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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment … corporation funded venture capital firm, investment bank funded venture capital firm, private equity funded venture capital firm …, state funded venture capital firm. We consider the complicated issues on the venture capital optimal investment portfolio …
Persistent link: https://www.econbiz.de/10011107583
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011156962
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Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis
Karkowska, Renata - Volkswirtschaftliche Fakultät, … - 2014
Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure models credit risk of banks as a put option on bank assets,...
Persistent link: https://www.econbiz.de/10011108947
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011110289
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Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand
Forson, Joseph Ato; Janrattanagul, Jakkaphong - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10011113078
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Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Ardliansyah, Rifqi - Volkswirtschaftliche Fakultät, … - 2012
long-run, there are no potential benefits in diversifying investment portfolios across the ASEAN and U.S. market since …
Persistent link: https://www.econbiz.de/10011257815
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On Flexible Linear Factor Stochastic Volatility Models
Malefaki, Valia - Volkswirtschaftliche Fakultät, … - 2015
data-based alternative to evaluate the cross sectional restrictions suggested by arbitrage pricing theory. A mixture …
Persistent link: https://www.econbiz.de/10011170534
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Activity diversification and performance of Islamic banks in Malaysia
CHATTI, Mohamed Ali; KABLAN, Sandrine; YOUSFI, Ouidad - Volkswirtschaftliche Fakultät, … - 2010
Return On Capital ratio (RAROC). Finally, we use the Modern Portfolio Theory (MPT) of Markowitz to define the efficient … frontier and the optimal portfolio.The results show that the corporate and investment activity increases significantly returns …
Persistent link: https://www.econbiz.de/10008805473
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The fine structure of spectral properties for random correlation matrices: an application to financial markets
Livan, Giacomo; Alfarano, Simone; Scalas, Enrico - Volkswirtschaftliche Fakultät, … - 2011
predicted by Random Matrix Theory for such models. …
Persistent link: https://www.econbiz.de/10008854403
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Optimizing models of a stock portfolio issued by Financial Investment Companies
Corduneanu, Carmen; Turcas, Daniela - Volkswirtschaftliche Fakultät, … - 2008
The complex methodology used in financial portfolio management proves that H. Markowitz optimization approach is one of the most applied techniques on developed global financial markets. Financial information spreading and processing speed, real time access to information, the performance...
Persistent link: https://www.econbiz.de/10005619813