Search results for "Return"

Derivatives not first return integrable on a fractal set

2018

We extend to s-dimensional fractal sets the notion of first return integral (Definition 5) and we prove that there are s-derivatives not s-first return integrable.

The Effect of the Return of Serve on the Server Pair’s Movement Parameters and Rally Outcome in Padel Using Cluster Analysis

2019

Purpose: The pressure exerted on racket sports players by the service has been well documented. Whilst the return of serve has been suggested through qualitative interviews as being of similar importance there is a dearth of quantitative data to support this contention. This study analyzed time, speed, and distance parameters related to the outcome of the return of serve (ROS) in Padel, a sport similar to tennis but played on a court bounded by walls and played in doubles format only. Methods: Matches (n = 18) at two tournaments, sanctioned by the Valencian Federation, in 2012 were recorded and processed using Tracker software. ROS shot type (flat or lob), ball location, players’ positions …

CORRELATIONS AMONG FORWARD RETURNS IN THE NORDIC ELECTRICITY MARKET

2009

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return correlations. Specifically, the relation between correlations and temporal separation does not seem to be invariant across segments of the electricity forward market or trading periods.

Contributions to the study of educational returns

2016

In Tunisia, enrollment rates in tertiary education had soared up over the past two decades. A significant increase of student annual flows imposed the implementation of reforms that led to an increase in the number of higher education institutions and universities. One of the challenges in Tunisia and many African countries is to improve the efficiency of education systems to promote employability and graduates employment. This thesis discuss the question of the efficiency of education from an economic approach based on returns to education in the labor market. The first chapter analyses private returns to education particularly higher education in African countries. Our findings highlight …

Value preserving portfolio strategies in continuous-time models

1997

We present a new approach for continuous-time portfolio strategies that relies on the principle of value preservation. This principle was developed by Hellwig (1987) for general economic decision and pricing models. The key idea is that an investor should try to consume only so much of his portfolio return that the future ability of the portfolio should be kept constant over time. This ensures that the portfolio will be a long lasting source of income. We define a continuous-time market setting to apply the idea of Hellwig to securities markets with continuous trading and examine existence (and uniqueness) of value-preserving strategies in some widely used market models. Further, we discuss…

How to best return the value of a function

1989

Fuzzy Mathematical Programming for Portfolio Management

2000

The classical portfolio selection problem was formulated by Markowitz in the 1950s as a quadratic programming problem in which the risk variance is minimized. Since then, many other models have been considered and their associated mathematical programming formulations can be viewed as dynamic, stochastic or static decision problems. In our opinion, the model formulation depends essentially on two factors: the data nature and the treatment given to the risk and return goals. In this communication, we consider several approaches to deal with the data uncertainty for different classical formulations of the portfolio problem. We make use of duality theory and fuzzy programming techniques to ana…

Aggregation of preferences for skewed asset returns

2014

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …

Does a global wealth tax reduce inequality? When Piketty meets Mankiw

2020

Abstract We investigate the effects of a wealth tax on consumption and wealth inequality in a standard small open economy model featuring labour income heterogeneity. We show that consumption inequality and wealth inequality are identical in the long run if consumption growth exceeds output growth. Under this condition, the wealth tax reduces long run inequality under two additional conditions. First, the difference between the rate of return on wealth and the growth rate, r − g , is higher than a positive threshold. Second, the tax rate is lower than a cap which rises in r − g but decreases in labour income heterogeneity.

A comment on mortgage procylicality

2012

This paper comments on mortgage procyclicality. A framework for credit constraints along the lines of Kiyotaki and Moore (1997) is applied to illustrate a potential regime shift in the credit risk assessments of mortgagees. Depending on the relationship between house price growth and the alternative rate of return the weight given to collateral and debt-servicing ability may vary according to the house price cycle as mortgagees engage in search-for-yield. The regime shifts induced by increased global liquidity and expectations of continued housing appreciation might stimulate owner-occupation and LTV-ratios and induce mortgage procyclicality.