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Valuation, downside risk measures and asymmetric information : a portfolio optimization approach
Kroll, Yoram; Ben-Horin, Moshe - In: International journal of economics, finance and … 2 (2014) 6, pp. 319-331
Persistent link: https://www.econbiz.de/10010508729
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Optimal reinsurance design with distortion risk measures and asymmetric information
Boonen, Tim J.; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 607-629
Persistent link: https://www.econbiz.de/10012523259
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Valuation, Downside Risk Measures and Asymmetrical Information : A Portfolio Optimization Approach
Kroll, Yoram - 2010
Algorithm employs expected return-risk approximation of utility function and bivariate distribution of cash flows of an … approach that employs CAPM Risk Adjusted Cost of Capital (RACC). Only under symmetrical distribution assumption the proposed … procedure and the conventional CAPM yields identical valuation. When downside risk measure is employed and asymmetrical …
Persistent link: https://www.econbiz.de/10013139313
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Bowley reinsurance with asymmetric information on the insurer's risk preferences
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644
Persistent link: https://www.econbiz.de/10012624638
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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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Informational Efficiency with Trading Constraints : A Characterization
Jarrow, Robert - 2019
if the market satisfies no free lunch with vanishing risk (NFLVR) and no dominance (ND) with respect G. This …
Persistent link: https://www.econbiz.de/10012864029
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Informational Efficiency with Trading Constraints : A Characterization
Jarrow, Robert - 2019
if the market satisfies no free lunch with vanishing risk (NFLVR) and no dominance (ND) with respect G. This …
Persistent link: https://www.econbiz.de/10012864049
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IPO Signaling Theory : A Revisit
Obrimah, Oghenovo A. - 2019
his study develops a rational expectations equilibrium model of IPO underpricing within which the distribution of underpricing is explicitly modeled, as opposed to assumed. Contrary to assumptions of prior studies, IPO quality is not inferred from IPO underpricing, is explicitly defined, and is...
Persistent link: https://www.econbiz.de/10012902455
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Information Percolation Driving Volatility
Andrei, Daniel - 2012
Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future dividends and trade in centralized markets. Information...
Persistent link: https://www.econbiz.de/10013109066
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Asymmetric Information and Security Design under Knightian Uncertainty
Malenko, Andrey - 2020
An issuer, privately informed about the distribution of the project's cash flows, raises financing from an uninformed investor through a security sale. The investor faces Knightian uncertainty about the distribution of cash flows and evaluates each security by the worst-case distribution at...
Persistent link: https://www.econbiz.de/10012853132