The Discount Rate: A Note on IAS 36 Sven Husmann Martin Schmidt Thorsten Seidel ___ European University Viadrina Frankfurt (Oder) Department of Business Administration and Economics Discussion Paper No. 246 2006 ISSN 1860 0921 ___
A similar definition is proposed for the concept of second-degree stochastic dependence, as observed for example in the Cox–Ingersoll–Ross model, with the opposite comparative static property holding under temperance (), because the change in downside risk (or skweness) that it generates. ...
APPENDIX AA Simple Multiperiod Discount Rate Model Suppose the sequence of discount rates implied by the CAPM may be modeled by a first-order autoregressive process:\( {\mu}_{t+1}=\left(1-\varphi \right)\bar{\mu}+\varphi {\mu}_t+{\epsilon}_{t+1} \). Then, the future sequence ...
Econ., Williams Coll., Williamstown, MA Gillespie T, Hynes S, Lyons R, Acirc C (2023) The value of a sea view: Hedonic estimates using 3d simulation and natural language processing. Land Economics Goodman-Bacon A (2021) Difference-in-differences with variation in treatment timing. Journal ...
Using the definition of the expected value function, the choice-specific value functions can be written in simpler form as $$v_{j}(x_{t})=u_{j}(x_{t})+\delta\int v(x^{\prime})p(x^{\prime}|x_{t},j)dx^{\prime}. $$ ...
In this case, there is no ambiguity in the definition the arbitrage-free price of any European contingent claim with maturity T. In fact, in this complete market which is set in continuous time, this value is none other than the value of any replicating portfolio. Moreover, prices may be...
Based on Me’s definition in Equations (81) and (82), the General Fuzzy Measure was determined as Equation (83), as a settable parameter in regard to λ. The λ coefficient is a pessimistic-optimistic parameter; the neared it was to zero, the more pessimistic our calculations were and ...
All classical methods of portfolio analysis are based on the definition of the return rate. In the case of securities with a fuzzy present value, a discount factor is a better tool for portfolio analysis than the return rate, which implies the chosen methods of management of securities should ...
Based on Me’s definition in Equations (81) and (82), the General Fuzzy Measure was determined as Equation (83), as a settable parameter in regard to λ. The λ coefficient is a pessimistic-optimistic parameter; the neared it was to zero, the more pessimistic our calculations were and ...
Many scholars believe that despite the outstanding advantages of the CVaR criterion, it is not difficult to find from its definition that CVaR only reflects the situation where the loss exceeds a given VaR value. In contrast, the case when the profit is higher than the given level is insuffici...