This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold...
Arbitrage portfolios arise extensively in the theory and practice of finance. However, compared to the standard portfolios, there are still somewhat little publications focusing on the analytics and empirical tests of the optimal arbitrage portfolios. Based on the comparison of the standard portfolio and the arbitrage portfolio, Fang (2006) introduces the strict definition of the arbitrage size, arbitrage...
This paper proposes an integrated forecasting framework based on the TEI@I methodology for port logistics forecasting. The framework analyzes and forecasts the port logistics time series data with a few steps. Firstly, census X12 seasonal adjustment method is applied to decompose the time series to several components: trend and cycle component, irregular component and seasonal component. Secondly,...
This paper examines the effect of uncertainty on investment in a real option model. By introducing the contingent claims analysis the opportunity to invest is modeled as an American call option with expiring time. By the use of penalty function, the American option model can rationally analyze the uncertainty-investment relationship. We show that the optimal exercise boundary exhibits a U-shaped pattern...
The relationship between internal control and risk management is still an arguing problem. This paper examines the relationship from the view of the development of risk management theory and the evolution of internal control represented by the United States. It believes that internal control is integrated with risk management from the beginning to its perfection. However, the form of the integration...
In this paper, value at risk of hedging portfolio is adopted to measure the risk of futures hedging. The control constraint based on risk tolerance of hedgers is established. The futures optimal hedge ratio is presented by maximizing the return of hedging portfolio under the control constraint. The contributions of the model are as follows: Firstly that we use VaR to construct the control constraint...
In order to measure the increasing complexity and dependent risk of nonlife insurance products and models, a class of the renewal risk processes with non-stationary and stochastic dependence properties are considered in this paper. By introducing an external continuous-time Markov process, the generalized Erlang(2) risk model can rationally characterize the dependent structure, in which the interclaim...
Financial institutions are affected by various risk factors. With the wide spreading subprime crisis, more and more people are paying attention to risk management. In order to enhance the mechanism, techniques and skills of risk management, this paper firstly describes the traditional models of risk management, then presents an integrated risk management model, which consists of three stages as risk...
As a science and reasonable method fuzzy synthetic evaluation method can appraise the fit or unfit quality of each investment project accurately. Through constructing the set of factor and evaluation, determines the evaluating index weight and affiliation level grades by expert, constructs fuzzy evaluation model, finally carries on the fuzzy quality synthetic evaluation. The example analysis Indicates:...
Real estate investment is a high-risky and complicated activity. It is necessary to utilize scientific methods when deciding to make these complicated investments, which probably result in large financial losses. The analytic network process (ANP) can be applied to produce a comprehensive analytic framework for solving the real estate investment decision-making problem. Based on this theory, considering...
Basic on Satoris-Hill credit policy decision model (SHPDM), this article analyzes the advantage and ability of bad debt risk resistance as well as comparison of digital content manufacturer with traditional one by virtue of profit under scenarios of the former adopting relative credit policy. We find that digital content manufacturer has stronger ability of risk resistance of bad debts than traditional...
Perfect city bus system is the foundation of the rapid development to city. Therefore, the appraisal of the city bus system is very important, which can give the governors fact of the city bus system so that the governors can get the most perfect decision-making. To satisfy with the economics and society, the city governors must set up the most consummated city bus system to maintain the rapid development...
The paper researches the representative variable of the probability of informed trading, selecting CCER high-frequency trading data of Shanghai stock exchange from 2003.7.1 to 2003.12.31, adopting VAR model. Different from previous studies, the paper firstly accounts for the dynamic relationship between trade and price. Then, the content of information in trading volume, duration and trading direction...
In order to explore what corporate governance characteristics are associated with mergers in the banking industry, the sample of publicly traded banks in different countries between 2005 and 2007 and a variety of empirical methods are used in this paper. By introducing matched sample comparison, univariate comparison and multivariate comparison, the differences between the sample banks that do and...
Acting as the stimulus, amplifier and accelerator in current financial crisis, credit derivatives incur much criticism. After reviewing credit derivativespsila roles in the financial crisis, people are thinking, after the crisis, whether credit derivatives will be completely replaced, whether credit derivatives will be back to nature, and whether better supervision system thereof would be more in...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.