|
Efficiency (finance)
In finance, marginal conditional stochastic dominance is a condition under which a portfolio can be improved in the eyes of all risk-averse investors by incrementally moving funds out of one asset (or one sub-group of the portfolio's assets) and into another. Each risk-averse investor is assumed to maximize the expected value of an increasing, concave von Neumann-Morgenstern utility function. All such investors prefer portfolio B over portfolio A if the portfolio return of B is second-order stochastically dominant over that of A; roughly speaking this means that the density function of A's return can be formed from that of B's return by pushing some of the probability mass of B's return to the left (which is disliked by all increasing utility functions) and then spreading out some of the density mass (which is disliked by all concave utility functions). If a portfolio A is marginally conditionally stochastically dominated by some incrementally different portfolio B, then it is s ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finance
Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Administration wich study the planning, organizing, leading, and controlling of an organization's resources to achieve its goals. Based on the scope of financial activities in financial systems, the discipline can be divided into Personal finance, personal, Corporate finance, corporate, and public finance. In these financial systems, assets are bought, sold, or traded as financial instruments, such as Currency, currencies, loans, Bond (finance), bonds, Share (finance), shares, stocks, Option (finance), options, Futures contract, futures, etc. Assets can also be banked, Investment, invested, and Insurance, insured to maximize value and minimize loss. In practice, Financial risk, risks are always present in any financial action and entities. Due ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Risk Aversion
In economics and finance, risk aversion is the tendency of people to prefer outcomes with low uncertainty to those outcomes with high uncertainty, even if the average outcome of the latter is equal to or higher in monetary value than the more certain outcome. Risk aversion explains the inclination to agree to a situation with a lower average payoff that is more predictable rather than another situation with a less predictable payoff that is higher on average. For example, a risk-averse investor might choose to put their money into a bank account with a low but guaranteed interest rate, rather than into a stock that may have high expected returns, but also involves a chance of losing value. Example A person is given the choice between two scenarios: one with a guaranteed payoff, and one with a risky payoff with same average value. In the former scenario, the person receives $50. In the uncertain scenario, a coin is flipped to decide whether the person receives $100 or nothing. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Management Science (journal)
''Management Science'' is a peer-reviewed academic journal that covers research on all aspects of management related to strategy, entrepreneurship, innovation, information technology, and organizations as well as all functional areas of business, such as accounting, finance, marketing, and operations. It is published by the Institute for Operations Research and the Management Sciences and was established in 1954 by the institute's precursor, the Institute of Management Sciences. C. West Churchman was the founding editor-in-chief. According to the ''Journal Citation Reports'', the journal has a 2022 impact factor of 5.4. Editors-in-chief The following persons are, or have been, editors-in-chief: *2018–2023: David Simchi-Levi *2014–2018: Teck-Hua Ho *2009–2014: Gérard Cachon *2003–2008: Wallace Hopp *1997–2002: Hau L. Lee *1993–1997: Gabriel R. Bitran *1983–1990: Donald G. Morrison *1968–1983: Martin K. Starr *1960–1967: Robert M. Thrall *1954–1960: C ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Von Neumann-Morgenstern Utility Function
The expected utility hypothesis is a foundational assumption in mathematical economics concerning decision making under uncertainty. It postulates that rational agents maximize utility, meaning the subjective desirability of their actions. Rational choice theory, a cornerstone of microeconomics, builds this postulate to model aggregate social behaviour. The expected utility hypothesis states an agent chooses between risky prospects by comparing expected utility values (i.e., the weighted sum of adding the respective utility values of payoffs multiplied by their probabilities). The summarised formula for expected utility is U(p)=\sum u(x_k)p_k where p_k is the probability that outcome indexed by k with payoff x_k is realized, and function ''u'' expresses the utility of each respective payoff. Graphically the curvature of the u function captures the agent's risk attitude. For example, imagine you’re offered a choice between receiving $50 for sure, or flipping a coin to win $100 if ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Return (finance)
In finance, return is a profit on an investment. It comprises any change in value of the investment, and/or cash flows (or securities, or other investments) which the investor receives from that investment over a specified time period, such as interest payments, coupons, cash dividends and stock dividends. It may be measured either in absolute terms (e.g., dollars) or as a percentage of the amount invested. The latter is also called the holding period return. A loss instead of a profit is described as a '' negative return'', assuming the amount invested is greater than zero. To compare returns over time periods of different lengths on an equal basis, it is useful to convert each return into a return over a period of time of a standard length. The result of the conversion is called the rate of return. Typically, the period of time is a year, in which case the rate of return is also called the annualized return, and the conversion process, described below, is called ''annualiz ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stochastic Dominance
Stochastic dominance is a Partially ordered set, partial order between random variables. It is a form of stochastic ordering. The concept arises in decision theory and decision analysis in situations where one gamble (a probability distribution over possible outcomes, also known as prospects) can be ranked as superior to another gamble for a broad class of decision-makers. It is based on shared preference (economics), preferences regarding sets of possible outcomes and their associated probabilities. Only limited knowledge of preferences is required for determining dominance. Risk aversion is a factor only in second order stochastic dominance. Stochastic dominance does not give a total order, but rather only a partial order: for some pairs of gambles, neither one stochastically dominates the other, since different members of the broad class of decision-makers will differ regarding which gamble is preferable without them generally being considered to be equally attractive. Through ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Density Function
In probability theory, a probability density function (PDF), density function, or density of an absolutely continuous random variable, is a Function (mathematics), function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can be interpreted as providing a ''relative likelihood'' that the value of the random variable would be equal to that sample. Probability density is the probability per unit length, in other words, while the ''absolute likelihood'' for a continuous random variable to take on any particular value is 0 (since there is an infinite set of possible values to begin with), the value of the PDF at two different samples can be used to infer, in any particular draw of the random variable, how much more likely it is that the random variable would be close to one sample compared to the other sample. More precisely, the PDF is used to specify the probability of the random variable falling ''within ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modern Portfolio Theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of Diversification (finance), diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. The variance of return (or its transformation, the standard deviation) is used as a measure of risk, because it is tractable when assets are combined into portfolios. Often, the historical variance and covariance of returns is used as a proxy for the forward-looking versions of these quantities, but other, more sophisticated methods are available. Economist Harry Markowitz introduced MPT in a 1952 paper, for which he was later awarded a Nobel Memorial ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Shlomo Yitzhaki (economics)
Shlomo Yitzhaki (; 17 January 1944 – 17 April 2023) was an Israeli economist and the Sam M. Cohodas Professor Emeritus of Agricultural economics at the Hebrew University of Jerusalem. From 2002 to 2012 he served as the chief statistician and director of the Israeli Central Bureau of Statistics. Life and career Yitzhaki was born on 17 January 1944. He earned his Ph.D. in economics from the Hebrew University in 1976. He spent a year as a visiting scholar at Harvard University, and then returned to Jerusalem as a lecturer in 1977. From 1981 to 1982 he worked as a research economist at the National Bureau of Economic Research. In 1982 he returned to academia as a senior lecturer at Hebrew University, where he remained until his death. He joined the faculty as an associate professor in 1990, and earned his tenure in 1993. In 2008 he was granted emeritus status. Yitzhaki first consulted as an economist at the World Bank in 1986, and was appointed director of the Central Bureau of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Linear Programming
Linear programming (LP), also called linear optimization, is a method to achieve the best outcome (such as maximum profit or lowest cost) in a mathematical model whose requirements and objective are represented by linear function#As a polynomial function, linear relationships. Linear programming is a special case of mathematical programming (also known as mathematical optimization). More formally, linear programming is a technique for the mathematical optimization, optimization of a linear objective function, subject to linear equality and linear inequality Constraint (mathematics), constraints. Its feasible region is a convex polytope, which is a set defined as the intersection (mathematics), intersection of finitely many Half-space (geometry), half spaces, each of which is defined by a linear inequality. Its objective function is a real number, real-valued affine function, affine (linear) function defined on this polytope. A linear programming algorithm finds a point in the po ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Journal Of Finance
''The Journal of Finance'' is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946. The editor-in-chief is Antoinette Schoar. According to the ''Journal Citation Reports'', the journal has a 2021 impact factor of 7.870, ranking it 6th out of 111 journals in the category "Business, Finance" and 16th out of 381 journals in the category "Economics". Editors The editorial board consists of the editor, co-editors, and associate editors. The current editor is Antoinette Schoar (MIT). The following persons are or have been editor-in-chief of the journal: Awards Each year the associate editors vote for the best papers published in the journal. The Smith Breeden Prize is awarded for the best finance papers and the Brattle Prize for the best corporate finance Corporate finance is an area of finance that deals with the sources of funding, and the capital structure of businesses, the actions that managers ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Review Of Financial Studies
''The Review of Financial Studies'' is a peer-reviewed academic journal covering the field of finance. It is published by Oxford University Press on behalf of the Society for Financial Studies. It was established following discussions at the 1986 Western Finance Association meetings, and the first issue was published in 1988. The current editor-in-chief is Tarun Ramadorai. It is considered to be one of the premier finance journals. According to the ''Journal Citation Reports'', the journal has a 2020 impact factor of 5.814, ranking it 5/110 in the category "BUSINESS, FINANCE". Editors The following persons are or have been editors-in-chief: * Tarun Ramadorai (Imperial College London, 2024--present) * Itay Goldstein (University of Pennsylvania, 2018–2024) *Andrew Karolyi (Cornell University, 2014–2018) * David Hirshleifer (UC Irvine, 2011–2014) * Matthew Spiegel (Yale University, 2005–2011) * Maureen O'Hara (Cornell University, 2000–2005) * Ravi Jagannathan (Northwest ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
