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Delegated asset management, investment mandates, and capital immobility
Institutional frictions Negatively skewed risk Tracking error constraints Market segmentation
2014/3/18
This paper develops a model to explain the widely used investment mandates in the
institutional asset management industry based on two insights: first, giving a manager
more investment fl...
Global Capital Flows and National Policy Choices
Discipline effect capital flows mood swings inflation deficit
2014/7/7
This paper studies whether changes in global financial environment have induced governments to pursue better policies (the “discipline effect”).The evidence indicates that financial globalization has ...
China is faced with three colossal tasks in the area of open macroeconomic reform: reform of exchange rate regime, capital movement liberalization and financial system reform. China is making preparat...
In this paper we propose a look at the capital risk problem inspired by deterministic, known from classical mechanics, problem of juggling. We propose capital equivalents to the Newton's laws of moti...
Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
Convex Risk Measures Lebesgue Property Period Multi Period Risk Measures Application Capital Allocation Problem
2010/12/17
In this work we study the Lebesgue property for convex risk measures on the space of bounded c\`adl\`ag random processes ($\mathcal{R}^\infty$). Lebesgue property has been defined for one period conv...