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公司金融 经典讲义 作者UC Berkley的Ulrike Malmendier attachment 金融学(理论版) fwjiang 2013-2-4 6 2993 midi51 2015-6-4 17:53:41
请教关于带倾向值的马氏距离匹配 Stata专版 谢绍友 2013-6-25 2 7326 binggol 2014-8-3 11:12:10
求助大家了!谢谢 文献求助专区 xfoooym 2013-7-22 2 1241 xfoooym 2013-7-22 11:57:18
The Role of Permanent Income and Demographics in Black White Differences attachment 论文版 vanhongbin 2013-7-16 0 729 vanhongbin 2013-7-16 11:00:05
金融学大师Fischer Black的纪念文集及其传记 attachment 金融学(理论版) 石瑞 2013-7-8 1 2210 Crsky7 2013-7-8 11:35:44
悬赏 Opening up Decision Making: The View from the Black Stool - [!reward_solved!] attachment 求助成功区 iyawon 2013-6-9 3 787 yingmickey 2013-6-9 15:25:20
我很困惑,遇到了麻烦。 attach_img 新手入门区 lsx19890717 2013-5-1 0 890 lsx19890717 2013-5-1 19:11:02
Euro Stoxx 50 Black Scholes 定价 金融工程(数量金融)与金融衍生品 sushuiasushui 2013-4-19 8 1902 sushuiasushui 2013-4-21 19:55:22
悬赏 The Use of Rational Expectations in Models of Speculation - [!reward_solved!] attachment 求助成功区 johnzi0128 2013-4-5 3 1212 johnzi0128 2013-4-19 16:36:03
悬赏 【文献求助】the price of options and corporate liabilities - [!reward_solved!] attachment 求助成功区 700c 2013-4-16 2 1180 700c 2013-4-16 23:51:31
关于black scholes公式 金融工程(数量金融)与金融衍生品 2009119817 2013-4-15 1 1452 Chemist_MZ 2013-4-15 11:55:39
悬赏 求英文文献Almost sure and moment stability properties of fractional order Black- - [!reward_solved!] attachment 求助成功区 weilinhy 2013-4-11 1 1548 jigesi 2013-4-11 22:01:03
悬赏 求助Long-term influences of body-weight changes, independent of - [!reward_solved!] attachment 求助成功区 刀剑林 2013-3-31 1 1168 Toyotomi 2013-3-31 20:35:30
悬赏 Now You See It, Now You Don't - [!reward_solved!] attachment 求助成功区 wbwang280 2013-3-8 1 1604 Toyotomi 2013-3-8 21:27:03
悬赏 Option pricing of a mixed fractional–fractional version - [!reward_solved!] attachment 求助成功区 无诺 2012-8-25 2 1378 无诺 2012-8-25 17:33:03
强烈推荐一本好书 《The Black Swan》 休闲灌水 visletsky 2009-4-13 7 3253 secondlio 2012-7-22 21:23:20
【国外文献】[5-17]Black Hawk 国内外文献账号区 冯琳 2009-5-17 5 1868 zhangweizwc 2009-5-25 22:14:00
救助black litterman 金融学(理论版) wangping821123 2008-12-25 5 3529 fslhs 2009-3-4 21:00:00
The Black Swan(《黑天鹅》) attachment 金融学(理论版) lawhero 2008-5-15 4 8739 lawhero 2008-5-15 22:36:00

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njricitg 2016-4-15 04:57
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分享 从CAPM到ICAPM、CCAPM
accumulation 2015-5-1 12:58
跨期资本资产定价模型(Intertempora lCapital Asset Pricing Model或Intertemporal CAPM,简称ICAPM),也称瞬时资本资产定价模型 什么是跨期资本资产定价模型在资产定价理论中的另一个重要假设是:证券市场总是在连续过程中,在这一假设前提下,Merton(1969,1971)将CAPM发展为跨期资本资产定价模型(ICAPM),同样在信息对称、无摩擦的市场中,资产价格的变化符合Ito过程,在这种条件下,资产的价格与投资者的效用偏好无关。在随后的研究中Merton(1973)和Black(1973)应用以上连续时间模型成功地得到了期权定价公式,这一公式后来被大量的实证研究所证实,并且被广泛在实践中应用。传统CAPM中的一个关键假设是投资者只考虑单一投资期,很显然这是一个不现实的假设。为了放松这一假设,把CAPM模型扩展到动态环境中,默顿(1969,1972,1973)构建了一个连续时间的投资组合与资产定价的理论框架,提出了一个跨期CAPM(ICAPM)。默顿认为,投资者对风险证券的需求包括两部分:马科维茨的静态资产组合最优化问题中的均值一方差成分和规避对投资机会集的不利冲击的需求。当投资机会集发生不利变动,而同时又存在一种收益率很高的证券时,每一个理性的投资者都会希望买入该种证券作为一种套期保值措施。这种套期保值需求的增加同时也导致了该证券均衡价格的升高,推导ICAPM的关键就是在资产定价方程中反映这种套期保值需求。在ICAPM中,投资者的决策将最大化整个投资期的效用,即:其中,U^k表示投资者k的效用,C^k表示投资者k的消费,\rho表示未来效用的贴现因子。第一项表示从0到T期的消费效用的现值,第二项表示在T期末财富效用的现值。按照动态规划原理,求解上述最大化问题需要确定每一期的消费量Ck(t)和余下财富投资于每一资产的比重Wk(t)ni=1。为此,定义一个性能函数Jk(Wk,t,X)为:利用高等数学和随机微分知识,可求得(n+1)个最大化的一阶条件,由此可以确定投资者在每一期的消费和投资组合变量。进一步地,默顿提出了类似于托宾分离定理的"(m+2)基金定理"(其中,m表示状态变量个数)。他认为投资者应该持有(m+2)个资产组合:(1)最优风险证券组合,即切点组合;(2)无风险资产组合;(3)与某一状态变量高度负相关的资产构成的其他m个资产组合(即套期保值组合)。前两个资产组合确保投资者持有均值方差有效的资产组合,即位于静态CAPM的有效边界上,后m个资产组合则是为规避投资机会集的不利变动。对所有投资者的需求方程加总,利用均衡状态下总需求等于所有资产的总价值的基本原理,最终可推导出跨期资本资产定价模型ICAPM:在ICAPM中,即使β值为零的资产,即与市场组合不相关的资产,其收益率也可能高于无风险利率,因为还需补偿状态变量的不利变动风险暴露。 以消费为基础的资本资产定价模型(CCAPM模型),是 比上述线性因子模型更为一般的资产定价框架(主流资产 定价理论)。 在CAPM这个绝对定价模型中,包含相对的成份,它没有 对市场投资组合的收益进行解释,这是CAPM模型的一个 重大缺陷。而CCAPM则能对市场投资组合的收益进行解 释。 在这个模型中,投资者不像标准CAPM模型那样在单期收 益的均值和标准差基础上来决定自己的行为,这个模型属 于跨期模型,模型中的投资者最大化当前和未来消费的预 期效用。 CCAPM的跨期视角更接近金融现实(未来风险和不确定性)
个人分类: 金融工程|0 个评论
分享 Fischer Black and the Revolutionary Idea of Finance
accumulation 2015-4-22 21:13
  In the last 50 years there have been two revolutionary ideas in finance: the Capital Asset Pricing Model (CAPM), the history of which was told in Capital Ideas, and the Black-Scholes option pricing model, formally introduced in a seminal research paper (that changed modern finance) by Black and Myron Scholes in 1973.Its publication occurred at the same time as the creation of the CBOE and led to the widespread use of options trading by market participants from institutional to individual investors.The Black-Scholes pricing model was so revolutionary that nearly 30 years later, books and papers are still being published on it.But not only did Fischer Black revolutionize finance by providing the methodology to trade a new instrument, he revolutionized Wall Street by effectively developing what is now known as quantitative finance.Fischer, trained as an accountant and computer programmer, was Wall Street's first quant.Black's life and work encapsulate modern financial theory, for without Fischer there would be no theory, no risk management tools, perhaps even no exotic derivative instruments.He set the standard that many others would follow.He began his undergraduate studies in physics and then moved on to mathematics and computer programming.In 1967 his life changed forever when he met Jack Treynor, one of the developers of Capital Asset Pricing Model (CAPM).After spending 15 years in academia, he moved to Wall Street:?Goldman Sachs.At Goldman, Black developed even more quantitative models that tens of thousands of professionals use every day.While there is no question that Fischer is well-known within the investment community, his name is not unknown to the broader investing/business audience.Articles about Fischer and his contributions to options theory and modern finance have appeared in Scientific American, Wired, and BusinessWeek.He and his theories have also been discussed on the BBC and in the PBS documentary on LTCM.He was noted as one of the 'Thinkers of the Century' by Fortune magazine in their Investor's Guide 2000.Additionally, all his papers and writings are archived at MIT.Fischer Black may well be the financial world's equivalent to physics' Richard Feynman. Cover Contents Title Copyright Dedication Acknowledgments Foreword: Unafraid Hard Thinking Preface Prologue: The Price of Risk Chapter One: Thou Living Ray of Intellectual Fire Chapter Two: An Idea in the Rough Chapter Three: Some Kind of an Education Chapter Four: Living up to the Model Chapter Five: Tortuous Economic Intuition Chapter Six: The Money Wars Chapter Seven: Global Reach Chapter Eight: Stagflation Appendix 8.A: The Cambridge Capital Controversy Chapter Nine: Changing Fields Chapter Ten: What do Traders do? Chapter Eleven: Exploring General Equilibrium Epilogue: Nothing is Constant Appendix A: A Financial Notes Chronology Appendix B: A Newsletter Chronology References Index
个人分类: 金融工程|0 个评论
分享 What Gold Nationalization Really Means
insight 2013-7-26 16:38
What Gold Nationalization Really Means Submitted by Tyler Durden on 07/25/2013 19:40 -0400 Federal Reserve Nationalization New York Times Submitted by Simon Black via Sovereign Man blog , Gold owners are almost universally familiar with the story of Franklin Roosevelt criminalizing the ownership of gold back in 1933. Executive Order 6102 was signed on April 5, 1933, and it forbade the “Hoarding of Gold Coin, Gold Bullion, and Gold Certificates within the continental United States.” Roosevelt further ordered that citizens in the Land of the Free surrender their gold to the Federal Reserve in exchange for $20.67 per troy ounce in Federal Reserve notes. The term gold ‘nationalization’ is often thrown around. But remember, with nationalization, it’s the state that takes control of an asset. Executive Order 6012 took assets from private individuals, and then gave those assets to a private company – the Federal Reserve. This isn’t nationalization. It’s just theft. You’d think that the entire nation would have been in an uproar. But surprisingly, this wasn’t the case. In fact, the Executive Order didn’t even make the front page of the New York Times, whose main headline the day after was “BEER LEGAL AT MIDNIGHT”. It just so happened that prohibition was starting to be repealed right when Roosevelt’s order was going into effect. So people were too distracted with their pent-up, alcohol-induced euphoria to really notice. Very clever timing. Of course, Roosevelt was not the first, nor the last, to confiscate citizens’ gold. One of my favorite stories involves Charles I of England, who commandeered 200,000 pounds of gold in 1638 as the English Civil War was approaching. This gold belonged to private citizens, not to Charles. The rightful owners trusted their king and were storing their gold at the national mint for safe keeping. This trust proved to be misplaced. And Charles seized the gold, calling it a ‘loan’ (upon which the English government subsequently defaulted). This theme is consistent across history– governments have a notorious, unblemished track record of fleecing their citizens, particularly in times of desperation. History shows that the likelihood of a government pillaging its citizens’ wealth is directly proportional to that government’s fiscal health. Looking back, it seems so obvious. I’m sure the day after the bank account freeze in Cyprus earlier this year, people were probably thinking, “Wow, I can’t believe I didn’t see that coming…” Nearly the rest of the West is in the same position, or worse off, than Cyprus– overextended banking systems, interminable deficits, unsustainable debts, and strong precedents of setting the law aside to violate people’s freedom. All the warning signs are there. And just as in Cyprus, or in 17th century England, it’s going to be so obvious looking back. This is one of the reasons why it’s so important to be proactive now and move a portion of your assets abroad where they can’t grab it. As an example, there’s a fantastic private, secure storage facility here in Vienna called Das Safe that I’ve been writing about for a long time. Das Safe has been around for three decades. And because they’re not connected to any bank or government, it’s possible to anonymously rent a safety deposit box where you can store gold. Under current US law, this is not reportable… so you can truly hold your savings privately, outside the banking system. Of course, gold is just one asset to think about. There’s another asset that I’m even more concerned about governments stealing: retirement accounts. More on that another time. Average: 3.789475 Your rating: None Average: 3.8 ( 19 votes) !-- -- Tweet !-- - advertisements - .AR_2 .ob_empty {display: none;} .AR_2 .rec-link {color: #565656;text-decoration: none;font-size: 12px;} .AR_2 .rec-link:hover {color: #565656;text-decoration: underline;font-size: 12px;} .AR_2 {float: left;width:50%} .AR_2 li {list-style: none outside none !important;font-size: 10px;padding-bottom: 10px;line-height: 13px;margin:0;} .AR_2 .ob_org_header {color: #000000;text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} .AR_3 .rec-link {color: #565656;text-decoration: none;font-size: 12px;} .AR_3 .rec-link:hover {color: #565656;text-decoration: underline;font-size: 12px;} .AR_3 .rec-src-link {font-size: 12px;} .AR_3 li {padding-bottom: 10px;list-style: none outside none !important;font-size: 10px;line-height: 13px;margin:0;} .AR_3 .ob_dual_left, .AR_3 .ob_dual_right {float: left;padding-bottom: 0;padding-left: 2%;padding-top: 0;} .AR_3 .ob_org_header {color: #000000; text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} .AR_3 .ob_ads_header {color: #000000; text-decoration:bold; margin-left: 0px; font-size:14px;line-height:35px;} -- - advertisements - Login or register to post comments 14222 reads Printer-friendly version Send to friend Similar Articles You Might Enjoy: NY Fed Finds No Wide-Ranging Risk To Financial System From BP Exposure, Which Likely Means It Is Panic Time What Came First: The Federal Reserve Or Economic Bubbles? A Brief History Of The Federal Reserve's Creation Does A Surging Gold Price Mean The Fed Will Be Forced To Sell Treasurys? What Is The Actual Book Value Of Germany’s Gold Reserves Capital Markets ber Alles: What Mitt Romney's Economic Advisor, Goldman Sachs (And The NY Fed) Really Think
个人分类: gold|14 次阅读|0 个评论
分享 The Two Charts That Matter From Smith And Wesson's December Investor Presentatio
insight 2012-12-18 11:38
The Two Charts That Matter From Smith And Wesson's December Investor Presentation Submitted by Tyler Durden on 12/17/2012 18:03 -0500 Black Friday Presented without commentary. National Shooting Sports Foundation, Published December 3, 2012 – “ NOVEMBER NSSF-ADJUSTED NICS CHECKS UP 38.5%... Powered by the largest single day ever for background checks on Black Friday, November 2012 is now the record holder for the most background checks conducted in a single month. The November 2012 NSSF-adjusted National Instant Criminal Background Check System (NICS) figure of 1,525,177 is an increase of 38.5 percent over the NSSF-adjusted NICS figure of 1,101,076 in November 2011. For comparison, the unadjusted November 2012 NICS figure of 1,997,703 reflects a 30.8 percent increase from the unadjusted NICS figure of 1,527,454 in Nov. 2011. This marks the 30th straight month that NSSF-adjusted NICS figures have increased when compared to the same period the previous year. The number reported for November 2012 eclipsed the previous high in December 2011 by 8.1 percent.” Source: SWHC December Investor Presentation Gun Sales Surge: Smith Wesson Announces Sales +48% Mike Bloomberg Calls For Ban On Assault Weapons Chart Of The Day: Smith Wesson Sales Fourth Largest Gun Maker In US Is Out Of Guns hedgeless_horseman's 12 Days of Christmas ~ Gift ideas for the Zero Hedge reader in your life
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