نتایج جستجو برای: multi factor models
تعداد نتایج: 2089299 فیلتر نتایج به سال:
There is no consensus in the literature as to which model should be used to estimate the stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the developed markets has a poor empirical record and is likely not to hold in the less developed and less liquid emerging markets. Various factor models have bee...
• A range of different approaches have been suggested for the multivariate modelling of the geographical distribution of different but potentially related diseases. We suggest an addition to these methods which incorporates a discrete mixture of latent factors, as opposed to using CAR or MCAR random effect formulations. Our proposal provides for a potentially richer range of dependency structur...
In this paper we generalize Vasicek’s Asymptotic Single Risk Factor (ASRF) solution to multiple factors organized with a particular hierarchical structure. We use this model to investigate credit portfolio loss. In this hierarchical factor model, asset returns of a company depend on a global factor, a sector factor, and an idiosyncratic risk factor. All companies share the same global factor an...
Abstract Background: Semi-Markov multi-state models are very important to describe regression and progression in chronic diseases and cancers. Purpose of this research was to determine the prognostic factors for survival after acute leukemia using multi-state models. Materials and Methods: In this descriptive longitudinal research, a total of 507 acute leukemia patients (206 acute lymphocyt...
We propose algorithms of adaptive integration for calculation of the tail probability in multi-factor credit portfolio loss models. We first devise the classical Genz-Malik rule, a deterministic multiple integration rule suitable for portfolio credit models with number of factors less than 8. Later on we arrive at the adaptive Monte Carlo integration, which simply replaces the deterministic int...
data envelopment analysis (dea) is a managerial powerful tool for assess the performance of decision making units (dmus). nowadays, multi-objective dea models are an attractive technique for evaluation quantity and quality aspects of performance analysis. but these models are in static. in this paper, we want to present a proposed fuzzy dynamic multi-objective dea model in which data are changi...
These notes provide an overview of singleand multi-factor models of the short rate. We will begin with a generic single-factor model where the dynamics of rt under the physical measure, P , are given. Following the approach of Vasicek, we then derive the PDE that must be satisfied by derivative security prices. We then use the martingale approach to give an alternative (and familiar) expression...
These notes provide an overview of singleand multi-factor models of the short rate. We will begin with a generic single-factor model where the dynamics of rt under the physical measure, P , are given. Following the approach of Vasicek, we then derive the PDE that must be satisfied by derivative security prices. We then use the martingale approach to give an alternative (and familiar) expression...
this study aims to investigate value conflicts between mothers and their daughters among families and influential factors on this conflict in yazd city. this study adopted a survey method and a questionnaire was used that its validity through construct validity (factor analysis) and its reliability by cronbach alpha were measured. the population of this study consists of all yazdian families th...
in common classical methods of cavity depth estimation through microgravity data, usually when a pre-geometrical model is considered for the cavity shape, the simple geometrical models of sphere, vertical cylinder and horizontal cylinder are commonly used. it is obviously an important fact that in real conditions the shapes of the cavities are not exactly sphere, horizontal cylinder or vertical...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید