Formation of investment portfolios of two assets based on forecast returns using the ARFIMA-GARCH model

The hypothesis that the formation of investment portfolios of two assets based on predicted returns obtained using fractal models with conditional heteroscedasticity ARFIMA-GARCH allows to obtain portfolios with better characteristics than using the ARFIM

Подобные документы

  • The role of corporate bonds in a particular country. Analysis of the financial situation of construction companies. The ratio of debt and equity financing for countries. Issue of bonds for the implementation of large investment projects by industry.

    ??????, добавлен 13.12.2020

  • The studying and analyzing of the current state of the international investment activity, to identify its influence on national economies, to find the main competitive advantages of the world leading companies of the global information technology market.

    ??????, добавлен 16.11.2018

  • Introduction to the concept of net present value. The study of the major differences between investment decisions and decisions on funding. The study of the essence of efficient capital markets. The content of the six lessons of market efficiency.

    ???????????, добавлен 02.08.2013

  • Financial stability as a basis for the development of sectors and society as a whole. Increased attention to the mechanisms of implementation of financial stability in Ukraine. The degree of development of investment policy and the banking system.

    ??????, добавлен 23.09.2016

  • Research and systematization corresponding methods and tools in the context of investment monitoring, with an emphasis on the level of financial development. ?ssessing the financial health of corporations. Entrepreneurial risk, bankruptcy predicting.

    ??????, добавлен 03.02.2021

  • ?????????? ?????? — ????? ??????? ????????, ?????????????? ????? ?????????? ???????: ???????? ???????? ? ?????? ??????. ????????? ?????? ? ??????????? ?? ????????? ?????????? ???????. ?????? ?????? ?????????? ??????? Capital Assets Pricing Model.

    ??????????? ??????, добавлен 08.12.2009

  • ??????? ??????????? ??????????. ??????, ??????????? ????? ????? ?????? ? ??????????? ????????: Capital Assets Pricing Model, Fama-French. ?????? ???????? ????? ???????? ???????? ?????, ??????. ????? ???????????? ????????: ???????? Farinelli–Tibiletti.

    ???????? ??????, добавлен 10.07.2012

  • Influence of factors of the entrepreneurial climate of the region on the process of formation of competitive advantages of the enterprise. Ensuring income generation, formation of financial results, creation of conditions for maneuvering fund funds.

    ??????, добавлен 12.05.2024

  • ?????????? ??????????? ???????? ??? ?????????? ????????? ?????? ?????. ??????? ?????????????????? ?????????? ?? ?????????? ???????? ?????????. ?????????? ?????? GARCH ??? ?????????? ??????????. ?????????? ??????? ?? ???????????? ? ?????????? ??????.

    ????????? ??????, добавлен 11.08.2017

  • The process of investing in energy saving measures of industrial enterprises is analyzed. The main stages of the investment research project implementation have been reasoned. The optimal program for financing energy-saving measures is calculated.

    ??????, добавлен 25.09.2016

  • The rate of price inflation in the United States. The trend-cycle model with stochastic volatility explains a variety of recent univariate inflation forecasting difficulties and begins to explain some multivariate inflation forecasting puzzles as well.

    ??????, добавлен 28.06.2013

  • ?????????? ???????? ?????? ????????????? ?? ???????? ????????? ?????? Capital Assets Pricing Model (??PM). ??????? ?????????? ?? ????????? ??????????? ?????????? ?????? ????????????? ?? ????????? ?????? ??PM. ?????? ????????????? ???????? ???????.

    ??????, добавлен 31.12.2018

  • Researching definition of current assets and their classification. Analysis of general characteristics of cash and cash equivalents, cashless payment forms. Accounting for cash on hand, for the money on current accounts and for cash on card accounts.

    ???????, добавлен 12.04.2015

  • ???????????? ?????????????? ???????? ????? ? ?????????? ??????? ??????????? ?????????????. ?????????? ?????????????? ??????? ????? ? ?????????? ???????????? ????????????? ??? ????????? ???????????? ??????? ???????????????????? ???????? ?????? ?????.

    ??????, добавлен 24.11.2020

  • ??? ???????? ?????? ??????????? ?????, ??????? ????????? ?? ???? ????????: ?? ???? ?????-???? (card-based) (??????????? ???????) ? ?? ???? ????? (network-based) (??????? ??????). ??????? ?????????????? ????????? ?????? ? ?????????? ???????? ?????????.

    ??????, добавлен 16.08.2018

  • Researching the value of analysts' recommendations and identifying a market in which analysts have more predictive power. Studying the degree of reaction of stock prices to a specific recommendation. The appearance of abnormal returns on a security.

    ????????? ??????, добавлен 10.12.2019

  • The theoretical aspects of Netflix functioning. Netflix business model, financial structure and earnings and investment statistics, organizational structure are analyzed. Comprehensive analysis of the company's work was performed using different methods.

    ???????? ??????, добавлен 25.01.2021

  • A study of investment strategies volatility. The advantages of trading options in the stock market. The concept, nature and characteristics strategies options Straddle, creating a positive return without any cost for transactions using this strategy.

    ??????????? ??????, добавлен 20.03.2016

  • The influence of Brexit on the financial markets through the media coverage. Application of the social media analysis to such unique event. Econometric analysis of daily returns of FTSE and DJA with number of publications as one of exogenous variables.

    ????????? ??????, добавлен 07.09.2018

  • The research intends to utilize a method to provide empirically the impact of financial crises in Lithuania, Austria and Kazakhstan, using dummy variable, non-Linear exponential model, Generalized autoregressive conditional heteroskedasticity model.

    ??????, добавлен 26.06.2018

  • Bank loans as the main financial instruments of the enterprise. Control market danger exposures within acceptable parameters, while optimising returns - one of the objective of risk management. Profitability analysis of United Company "RUSAL" PLC.

    ???????????, добавлен 26.06.2016

  • A structural general equilibrium model of a small open economy using Bayesian methods. the conduct of monetary policy in Australia, Canada, New Zealand and the U.K. Test to investigate the hypothesis whether central banks do respond to exchange rates.

    ??????? ??????, добавлен 28.06.2013

  • It is shown the main business indicators system of diagnostics of formation and costs of the enterprise in Ukraine. Also found that as a result of violation of tax legislation of Ukraine, the manager of the enterprise can be applied to legal liability.

    ??????, добавлен 16.08.2017

  • Reduce total costs of goods and services as one of the essential thing in the implementation of cost-leadership strategy. Characteristics of the general scheme of different indicators evaluation in the process of the financial condition analysis.

    ??????, добавлен 26.09.2016

  • The problem of correct pricing. Asset pricing as one of the main problems of financial markets. The efficiency market hypothesis. Speculative bubble is a phenomenon in the financial market when the market price exceeds the fundamental value of an asset.

    ????????? ??????, добавлен 07.09.2018

Работы в архивах красиво оформлены согласно требованиям ВУЗов и содержат рисунки, диаграммы, формулы и т.д.
PPT, PPTX и PDF-файлы представлены только в архивах.
Рекомендуем скачать работу и оценить ее, кликнув по соответствующей звездочке.