نتایج جستجو برای: dynamic programmingjel classification g14 c21 c22 c53 d84

تعداد نتایج: 886168  

Journal: :iranian journal of economic studies 2012
ali mohammadi ahmad rajabi

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

Ahmad Rajabi Ali Mohammadi

Abstract In this paper, Markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in Iran from 2005 to 2009. Results, by applying this model, showed that tax evasion were 6714 billion Rials**. With 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion Rials. ...

2002
Holger Claessen Stefan Mittnik

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index retu...

2015
Dashan HUANG Guofu Zhou Dashan Huang Andy Chen Felipe Cortes Ohad Kadan Fang Liu Hong Liu Fernando Lopez Cesare Robotti Anjan Thakor

This paper investigates whether the degree of predictability can be explained by existing asset pricing models, and provides two theoretical upper bounds on the R-square of the regression of stock returns on predictors for given classes of models of interest. Empirically, we find that the predictive R-square is significantly larger than the upper bounds permitted by well known asset pricing mod...

2008
Y. Malevergne

Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors’ expectations about the level of the future volatility. Based on a semi-parametric model of investors’ anticipations, we make the connection between the distributional properties of the heterogeneity parameters and the auto-...

Journal: :European Journal of Operational Research 2017
Richard D. F. Harris Evarist Stoja Linzhi Tan

We generalise the Black-Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard performance ratios as well as other measures that are designed to capture tail risk in the presence of non-normally distributed asset returns. We fin...

2006
Erik Hjalmarsson

Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated. JEL classification: C15; C53; G14.

Esmaiel Abounoori, Mohsen Ali Heydari

In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the ...

1996
Peter Bossaerts

Consider the Rational Expectations price history of an Arrow-Debreu security that matures in the money: p1; p2; :::; pT . Past information can be used to predict the return (pt+1 pt)=pt. Now consider a simple alternative performance measure: (pt+1 pt)=pt+1. It di ers from the return only in that the future price is used as basis. This variable cannot be forecasted from past information. The res...

2004
Andreas Park

The paper analyses a simplified version of a Glosten-Milgrom style specialist security trading model with trade-timing. In a setting where traders are differentially informed, if the best-informed investors have a sufficiently strong or weak impact on prices then the investors with the strongest impact on prices delay their investment strategically, pretending to be the low-impact types. JEL Cl...

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید