搜索结果: 1-6 共查到“货币银行学 selection”相关记录6条 . 查询时间(0.031 秒)
Multiple Credit Ratings, Cost of Debt and Self-Selection
credit ratings default risk selection bias
2011/9/2
In a world where firms pay for credit ratings and (because of regulatory requirements) where some investors must pay attention to the ratings of some specified set of raters, it may well be in the int...
The Importance of Adverse Selection in the Credit Card Market: Evidence from Randomized Trials of Credit Card Solicitations
adverse selection consumer credit credit cards household finance
2011/8/22
Analyzing unique data from multiple large-scale randomized marketing trials of preapproved credit card solicitations by a large financial institution, we find that consumers responding to the lender's...
Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (20...
Robust and Adaptive Algorithms for Online Portfolio Selection
Portfolio Selection Mean-Variance Portfolios Adaptive Filtering
2010/10/20
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrive...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...