1000 resultados para liquidity function
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Magdeburg, Univ., Fak. für Humanwiss., Diss., 2015
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Magdeburg, Univ., Fak. für Naturwiss., Diss., 2015
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Magdeburg, Univ., Fak. für Naturwiss., Diss., 2015
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Otto-von-Guericke-Universität Magdeburg, Fakultät für Naturwissenschaften, Univ., Dissertation, 2015
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Otto-von-Guericke-Universität magdeburg, Fakultät für Naturwissenschaften, Dissertation, 2015
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v.22:no.3(1938)
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Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.
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Vegeu el resum a l'inici del document del fitxer adjunt
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Vegeu el resum a l'inici del document del fitxer adjunt.
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"Vegeu el resum a l'inici del document del fitxer adjunt"
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"Vegeu el resum a l'inici del document del fitxer adjunt."
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We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals a part of the information he owns, but he also induces the other traders to reveal more of their private information. The presence of different types of information decreases market liquidity and induces non-monotonicity of the market indicators with respect to the variance of liquidation value. Replacing the noise introduced by liquidity traders with a random supply also allows us to study the effect the shocks on different components of supply have on prices and quantities.
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We study quadratic perturbations of the integrable system (1+x)dH; where H =(x²+y²)=2: We prove that the first three Melnikov functions associated to the perturbed system give rise at most to three limit cycles.