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Эконометрическое оценивание риска на финансовых рынках и его связь с гипотезой эффективности рынка.
С. 33–34.
Kantorovich G., Kazaryan L.
Language:
Russian
Publication based on the results of:
In book
М.: ЦЭМИ РАН, 2016.
Golubin A. Y., Гридин В. Н., Смирнов Д. С. et al., Автоматика и телемеханика 2024 № 12 С. 89–102
Предметом исследования является многошаговая задача инвестирования с Conditional Value at Risk (CVaR) ограничениями на приращения процесса риска, с заданным порогом капитала для банкротства, разрешением коротких продаж и нормальной моделью суммарного дохода. Целью является нахождение метода оптимального управления активами для целевого функционала равного среднему значению финального капитала инвестора. В результате исследования показано, что оптимальный инвестиционный портфель ...
Added: December 18, 2024
Aleksei Pastushkov, HSE Economic Journal 2024 Vol. 28 No. 2 P. 276–301
A classical paper by [Grossman, Stiglitz, 1980] showed that asset prices in equilibrium necessarily contain some degree of inefficiency when information is costly. Moreover, the inefficiency should decrease with decreasing information costs. However, a number of recent empirical studies cast some doubt on the postulate that real financial markets are becoming more efficient, despite the ...
Added: September 7, 2024
Naidanov I., В кн.: «Соседи по науке»: материалы X ежегодной научной конференции.: Пермь: Редакционно-издательский отдел НИУ ВШЭ-Пермь, 2023. С. 51–62.
Social media content makes a significant impact on the financial performance of companies. This article deals with various characteristics of firm-generated social media content that affect company profitability. Previous studies use a limited set of firm-generated content metrics: only the presence of particular topic and content volume are considered. This study extends the understanding of ...
Added: September 29, 2023
Nikita Puchkin, Vladimir Ulyanov, Annales de l'institut Henri Poincare (B) Probability and Statistics 2023 Vol. 59 No. 3 P. 1508–1529
We show that external randomization may enforce the convergence of test statistics to their limiting distributions in particular cases. This results in a sharper inference. Our approach is based on a central limit theorem for weighted sums. We apply our method to a family of rank-based test statistics and a family of phi-divergence test statistics ...
Added: September 3, 2023
Shchegolev A., Управление большими системами: сборник трудов 2023 № 102 С. 5–14
The class of nonlinear Markov processes is characterized by the dependence of the current state of the process on its current distribution in addition to the dependence on the previous state. Due to this feature, these processes are characterized by complex limit behavior and ergodic properties, for which the usual criteria for Markov processes are ...
Added: June 12, 2023
Bobkov S., Ulyanov V. V., Theory of Probability and Its Applications 2022 Vol. 66 No. 4 P. 537–549
We give a short overview of the results related to the refined forms of the central limit theorem, with a focus on independent integer-valued random variables (r.v.'s). In the independent and non-identically distributed (non-i.i.d.) case, an approximation is then developed for the distribution of the sum by means of the Chebyshev--Edgeworth correction containing the moments ...
Added: February 22, 2022
Sawada T., Frontiers in Psychology 2021 Vol. 12 Article 762418
This study describes how the conditions in the Central Limit theorem (CLT) are usually not satisfied in empirical Psychological studies by comparing the formulation of the CLT with a common experimental procedure used in empirical Psychological studies. This explains why the CLT cannot assure that the population follows a normal distribution no matter how large ...
Added: November 9, 2021
Bobkov S., Ulyanov V. V., Теория вероятностей и ее применения 2021 Т. 66 № 4 С. 676–692
Дан краткий обзор результатов по уточненным формам центральной предельной теоремы на прямой. Особое внимание уделяется случаю независимых целочисленных случайных величин. Получены новые результаты для разнораспределенных слагаемых с использованием поправки Чебышёва–Эджворта, содержащей моменты третьего порядка. ...
Added: October 24, 2021
Bobkov S., , in: Geometric Aspects of Functional AnalysisVol. 1: Israel Seminar (GAFA) 2017-2019.: Springer, 2020. Ch. 5 P. 71–97.
We consider rates of approximation of distributions of weighted sums of independent, identically distributed random variables by the Edgeworth correction of the 4-th order. ...
Added: August 2, 2020
Gribkova N., Probability and Mathematical Statistics 2017 Vol. 37 No. 1 P. 101–118
In this paper, we propose a new approach to the investigation of asymptotic properties of trimmed L-statistics and we apply it to the Cramér type large deviation problem. Our results can be compared with those in Callaert et al. (1982) – the first and, as far as we know, the single article where some results ...
Added: February 28, 2020
Molchanov S., Panov V., Stochastics-An International Journal of Probability and Stochastic Processes 2019 Vol. 91 No. 5 P. 754–772
In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. More precisely, the distribution of the energy levels is assumed to be a mixture of two normal distributions, one of which is standard normal, ...
Added: November 19, 2018
Panov V., Statistics and Probability Letters 2017 Vol. 129 P. 379–386
In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level depend on the number of summands. The aim of this research is to characterize the limiting distributions ...
Added: July 10, 2017
Panov V., / Series arXiv "math". 2017. No. 1703.10463.
In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level depend on the number of summands. The aim of this research is to characterize the limiting distributions ...
Added: March 31, 2017
Nazarova V., Ульзутуева Б. Д., Управление финансовыми рисками 2016 № 1 (45) С. 42–57
The first part of the issue gives general information about foreign exchange market (FOREX), review of forecasting foreign exchange rate is given. In addition we will consider the new model of nonlinear analysis to give a broader theoretical basis to the research - an artificial neural network (ANN).The nonlinear analysis and the ANN is still ...
Added: February 13, 2017
Molchanov S., Whitmeyer J., Applicable Analysis 2015
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Added: June 22, 2016
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2015 № 6 С. 33–40
The article presents the analysis of the measures of risk non-financial company. Identified key risk metrics. If justified the use of EVaR models. Developed methodical recommendations on the use of EVaR in stress-testing company. ...
Added: March 12, 2016
Shvets S. K., Известия Санкт-Петербургского государственного экономического университета 2015 № 5 С. 72–77
In the article analysis of metrics for risk assessment in non-financial companies. Indentified key determinants of cost metrics RiskMetrics, CorporateMetrics and Stress-testing. The methodical aspects of development in risk assessment using simulation (Monte-Carlo). ...
Added: March 12, 2016
Sergeyev V., Каталова В. С., Логистика и управление цепями поставок 2014 № 4 С. 38–54
The paper considers the problem of estimating sensitivity of the company’s business performance (in particular return on assets (ROA) to the logistics key performance indicators (logistics KPIs). Different impact of each logistics lever (service, costs, performance of the logistics department staff, return of assets, etc.) reflects on the logistics controlling and reporting system of the ...
Added: February 18, 2015
Кибзун А., Goryainova E. R., Наумов А. В., М.: Физматлит, 2014.
Учебник предназначен для начального ознакомления с основами теории вероятностей и математической статистики и развития навыков решения практических задач.
Большое внимание уделено краткости изложения полного курса «Теории вероятностей и математической статистики», состоящего из теоретического и практического материала. Структура изложения максимально приближена к лекционным и практическим занятиям. Книга может одновременно играть роль учебника, задачника и справочника.
Учебник предназначен для ...
Added: December 18, 2014
Penikas H. I., Прикладная эконометрика 2014 Т. 35 № 3 С. 18–38
Paper is devoted to comparison of various copula models application to investment portfolio risk measurement. Elliptical, Archimedean and hierarchical copulas are considered in the research. The analysis undertaken has shown that hierarchical Clayton model enables to evaluate investment portfolio risks more precisely given the criteria of risk measures such as expected shortfall (ES) and Value-at-Risk ...
Added: September 21, 2014
Nazarova V., Khrabrova V. E., Известия Международной академии аграрного образования 2013 № 19 С. 182–189
The paper deals with the following urgent problems: mechanisms of the deal-making process in the Russian grain market, risk insurance, and problems of using these instruments. ...
Added: March 19, 2014
Кибзун А., Goryainova E. R., Наумов А. В., М.: Физматлит, 2013.
Учебник предназначен для начального ознакомления с основами теории вероятностей и математической статистики и развития навыков решения практических задач. Большое внимание уделено краткости изложения полного курса «Теории вероятностей и математической статистики», состоящего из теоретического и практического материала. Структура изложения максимально приближена к лекционным и практическим занятиям. Книга может одновременно играть роль учебника, задачника и справочника. Учебник ...
Added: January 4, 2014