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Anstract: In this paper, we propose a novel framework — the Observer Pattern Framework (OPF) — which could better reflect the complex securities market. The core of the OPF is observer collecting relevant information from two different perspectives, namely, stock price statistics and force comparison between buyer and seller. Further, based on a practical example, we not only define observer equations...
Although asset growth has little effect on the behavior of the typical fund, funds should alter investment behavior as assets under management increase. We find that large funds diversify their portfolios in response to growth. Greater diversification, especially for large funds, is associated with better performance.
On the question of optimal hedging ratio, the paper firstly draws the chance to choose market-entering point into the model. Using the replication principle of finance engineering, we make an assumed equity and get the optimal hedging ratio of the model, which gives the theoretical support to the practice. The conclusion is obtained that we should not only concern on the market-entering point, but...
This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems. Under the assumption that the value function is enough smooth, we give relations among the adjoint processes, the generalized Hamiltonian function and the value function. An LQ recursive utility portfolio optimization problem in the financial...
The traditional Monte Carlo simulation and binomial tree algorithms based upon the Black-Scholes world are modified to include a growth term to incorporate an irrational market return, a concept ignored in the basic price framework of Black-Scholes-Merton. This modified algorithm is applied to the Kuala Lumpur Composite Index KLCI and Public Aggressive Growth Fund PAGF between June 2006 and September...
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...
The Capital Asset Pricing Theory is hotly discussed with the development of China's capital market. For the study range in 2007, 65 stocks were chosen with certain rules to do an empirical research of the Capital Asset Pricing Model (CAPM) applicability in Chinese stock markets. The study found that, from the perspectives of constant and beta coefficient significant as well as the explanatory power...
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