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The effect of introducing a non-redundant derivative on the volatility of stock-market returns
Bhamra, Harjoat Singh; Uppal, Raman - 2006
Persistent link: https://www.econbiz.de/10003353062
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Robustness of Stable Volatility Strategies
Branger, Nicole - 2015
The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the … stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock … follows a diffusion process, the expected excess return is proportional to its volatility, and the hedging demand is zero. We …
Persistent link: https://www.econbiz.de/10013031633
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Adaptive learning and equilibrium selection in experimental coordination games : an ARCH(1) approach
Broseta, Bruno - In: Games and economic behavior 32 (2000) 1, pp. 25-50
Persistent link: https://www.econbiz.de/10001499150
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Impacts of international sports events on the stock market : evidence from the announcement of the 18th Asian games and 30th Southeast Asian games
Harjito, Dwiraptono Agus; Alam, Mahmudul; Rani Ayu … - In: International journal of sport finance 16 (2021) 3, pp. 139-147
Persistent link: https://www.econbiz.de/10012666776
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Imitation, stock markets and Stackelberg games
Mignanego, Fausto; Modesti, Paola - In: International journal of applied management science 6 (2014) 1, pp. 84-97
Persistent link: https://www.econbiz.de/10010390808
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Using a Modified Dividend Discount Model for Stock Market Games
Yu, Geungu - 2017
This paper presents a dividend discount model (DDM) modified for high-growth stocks as an investment decision tool for participants of stock market games. The participants input data from Value Line Investment Survey reports to the modified DDM for making their investment decisions. Comparing...
Persistent link: https://www.econbiz.de/10012955382
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Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market
Haghani, Victor - 2016
In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...
Persistent link: https://www.econbiz.de/10012978604
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Risk curves : a methodology to evaluate the risk of fraud by stock price manipulation based on game theory and detection software
Silva, Wilton Bernardino da; Ospina, Raydonal; Souza, … - In: Journal of economics & business 113 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012518308
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Research on the dilemma of speculation in Chinese stock market based on game theory
Ren, Dexiao - In: Theoretical economics letters 6 (2016) 4, pp. 678-685
Persistent link: https://www.econbiz.de/10011582449
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An insurer's accountability for variable pension annuity
Okura, Mahito - In: The IUP journal of applied economics 11 (2012) 4, pp. 60-71
Persistent link: https://www.econbiz.de/10009665046