Advances in Investment Analysis and Portfolio Management, by Cheng-Few Lee

By Cheng-Few Lee

This study annual e-book intends to compile funding research and portfolio idea and their implementation to portfolio administration. It seeks theoretical and empirical learn manuscripts with prime quality within the zone of funding and portfolio research. The contents will include unique study on: the rules of portfolio administration of equities and fixed-income securities. The review of portfolios (or mutual cash) of universal shares, bonds, overseas resources, and strategies. The dynamic means of portfolio administration. innovations of overseas investments and portfolio administration. The purposes of precious and significant analytical strategies similar to arithmetic, econometrics, records, and pcs within the box of funding and portfolio administration. Theoretical learn with regards to thoughts and futures. moreover, it additionally comprises articles that current and look at new and significant accounting, monetary, and fiscal facts for coping with and comparing portfolios of dicy resources.

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Extra info for Advances in Investment Analysis and Portfolio Management, Volume 8, Volume 8

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NOTES * The earlier version of this paper was presented at the Seventh Conference on Pacific Basin Finance, Economics and Accounting. 1. Tian (1993) illustrates that the CRR binomial model needs more than twice the number of time steps to obtain the same accuracy of Boyle’s (1998) trinomial model with pricing error within 1% of the true value for plain vanilla options. Thus, a trinomial model for pricing plain vanilla options has faster convergence than a binomial model, if we compare the computing time.

Trinomial Tree for Valuing an American Up-and-In Put Option on a Stock Price. Valuation and Hedging of American-style Lookback and Barrier Options 31 Fig. 5(a). The Convergence Performance of Using Binomial and Trinomial Methods to Price European Up-and-In Put Options. Fig. 5(b). The Convergence Performance of Using Binomial and Trinomial Methods to Price European Up-and-Out Put Options. 32 CHUANG-CHANG CHANG AND SAN-LIN CHUNG Table 1. Prices for the European and American Barrier Options. 25. However, this is no longer true for the American-style options.

Xt can be represented by the following common factor model Xt = ␪ft + X˜ t (4) where ft is an m ϫ 1 vector of I(1) common stochastic trends, ␪ is a n ϫ m loading matrix, and Xt is an n ϫ 1 vector of I(0) transitory components. The common factor ft is given by ft = ␣⊥Ј Xt (5) –1 ␪ = ␤⊥(␣⊥Ј ␤⊥) (6) where ␣⊥ is a n ϫ m matrix of full rank and orthogonal to ␣ and ␤, respectively. Based on the framework of Johansen (1991), and particularly on the duality between the stationary relations and the common stochastic trends, Gonzalo and Granger (1995) develop the maximum likelihood estimator of ␣⊥.

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