With the introduction of the“dual carbon”goal and the continuous promotion of low-carbon development,the integrated energy system(IES)has gradually become an effective way to save energy and reduce emissions.This st...With the introduction of the“dual carbon”goal and the continuous promotion of low-carbon development,the integrated energy system(IES)has gradually become an effective way to save energy and reduce emissions.This study proposes a low-carbon economic optimization scheduling model for an IES that considers carbon trading costs.With the goal of minimizing the total operating cost of the IES and considering the transferable and curtailable characteristics of the electric and thermal flexible loads,an optimal scheduling model of the IES that considers the cost of carbon trading and flexible loads on the user side was established.The role of flexible loads in improving the economy of an energy system was investigated using examples,and the rationality and effectiveness of the study were verified through a comparative analysis of different scenarios.The results showed that the total cost of the system in different scenarios was reduced by 18.04%,9.1%,3.35%,and 7.03%,respectively,whereas the total carbon emissions of the system were reduced by 65.28%,20.63%,3.85%,and 18.03%,respectively,when the carbon trading cost and demand-side flexible electric and thermal load responses were considered simultaneously.Flexible electrical and thermal loads did not have the same impact on the system performance.In the analyzed case,the total cost and carbon emissions of the system when only the flexible electrical load response was considered were lower than those when only the flexible thermal load response was taken into account.Photovoltaics have an excess of carbon trading credits and can profit from selling them,whereas other devices have an excess of carbon trading and need to buy carbon credits.展开更多
Thucydides asserts that the occupation of Decelea by the Spartans in 413 BC made the grain supply for Athens costly by forcing the transport from land onto the sea.This calls into question the well-established consens...Thucydides asserts that the occupation of Decelea by the Spartans in 413 BC made the grain supply for Athens costly by forcing the transport from land onto the sea.This calls into question the well-established consensus that sea transport was far cheaper than land transport.This paper contends that the cost of protecting supply lines-specifically the expenses associated with the warships which escorted the supply ships-rendered the grain transported on the new route exceptionally costly.In this paper,the benefits and drawbacks of a maritime economy,including transaction costs,trade dependencies,and the capabilities of warships and supply ships are discussed.展开更多
We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and transaction costs when dividends occur. The management of ...We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and transaction costs when dividends occur. The management of the company controls the reinsurance rate, the timing and the amount of dividends paid out to maximize the expected total dividends paid out to the shareholders until ruin time. By solving the corresponding quasi-variational inequality, we obtain the optimal return function and the optimal strategy.展开更多
The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading fo...The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility. Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.展开更多
This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the prob...This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.展开更多
In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed ...In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Computational results are reported for test problems with the data randomly generated and those from the US stock market.展开更多
This study examines the transaction costs of collaborative watershed management in the Cuyahoga River Area of Concern(AOC)—one of the 43 geographic areas designated by the U.S.and Canada Great Lakes Water Quality Agr...This study examines the transaction costs of collaborative watershed management in the Cuyahoga River Area of Concern(AOC)—one of the 43 geographic areas designated by the U.S.and Canada Great Lakes Water Quality Agreement(GLWQA),where significant impairment of beneficial uses has occurred as a result of human activities.The Cuyahoga River is located in Northeast Ohio,the U.S.and flows through the City of Cleveland before draining into Lake Erie—one of the five Great Lakes of North America.The watershed is degraded due to municipal and agricultural discharges,streambank erosion,and contamination from urban and industrial sources.This research explores how a diverse group of stakeholders convened under the Cuyahoga River AOC Advisory Committee to share information,coordinate activities,agree on activities that restore beneficial uses,and support strategic management actions.In this study,23 semi-structured interviews with members of the advisory committee were conducted between January 28,2020 and April 20,2020,with follow-up emails and phone calls as needed to corroborate information.A review of research articles and government documents supported the interviews,including United States Environmental Protection Agency(U.S.EPA)and Ohio Environment Production Agency(OEPA)reports on the GLWQA and Cuyahoga River Remedial Action Plans.A third source of data is from direct participant observation at quarterly meetings of the advisory committee during 2017–2020,binational AOC conferences in 2017 and 2019,and other professional events geared towards restoring the Cuyahoga River AOC in 2016–2020.Results of this study include a set of recommendations to help guide group structure and decision-making processes,including(1)employing best available technology to organize AOC events and disseminate information;(2)supporting new members with an orientation and/or mentor to clearly define formal and informal committee rules;(3)assuring equal access to detailed information on management action plans with a real time dashboard;(4)updating voting procedures and the prioritization of management actions;and(5)better incorporating underrepresented local communities and highlevel decision makers from municipalities,government agencies,and nongovernmental organizations located within the Cuyahoga River AOC.Results help to explain the collaborative process within the advisory committee and measure the institutional performance of the advisory committee in terms of efficiency,equitability,accountability,and adaptability.展开更多
In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower...In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims.展开更多
To some two\|period economies with countable infinite state spaces, the existence of expectation equilibrium of real asset economies with transaction costs is given. This work extends the researches of Zame in 1993.
This paper investigates on the relative costs of operations of microfinance institutions(MFIs)in Cameroon with regard to their ownership forms.We extracted data from MIX Market which included 31 MFIs over the period 2...This paper investigates on the relative costs of operations of microfinance institutions(MFIs)in Cameroon with regard to their ownership forms.We extracted data from MIX Market which included 31 MFIs over the period 2001-2017.On processing data though a multinomial logistic regression,we found out that affiliated Credit Unions were the most cost-efficient organisational form,but the portfolio efficiency was nearly the same all across ownership patterns.Affiliated Credit Unions underwent the lowest operating expenses whereas Microbanks significantly reported the highest financial expenses.Also,we did not find any significant differences between personnel productivity across ownership forms.展开更多
In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injec...In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends, and the penalized discounted both capital injections and ruin penalty during the horizon, which is described by the minimum of the time of ruin and an exponential random variable. The explicit solutions for optimal strategy and value function are obtained, when the income jumps follow a hyper-exponential distribution.Besides, some numerical examples are presented to illustrate our results.展开更多
The paper extends Merton’s Probability of Default(PD)model to the case for transaction costs or market friction for estimation of the PDs of listed banking corporations.A closed form formula for the PD model is obtai...The paper extends Merton’s Probability of Default(PD)model to the case for transaction costs or market friction for estimation of the PDs of listed banking corporations.A closed form formula for the PD model is obtained and validated using financial data drawn from banks listed on the Zimbabwe Stock Exchange(ZSE).It has been observed that most corporations in emerging economies have been finding it extremely difficult to list,continue listed or manage risk emanating from credit exposures undertaken.In the absence of risk the role of the financial sector of an economy to efficiently and effectively allocate resources between the public and private sectors would be simplified,economically and rationally determined.Reliable or precise computation of the Probability of Default(PD)of a borrower is one of the most critical tasks in credit risk management for commercial banks that were applying the Internal Rating Based Approach(IRBA)under the Basel Capital Accords Ⅱ and Ⅲ frameworks.The study sought to develop a Probability of Default(PD)model that banking corporations in emerging economies such as Zimbabwe could adopt and implement in the Multiple Currency System(MCS)in their desire to grow and develop through their lending businesses.The research study adopted a PD model similar to the Asset Valuation Model(AVM)by Merton(1974)and initially extended by Black-Scholes(1973)and Crouhy et al.(2000)and applied it on a basket of Zimbabwe Stock Exchange listed counters after having adjusted the model for the transaction cost variable.The study therefore succeeded in coming up with a PD model that was worth adopting and implementing by Zimbabwe Stock Exchange(ZSE)listed corporations in their desire to grow towards sustainable development.It was realised that a contemporary PD model adjusted for transaction cost is pertinent for reflection of practical conditions banks face in estimation of their risk metrics such as PD.Transaction costs faced by banks in emerging economies are very huge that they cannot be assumed to be insignificant when it comes to valuation of PDs of banking corporations.The inclusion of transaction costs in estimation of PDs of ZSE listed banks is likely to create a paradigm shift in financial theory on risk metrics in the modern world.The study ends by recommending the need for all Zimbabwean listed corporations to adopt and implement an AVM adjusted for transaction costs if they were to successfully measure and manage both their investment and credit exposure endeavours in the multiple currency system period.展开更多
Over the years,many scholars have conducted a wealth of empirical research on the effectiveness of technical indicator analysis in the financial market,and the conclusions are obviously different.Among them,two progra...Over the years,many scholars have conducted a wealth of empirical research on the effectiveness of technical indicator analysis in the financial market,and the conclusions are obviously different.Among them,two program trading models based on RSI and CCI indicators achieve an annual return rate of more than 180%in the empirical research of palm oil futures program trading,but the amount of data used in this study is too small,and the transaction cost is not considered.As the actual trading process has the characteristics that investors pay more attention to the sustainability of the model's profitability,and that investors’trading varieties are diverse and with high transaction cost,this paper further verifies the sustainability and general applicability of these two models:using the closing price of 1-day and 30-minute K-line of 18 kinds of commodity futures in recent 10 years to investigate the changes of annual return rate,maximum withdrawal ratio etc.under different transaction costs and K-line cycles.The results show that the model’s profitability is time-varying,and the transaction cost has a greater influence on the rate of return of 30-minute K-lines than that of 1-day K-lines.展开更多
In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both pro...In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company's capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems: one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company's reserve above zero by issuing new equity, depending on the model's parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.展开更多
In this paper, a European-type contingent claim pricing problem withtransaction costs is considered by a mean-variance hedging argument. The investor has to paytransaction costs which are proportional to the amount of...In this paper, a European-type contingent claim pricing problem withtransaction costs is considered by a mean-variance hedging argument. The investor has to paytransaction costs which are proportional to the amount of stock transacted. The writer's hedgingobject is to minimize the hedging risk, defined as the variance of hedging error at expiration, witha proper expected excess return level. At first, we consider the mean-variance hedging problem: forinitial hedging wealth f, maximizing the excess expected return under the minimum hedging risklevel V_0. On the other hand, we consider a mean-variance portfolio problem, which is to maximizethe expected return with initial wealth 0 under the same risk level V_0. The minimum initial hedgingwealth f, which can offset the difference of the maximum expected return of these two problems, isthe writer's price.展开更多
In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk an...In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy展开更多
In the present paper,we focus on the diverging behavior of discrecte hedging error with transaction costs.We added the hedging cost to the error directly.The main idea is to divide the hedging error into two parts:the...In the present paper,we focus on the diverging behavior of discrecte hedging error with transaction costs.We added the hedging cost to the error directly.The main idea is to divide the hedging error into two parts:the pure hedging error and transaction cost of rebalance.The later part will be diverged when hedging number n goes to infinity.Firstly we show an upper bound of diverging part,which is O(√n)of rebalancing number n,then we prove both the upper bound and the lower bound of discrete hedging error with transaction costs are of√n order,finally we give an approximation of hedging error to determine the coefficient in front of√n.The main technique in the proof is Itô’s formula,L’Hopital’s rule and three important lemmas in[Yuri,Kabanov,Mher,Safarian.Markets with Transaction Costs.Springer-Verlag,Berlin,Heidelberg,2009].The numerical result support our theoretical conclusion.展开更多
This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial diffe...This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial differential equation(PDE)that an option value process inclusive of transaction costs should satisfy is provided.In particular,the closed-form expression of a European call option price is given.Meanwhile,the CVaR-based partial hedging strategy for a call option is derived explicitly.Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility.We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method.Furthermore,our results are implemented to derive target clients’survival probabilities and age of equity-linked life insurance contracts.展开更多
The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futur...The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futures market was studied.展开更多
The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a opt...The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.展开更多
基金supported by State Grid Shanxi Electric Power Company Science and Technology Project“Research on key technologies of carbon tracking and carbon evaluation for new power system”(Grant:520530230005)。
文摘With the introduction of the“dual carbon”goal and the continuous promotion of low-carbon development,the integrated energy system(IES)has gradually become an effective way to save energy and reduce emissions.This study proposes a low-carbon economic optimization scheduling model for an IES that considers carbon trading costs.With the goal of minimizing the total operating cost of the IES and considering the transferable and curtailable characteristics of the electric and thermal flexible loads,an optimal scheduling model of the IES that considers the cost of carbon trading and flexible loads on the user side was established.The role of flexible loads in improving the economy of an energy system was investigated using examples,and the rationality and effectiveness of the study were verified through a comparative analysis of different scenarios.The results showed that the total cost of the system in different scenarios was reduced by 18.04%,9.1%,3.35%,and 7.03%,respectively,whereas the total carbon emissions of the system were reduced by 65.28%,20.63%,3.85%,and 18.03%,respectively,when the carbon trading cost and demand-side flexible electric and thermal load responses were considered simultaneously.Flexible electrical and thermal loads did not have the same impact on the system performance.In the analyzed case,the total cost and carbon emissions of the system when only the flexible electrical load response was considered were lower than those when only the flexible thermal load response was taken into account.Photovoltaics have an excess of carbon trading credits and can profit from selling them,whereas other devices have an excess of carbon trading and need to buy carbon credits.
文摘Thucydides asserts that the occupation of Decelea by the Spartans in 413 BC made the grain supply for Athens costly by forcing the transport from land onto the sea.This calls into question the well-established consensus that sea transport was far cheaper than land transport.This paper contends that the cost of protecting supply lines-specifically the expenses associated with the warships which escorted the supply ships-rendered the grain transported on the new route exceptionally costly.In this paper,the benefits and drawbacks of a maritime economy,including transaction costs,trade dependencies,and the capabilities of warships and supply ships are discussed.
基金Supported by the National Natural Science Foundation of China(11371284)
文摘We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and transaction costs when dividends occur. The management of the company controls the reinsurance rate, the timing and the amount of dividends paid out to maximize the expected total dividends paid out to the shareholders until ruin time. By solving the corresponding quasi-variational inequality, we obtain the optimal return function and the optimal strategy.
基金Supported by the Natural Science Foundation of Zhejiang Province (Y604137) the Altitude College Natural Science Foundation of JiangSu Province (KY205017).
文摘The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility. Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases.
基金Supported by the Key Grant Project of Chinese Ministry of Education (NO.309018)National Natural Science Foundation of China (NO.70973104,NO.11171304)Zhejiang Provincial Natural Science Foundation of China (NO.Y6110023)
文摘This paper concerns optimal investment problem with proportional transaction costs and finite time horizon based on exponential utility function. Using a partial differential equation approach, we reveal that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies. Numerical examples are obtained by the binomial method.
基金supported by the National Natural Science Foundation of China (Grant Nos.70671064,70518001)
文摘In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Computational results are reported for test problems with the data randomly generated and those from the US stock market.
文摘This study examines the transaction costs of collaborative watershed management in the Cuyahoga River Area of Concern(AOC)—one of the 43 geographic areas designated by the U.S.and Canada Great Lakes Water Quality Agreement(GLWQA),where significant impairment of beneficial uses has occurred as a result of human activities.The Cuyahoga River is located in Northeast Ohio,the U.S.and flows through the City of Cleveland before draining into Lake Erie—one of the five Great Lakes of North America.The watershed is degraded due to municipal and agricultural discharges,streambank erosion,and contamination from urban and industrial sources.This research explores how a diverse group of stakeholders convened under the Cuyahoga River AOC Advisory Committee to share information,coordinate activities,agree on activities that restore beneficial uses,and support strategic management actions.In this study,23 semi-structured interviews with members of the advisory committee were conducted between January 28,2020 and April 20,2020,with follow-up emails and phone calls as needed to corroborate information.A review of research articles and government documents supported the interviews,including United States Environmental Protection Agency(U.S.EPA)and Ohio Environment Production Agency(OEPA)reports on the GLWQA and Cuyahoga River Remedial Action Plans.A third source of data is from direct participant observation at quarterly meetings of the advisory committee during 2017–2020,binational AOC conferences in 2017 and 2019,and other professional events geared towards restoring the Cuyahoga River AOC in 2016–2020.Results of this study include a set of recommendations to help guide group structure and decision-making processes,including(1)employing best available technology to organize AOC events and disseminate information;(2)supporting new members with an orientation and/or mentor to clearly define formal and informal committee rules;(3)assuring equal access to detailed information on management action plans with a real time dashboard;(4)updating voting procedures and the prioritization of management actions;and(5)better incorporating underrepresented local communities and highlevel decision makers from municipalities,government agencies,and nongovernmental organizations located within the Cuyahoga River AOC.Results help to explain the collaborative process within the advisory committee and measure the institutional performance of the advisory committee in terms of efficiency,equitability,accountability,and adaptability.
基金This work was supported in part by the National Science Foundation of China(No.101310310) the National Distinguished Youth Science Foundation of China(No.10325101) the Chinese Education Ministry Science Foundation(No.20030246004) the Natural Science Foundation of Zhejiang Province(No.Y605478).
文摘In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims.
文摘To some two\|period economies with countable infinite state spaces, the existence of expectation equilibrium of real asset economies with transaction costs is given. This work extends the researches of Zame in 1993.
文摘This paper investigates on the relative costs of operations of microfinance institutions(MFIs)in Cameroon with regard to their ownership forms.We extracted data from MIX Market which included 31 MFIs over the period 2001-2017.On processing data though a multinomial logistic regression,we found out that affiliated Credit Unions were the most cost-efficient organisational form,but the portfolio efficiency was nearly the same all across ownership patterns.Affiliated Credit Unions underwent the lowest operating expenses whereas Microbanks significantly reported the highest financial expenses.Also,we did not find any significant differences between personnel productivity across ownership forms.
基金Supported by the National Natural Science Foundation of China(11231005)Promotive research fund for excellent young and middle-aged scientists of Shandong Province(BS2014SF006)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(15KJB110009)
文摘In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends, and the penalized discounted both capital injections and ruin penalty during the horizon, which is described by the minimum of the time of ruin and an exponential random variable. The explicit solutions for optimal strategy and value function are obtained, when the income jumps follow a hyper-exponential distribution.Besides, some numerical examples are presented to illustrate our results.
文摘The paper extends Merton’s Probability of Default(PD)model to the case for transaction costs or market friction for estimation of the PDs of listed banking corporations.A closed form formula for the PD model is obtained and validated using financial data drawn from banks listed on the Zimbabwe Stock Exchange(ZSE).It has been observed that most corporations in emerging economies have been finding it extremely difficult to list,continue listed or manage risk emanating from credit exposures undertaken.In the absence of risk the role of the financial sector of an economy to efficiently and effectively allocate resources between the public and private sectors would be simplified,economically and rationally determined.Reliable or precise computation of the Probability of Default(PD)of a borrower is one of the most critical tasks in credit risk management for commercial banks that were applying the Internal Rating Based Approach(IRBA)under the Basel Capital Accords Ⅱ and Ⅲ frameworks.The study sought to develop a Probability of Default(PD)model that banking corporations in emerging economies such as Zimbabwe could adopt and implement in the Multiple Currency System(MCS)in their desire to grow and develop through their lending businesses.The research study adopted a PD model similar to the Asset Valuation Model(AVM)by Merton(1974)and initially extended by Black-Scholes(1973)and Crouhy et al.(2000)and applied it on a basket of Zimbabwe Stock Exchange listed counters after having adjusted the model for the transaction cost variable.The study therefore succeeded in coming up with a PD model that was worth adopting and implementing by Zimbabwe Stock Exchange(ZSE)listed corporations in their desire to grow towards sustainable development.It was realised that a contemporary PD model adjusted for transaction cost is pertinent for reflection of practical conditions banks face in estimation of their risk metrics such as PD.Transaction costs faced by banks in emerging economies are very huge that they cannot be assumed to be insignificant when it comes to valuation of PDs of banking corporations.The inclusion of transaction costs in estimation of PDs of ZSE listed banks is likely to create a paradigm shift in financial theory on risk metrics in the modern world.The study ends by recommending the need for all Zimbabwean listed corporations to adopt and implement an AVM adjusted for transaction costs if they were to successfully measure and manage both their investment and credit exposure endeavours in the multiple currency system period.
基金This research is partially supported by:(1)Key R&D Plan of Guangxi(Project No.:2017AB17011)Basic Competency Promotion Project for College and University Young Teachers of Guangxi(Project No.:2017KY0600)Academic Research Project of Guangxi University of Finance and Economics(Project No.:2016YBKT14).
文摘Over the years,many scholars have conducted a wealth of empirical research on the effectiveness of technical indicator analysis in the financial market,and the conclusions are obviously different.Among them,two program trading models based on RSI and CCI indicators achieve an annual return rate of more than 180%in the empirical research of palm oil futures program trading,but the amount of data used in this study is too small,and the transaction cost is not considered.As the actual trading process has the characteristics that investors pay more attention to the sustainability of the model's profitability,and that investors’trading varieties are diverse and with high transaction cost,this paper further verifies the sustainability and general applicability of these two models:using the closing price of 1-day and 30-minute K-line of 18 kinds of commodity futures in recent 10 years to investigate the changes of annual return rate,maximum withdrawal ratio etc.under different transaction costs and K-line cycles.The results show that the model’s profitability is time-varying,and the transaction cost has a greater influence on the rate of return of 30-minute K-lines than that of 1-day K-lines.
基金partially supported by grants of the National Natural Science Foundation of China(Nos.71231008,71201173,71301031,71471045)Natural Science Foundation of Guangdong Province of China(No.S2013010011959)the Post-Doctoral Foundation of China(Nos.2012M510195,2014T70796)
文摘In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company's capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems: one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company's reserve above zero by issuing new equity, depending on the model's parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.
文摘In this paper, a European-type contingent claim pricing problem withtransaction costs is considered by a mean-variance hedging argument. The investor has to paytransaction costs which are proportional to the amount of stock transacted. The writer's hedgingobject is to minimize the hedging risk, defined as the variance of hedging error at expiration, witha proper expected excess return level. At first, we consider the mean-variance hedging problem: forinitial hedging wealth f, maximizing the excess expected return under the minimum hedging risklevel V_0. On the other hand, we consider a mean-variance portfolio problem, which is to maximizethe expected return with initial wealth 0 under the same risk level V_0. The minimum initial hedgingwealth f, which can offset the difference of the maximum expected return of these two problems, isthe writer's price.
基金The first author was supported by the National Natural Science Foundation of China (Grant Nos. 11001139, 11171164) and the Specialized Research Fund for the Doctoral Program of Higher Education (Grant No. 20100031120002). The second author was supported by the National Natural Science Foundation of China (Grant No. 11101225).
文摘In this paper, we consider the dividend optimization problem for a financial corporation with transaction costs. Besides the dividend control, the financial corporation takes proportional reinsurance to reduce risk and the surplus earns interest at the constant force p 〉 0. Because of the presence of fixed transaction costs, the problem becomes a mixed classical-impulse stochastic control problem. We solve this problem explicitly and construct the value function together with the optimal policy
文摘In the present paper,we focus on the diverging behavior of discrecte hedging error with transaction costs.We added the hedging cost to the error directly.The main idea is to divide the hedging error into two parts:the pure hedging error and transaction cost of rebalance.The later part will be diverged when hedging number n goes to infinity.Firstly we show an upper bound of diverging part,which is O(√n)of rebalancing number n,then we prove both the upper bound and the lower bound of discrete hedging error with transaction costs are of√n order,finally we give an approximation of hedging error to determine the coefficient in front of√n.The main technique in the proof is Itô’s formula,L’Hopital’s rule and three important lemmas in[Yuri,Kabanov,Mher,Safarian.Markets with Transaction Costs.Springer-Verlag,Berlin,Heidelberg,2009].The numerical result support our theoretical conclusion.
基金Natural Sciences and Engineering Research Council of Canada(Grant No.RES0043487).
文摘This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial differential equation(PDE)that an option value process inclusive of transaction costs should satisfy is provided.In particular,the closed-form expression of a European call option price is given.Meanwhile,the CVaR-based partial hedging strategy for a call option is derived explicitly.Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility.We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method.Furthermore,our results are implemented to derive target clients’survival probabilities and age of equity-linked life insurance contracts.
基金This paper is supported by National Nature Science Foundation of China ( No. 7993 0 60 0 79970 0 1 979870 0 77)
文摘The developing stock markets of China are waiting to see derivative securities such as stock\|index futures. In this paper, based on the theory of behavioral finance,investment behavior under transaction cost in futures market was studied.
基金Supported by the National Natural Sciences Foundation of China.
文摘The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.