نتایج جستجو برای: aggregated risk
تعداد نتایج: 962069 فیلتر نتایج به سال:
In this work we focus on the effects of aggregation on parameters estimation and Value-at-Risk computation if the data generator follow a FIGARCH model. We present a Montecarlo experiment which shows that the memory structure is affected. In a second simulation study we compare Value-at-Risk estimates obtained by high frequency and aggregated data. We verify that aggregated data have a better p...
Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset's returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment envir...
In previous research, aggregation of returns has been found as a way to counteract the risk averse behavior that is the result of investors’ myopia. This paper expands the study of aggregation by analyzing its effect on forward looking probabilities. Namely, through the disaggregation of future information, subjects become myopic and trade with varying risk preferences. In an experimental marke...
In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the model dimension of multi-regional temperature-based weather derivatives pricing. Since the proposed contract serves as a risk management tool for...
these days, all department stores make an effort to provide their clients with valuable products in order to project the best image for them. as a result, clients’ comprehension risk will decrease and they will be more willing to repurchase. having a good image is really important for the department stores because it makes an impression on clients’ comprehension of both quality and risk. consid...
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