Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962-1997 period. We show that by 2003 volatility falls back to pre-1990s levels. ...Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility through the 1990s was not a time trend but, rather, an episodic phenomenon, at least partially associated with retail investors. Results from cross-sectional regressions, conditional trend estimation, stock-split events, and "attentiongrabbing" events are consistent with a retail trading effect.
ABSTRACT
Private equity funds intermediate investment and affect portfolio firm performance by actively engaging in operational, governance, and financial engineering. We study this type of ...intermediation in a dynamic agency model in which an active intermediary raises funds from outside investors and invests in a firm run by an agent. Optimal contracting addresses moral hazard at the intermediary and firm levels. The intermediary's incentives to affect firm performance are strongest after poor performance, while the agent's incentives are strongest after good performance. We also show how financial engineering, that is, financial contracting with outside investors, interacts with operational and governance engineering.
Various versions of inertial subgradient extragradient methods for solving variational inequalities have been and continue to be studied extensively in the literature. In many of the versions that ...were proposed and studied, the inertial factor, which speeds up the convergence of the method, is assumed to be less than 1, and in many cases, stringent conditions are also required in order to obtain convergence. Several of the conditions assumed in the literature make the proposed inertial subgradient extragradient method computationally difficult to implement in some cases. In the present paper, we investigate the subgradient extragradient algorithm for solving variational inequality problems in real Hilbert spaces and consider it with inertial extrapolation terms and self-adaptive step sizes. We present a relaxed version of this method with seemingly easier to implement conditions on the inertial factor and the relaxation parameter. In the method we propose, the inertial factor can be chosen in a special case to be 1, a choice which is not possible in the inertial subgradient extragradient methods proposed in the literature. We also provide some numerical examples which illustrate the effectiveness and competitiveness of our algorithm.
This paper presents an efficient and compact MATLAB code for three-dimensional stress-based sensitivity analysis. The 146 lines code includes the finite element analysis and p-norm stress sensitivity ...analysis based on the adjoint method. The 3D sensitivity analysis for p-norm global stress measure is derived and explained in detail accompanied by corresponding MATLAB code. The correctness of the analytical sensitivity is verified by comparison with finite difference approximation. The nonlinear optimization solver is chosen as the Method of moving asymptotes (MMA). Three typical volume-constrained stress minimization problems are presented to verify the effectiveness of sensitivity analysis code. The MATLAB code presented in this paper can be extended to resolve different stress related 3D topology optimization problems. The complete program for sensitivity analysis is given in the Appendix and is intended for educational purposes. MATLAB code is additionally provided in electronic supplementary material for a simple cantilever beam optimization.
This study developed specific criteria and a fuzzy analytic network process (FANP) to assess and select portfolios on the Tehran Stock Exchange (TSE). Although the portfolio selection problem has ...been widely investigated, most studies have focused on income and risk as the main decision-making criteria. However, there are many other important criteria that have been neglected. To fill this gap, first, a literature review was conducted to determine the main criteria for portfolio selection, and a Likert-type questionnaire was then used to finalize a list of criteria. Second, the finalized criteria were applied in an FANP to rank 10 different TSE portfolios. The results indicated that profitability, growth, market, and risk are the most important criteria for portfolio selection. Additionally, portfolios 6, 7, 2, 4, 8, 1, 5, 3, 9, and 10 (A6, A7, A2, A4, A8, A1, A5, A3, A9, and A10) were found to be the best choices. Implications and directions for future research are discussed.
We consider a discrete-time linear state equation with delay, which arises as a model for a trader's account value when buying and selling a risky asset in a financial market. The state equation ...includes a nonnegative feedback gain <inline-formula><tex-math notation="LaTeX">\alpha</tex-math></inline-formula> and a sequence <inline-formula><tex-math notation="LaTeX">v(k)</tex-math></inline-formula>, which models asset returns that are within known bounds but otherwise arbitrary. We introduce two thresholds, <inline-formula><tex-math notation="LaTeX">\alpha _-</tex-math></inline-formula> and <inline-formula><tex-math notation="LaTeX">\alpha _+</tex-math></inline-formula>, depending on these bounds, and prove that for <inline-formula><tex-math notation="LaTeX">\alpha < \alpha _-</tex-math></inline-formula>, state positivity is guaranteed for all time and all asset-return sequences, i.e., bankruptcy is ruled out and positive solutions of the state equation are continuable indefinitely. On the other hand, for <inline-formula><tex-math notation="LaTeX">\alpha > \alpha _+</tex-math></inline-formula>, we show that there is always a sequence of asset returns for which the state fails to be positive for all time, i.e., along this sequence, bankruptcy occurs and the solution of the state equation ceases to be meaningful after some finite time. Finally, this article also includes a conjecture, which says that for the "gap" interval <inline-formula><tex-math notation="LaTeX">\alpha _- \leq \alpha \leq \alpha _+,</tex-math></inline-formula> state positivity is also guaranteed for all time. Support for the conjecture, both theoretical and computational, is provided.
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