PRELIMINARY AND INCOMPLETE In this paper we use a probabilistic approach to risk factor selection in the arbitrage pricing theory model. The methodology uses a bayesian framework to select the pervasive risk factors and estimate the model. This will enable correct inference and testing of the implications of the APT model. Furthermore, we are able to make inference on any function of the parame...

The traditional Value at Risk (VaR) is a very popular tool measuring market risk, but it does not incorporate liquidity risk. This paper proposes an extended VaR model to integrate liquidity risk for intraday trading strategies using high frequency order book data. We estimate the one step ahead liquidity adjusted intraday VaR called(LAIVaR) for both bid and ask positions, considering several t...

Business expansions along with number of new companies being engaged in variety of industries aimed at getting bigger market share, underscored the role of corporate governance within the financial sphere. One of the important issues in corporate governance is acquisition. Due to the significant impact of companies in refining and petrochemical sectors on capital market and whole economy, their...

We consider a singular with state constraints version of the stochastic target problems studied in [22], [23] and more recently [6], among others. This provides a general framework for the pricing of contingent claims under risk constraints. Our extended version perfectly suits to market models with proportional transaction costs and to order book liquidation issues. Our main result is a direct...

Empirical analysis [see, e.g., McDonald (1985)] suggests that partial vertical integration is a widespread phenomenon. However, there are hardly any theoretical explanations for this composition of industries. Both Arrow (1975) and Green (1986) explicitly allow for partial integration to occur. The former author takes the need for information to be the driving force behind vertical integration,...

Chapter 1 introduced the foundations for the neoliberal interpretation of international institutions’ advocacy of liberalized trade. A critical assumption behind the neoliberal perspective is that free markets are in the collective interest – that is, that liberalized trade maximizes the gains to world as a whole, without regard to how those gains might be distributed. The economic theory under...