FISHER TOTAL FACTOR PRODUCTIVITY INDEX FOR TIME SERIES DATA WITH UNKNOWN PRICES. Thanh Ngo ψ School of Aviation, Massey University, New Zealand

Size: px
Start display at page:

Download "FISHER TOTAL FACTOR PRODUCTIVITY INDEX FOR TIME SERIES DATA WITH UNKNOWN PRICES. Thanh Ngo ψ School of Aviation, Massey University, New Zealand"

Transcription

1 FISHER TOTAL FACTOR PRODUCTIVITY INDEX FOR TIME SERIES DATA WITH UNKNOWN PRICES Thanh Ngo ψ School of Aviation, Massey University, New Zealand David Tripe School of Economics and Finance, Massey University, New Zealand This version: October 2016 PLEASE DO NOT CITE WITHOUT PERMISSION Abstract This paper proposes a straightforward way to estimate the Fisher ideal total factor productivity index (FI) in cases that price information is not available with time series data. By using the shadow prices derived from data envelopment analysis, a nonparametric frontier technique, we can compute the shadow price Fisher index (SPFI) that effectively estimates the true FI with relatively small (and stable) errors. The accuracy of the SPFI, compared to the true FI measure, is examined using a simple Monte-Carlo experiment. Keywords: Fisher index, total factor productivity, shadow price, data envelopment analysis, Monte-Carlo simulation ψ Corresponding author. Tel.: T.Ngo@massey.ac.nz 1

2 1. Introduction Productivity assessment has long been the interest of researchers analysing firm performance, especially for accounting for growth over time. There are two main approaches to measure total factor productivity (TFP) growth, referred to as the axiomatic and the economic approaches (Diewert, 1992; Diewert & Nakamura, 2003). The former approach, more traditional in the literature, requires information on input/output quantities and their prices at different periods (from time series data) to construct an ideal TFP index that has a number of axiomatic properties (e.g. the Fisher ideal TFP index in Diewert, 1992). The biggest problem, however, is that economic data is often available in terms of value data (Cross & Färe, 2009, 2015) or quantity data (Silva Portela, 2014), i.e. the prices are unobserved. In contrast, the economic approach requires some assumptions (e.g. production or cost functions) to be made; which in turn allows for the calculation of an TFP index using only input/output quantities (e.g. the Malmquist TFP index in Caves, Christensen, & Diewert, 1982; Färe, Grosskopf, Norris, & Zhang, 1994). We note that the economic approach still (indirectly) uses the shadow prices, i.e. the estimated prices of inputs and outputs based on economic theory and the firm s behaviours, in its TFP calculation: it first estimates the common (production or cost or profit) frontier for all firms, then compares firms from different periods (and frontiers) to measure their TFP changes over time (Färe et al., 1994; Färe, Grosskopf, & Roos, 1998; Kerstens & Woestyne, 2014; Kuosmanen & Sipiläinen, 2009). Nevertheless, it requires panel data and thus is a detour from the origin of the axiomatic approach as a time series analysis. The main argument of the current paper is that, if one can estimate the shadow prices of inputs and outputs using the economic approach, one can easily use them for the construction of an axiomatic TFP index, e.g. the Fisher TFP index. 1 Therefore, in this article, we will show that it is possible to estimate the so-called shadow prices Fisher ideal TFP index (SPFI) from quantity data 2 so that it can effectively measure the true Fisher index (FI). In what follows, we first briefly explain how the nonparametric technique of Data Envelopment Analysis (DEA) is used to estimate the shadow prices of inputs and outputs, and how shadow prices can be directly applied into the process of calculating the SPFI. In section 3, we present the idea of using a simple Monte-Carlo experiment to evaluate the accuracy of our SPFI. Results are presented and discussed in section 4. We then conclude. 2. Nonparametric shadow prices for SPFI The original idea of DEA is to find the optimal multipliers (weights) that can maximize the ratio of weighted outputs to weighted inputs, i.e., the efficiency score of the selected firm, for firms in an industry. Theoretically, these weights show how inputs and outputs can be combined in the production function (or cost/profit functions) of the firm and thus explaining the hidden relationship (and thus the name shadow prices ) among their prices. For a set of n firms each using m inputs (i=1,,m) to produce s outputs 1 Diewert (1992) listed 20 properties that an index should have, and concluded that the Fisher ideal TFP index (FI) is the unique function that satisfies all these requirements. 2 In this sense, our paper differs from the works of Cross and Färe (2015) and Silva Portela (2014) where they estimated prices and quantities from value data while we estimate the (shadow) prices from quantity data. 2

3 (r=1,,s), a certain j 0 -th firm can maximize its constant-return-to-scale (CRS) efficiency by solving the following non-linear fractional programming problem: 3 =, subject to: 1, =1,..,,, 0, # =1,..,$, % =1,..,, (1) In this article, our approach is slightly different. We consider t period-observations of a certain firm that forms a time series production frontier. 4 Hence, Eq. (1) can be used to estimate the shadow prices (and efficiency) of that firm in different periods. Once these shadow prices are estimated, they can replace the true prices in the Fisher output quantity index and the Fisher input quantity index, following Diewert (1992), Färe and Grosskopf (1992), Diewert and Nakamura (2003), among others: & '( ),*, ),* +=, () * ( ) ) ( * * ( * )- *// is the Fisher output quantity index (2) & '0 ),*, ),* +=, 0) * 0 ) ) 0 * * 0 * )- *// is the Fisher input quantity index (3) where p and w are the real output and input prices in the two periods 0 and 1, respectively. Consequently, the SPFI is SPFI ),* = 1 ) * ) ) * * * )2 *// 1 ) * ) ) * * * )2 *// FI ),* = & '( ),*, ),* + & '0 ),*, ),* + (4) where u and v are the shadow prices of outputs and inputs estimated from Eq. (1) above in the two periods 0 and 1, respectively. 3. Monte-Carlo simulation and the accuracy of SPFI We evaluate the accuracy of our SPFI measure using a simple Monte-Carlo simulation, similar to the experiment of Giraleas, Emrouznejad, and Thanassoulis (2012). For the first period, S input quantities ( *, /,, 5 ) and a single output quantity were randomly drawn from a uniform distribution in the range (10, 20). 5 Consequently, S corresponding input prices (0 *,0 /,,0 5 ) were also randomly selected from a uniform 3 The CRS DEA model which was introduced by Charnes, Cooper, and Rhodes (1978) is used because of its simplification. Once can easily extend the model for the assumption of variable-returns-to-scale following Banker, Charnes, and Cooper (1984). 4 This is also called a k-specific intertemporal production sets (Tulkens & vanden Eeckaut, 1995). However, one can still use the proposed method for cross-sectional or panel data as well. 5 This is to make sure that data in the subsequent periods, after alternated by the productivity-factor 67, are nonnegative. 3

4 distribution U(0, 1). The output price ( is then determined following the zero economic profit theory, i.e. by equating total revenues to total costs: 0 * * +0 / / =( (5) ( = '0 * * +0 / / (6) For the ': 1+ subsequent periods, input and output quantities were scaled by ': 1+ random, normally-distributed numbers follow <'0,67+ with the default value of 67 is 0.1. We also examine the cases where 67 =0.25 and 67 = By increasing 67, we allow input and output quantities to be more volatile over time and thus increase the volatility of (, according to Eq. (6). In terms of time series analysis, it also means that the changes of productivity over time will become larger, i.e. higher fluctuation of FI over time. Consequently, the efficiency estimated using Eq. (1) will be more volatile between periods, resulting in a higher volatility of the SPFI. Meanwhile, input and output prices were randomly generated similar to that of the first period. Using the above simulation data, we can compute the true Fisher index (FI) employing information on 6 input quantities, 6 input prices, an output, and an output price (. We also can compute the SPFI using the shadow prices estimated from a DEA model employing 6 input quantities and the output. We then analyse the accuracy of the SPFI using the mean absolute deviation (?@7), the root mean square error (A?6) and the accuracy level (@B) as follows. 7 I?@7 = 1 C D1 : E 6GH H K J* (7) A?6 = 1 C L1 : '6GH H + / = 1 C 1 H 6GH 2 (9) where C is the number of simulations. According to equations (7)-(9), the SPFI will be more accurate or closely estimating the true FI when?@7 and A?6 are small and is closer to unity. In addition to the above tests for measurement errors, we also employ a nonparametric test for the correlation between the SPFI and the true FI results. Therefore, we also report the average Spearman s ranking correlation coefficients (6G) between SPFI and FI as well as the number of cases that this coefficient was statistically significant at 10% level of significance ( 6G). 4. Results 6 These values are chosen following Giraleas et al. (2012). We, however, also examine for the case of 67 =0.5 since our analysis is bases on time series data in which the volatility over time may be higher than that of crosssectional data as in Giraleas et al. (2012). 7 Giraleas et al. (2012) employed?@7 and the mean square error (?6), a different version of the A?6, for their accuracy analysis. Meanwhile, was used in Cross and Färe (2015). 4

5 We report the accuracy of the SPFI for several experiments where we increase the number of inputs (6), the number of periods (:) and the data s volatility (SD), with respect to 300 simulations (i.e. C =300), 8 in comparison with the true FI. 9 The?@7, 6G and 6G between the two measures of different experiments are presented in Table 1, Table 2 and Table 3 below, where the volatility increased from 67 =0.1 to 67 =0.25 and 67 =0.5, respectively. S = 1 S = 3 S = 5 K MAD RMSE AC SP nsp Table 1. Summary accuracy results with low volatility (67 =0.10) S = 1 S = 3 S = 5 K MAD RMSE AC SP nsp Table 2. Summary accuracy results with moderate volatility (67 =0.25) S = 1 S = 3 S = 5 K MAD RMSE AC SP nsp Table 3. Summary accuracy results with high volatility (67 =0.5) First, we observe that for the case of one input and one output (i.e. 6 =1), in all of the three tables, the?@7$ and A?6$ equal to zero while equal to unity, indicating that the SPFI is identical to the true FI. We argue that for the case of single-input and single-output, DEA requires the least estimation so that the shadow prices ( and ) can capture the relationship between the true prices (( and 0) and thus the SPFI is free from estimation error. 10 Second, with low volatility data (i.e. 67 =0.10), increase the length of periods (:) and/or the number of inputs (6) has no impact on the accuracy of the SPFI. In fact, it makes the correlation between SPFI and the true FI became stronger, reflects in higher 6G and 8 We chose C =300 following Cross and Färe (2015). We also tested for the case that C =500 but no significant improvements were found, so we conclude that 300 simulations are sufficient. 9 We analysed the cases of 6 values from 0 to 5 and : values between 10 and 30 because most DEA applications involve less than 5 inputs and within a period of 30 years. 10 Although the shadow prices estimated from DEA may not be identical with the true prices. 5

6 6G (the bottom two rows of Table 1). For moderate and high volatility data, increase in the number of inputs slightly decreases the accuracy level of the SPFI but it is still acceptable as the increments were only from 10 to 20 percentage points (in terms A?6 while increase in the number of periods makes the SPFI became more consistent (in terms of 6G and 6G) see Tables 2 and 3. Consequently, we suggest that the SPFI results are robust and consistent, and it is thus a good estimate of the true FI even when data on prices are unobservable. Third, the highest errors in?@7, A?6 are found in the case of the highest volatility, highest number of inputs, and highest number of periods (see Table 3 for the case that 6 =5 and : =50). It is reasonable because more estimation is now involved and DEA becomes (relatively) less efficient in terms of computing the true relationship between the prices. However, consistent with the previous discussion, since the 6G and 6G were high enough, we still conclude that the SPFI can effectively estimate the true FI Conclusions In this paper, we propose a straightforward way to estimate the Fisher ideal (FI) total factor productivity index, namely the shadow prices Fisher ideal TFP index (SPFI), using time series data. This is a new application of the shadow prices estimated from the nonparametric approach of Data Envelopment Analysis (DEA) in cases that price information are not available and data exists in the form of time series. To measure the accuracy of the SPFI, we used a simple Monte-Carlo experiment where the number of inputs, the length of the time series, the volatility of prices and quantities are varied. We conclude that the SPFI effectively estimates the true FI with relatively small (and stable) errors. We did not examine the shadow prices estimation with more advance DEA models such as the variable returns to scale assumption (Banker et al., 1984) or using the slack-based measures (Tone, 2001). We also did not decompose the SPFI to make it comparable with other DEA methods in estimating TFP change over time like that of the Malmquist-DEA (Färe et al., 1994). We leave these extensions for future research. 11 It is also confirmed that, among frontier-based approaches such as Growth Accounting, Stochastic Frontier Analysis, DEA or Corrected Ordinary Least Squares, DEA can produce the smallest measurement errors (Giraleas et al., 2012), although this study is based on the Malmquist TFP indices. 6

7 References Banker, R. D., Charnes, A., & Cooper, W. W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management Science, 30(9), Caves, D. W., Christensen, L. R., & Diewert, W. E. (1982). The economic theory of index numbers and the measurement of input, output and productivity. Econometrica, 50, Charnes, A., Cooper, W. W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2, Cross, R. M., & Färe, R. (2009). Value data and the Bennet price and quantity indicators. Economics Letters, 102(1), Cross, R. M., & Färe, R. (2015). Value Data and the Fisher Index. Theoretical Economics Letters, 5(2), Diewert, W. E. (1992). Fisher ideal output, input, and productivity indexes revisited. Journal of Productivity Analysis, 3(3), Diewert, W. E., & Nakamura, A. O. (2003). Index Number Concepts, Measures and Decompositions of Productivity Growth. [journal article]. Journal of Productivity Analysis, 19(2), doi: /a: Färe, R., & Grosskopf, S. (1992). Malmquist Productivity Indexes and Fisher Ideal Indexes. Economic Journal, 102(410), Färe, R., Grosskopf, S., Norris, M., & Zhang, Z. (1994). Productivity growth, technical progress, and efficiency change in industrialized countries. American Economic Review 84(1), Färe, R., Grosskopf, S., & Roos, P. (1998). Malmquist Productivity Indexes: A Survey of Theory and Practice. In R. Färe, S. Grosskopf & R. R. Russell (Eds.), Index Numbers: Essays in Honour of Sten Malmquist (pp ): Springer Netherlands. Giraleas, D., Emrouznejad, A., & Thanassoulis, E. (2012). Productivity change using growth accounting and frontier-based approaches Evidence from a Monte Carlo analysis. European Journal of Operational Research, 222(3), Kerstens, K., & Woestyne, I. V. d. (2014). Comparing Malmquist and Hicks Moorsteen productivity indices: Exploring the impact of unbalanced vs. balanced panel data. European Journal of Operational Research, 233, Kuosmanen, T., & Sipiläinen, T. (2009). Exact decomposition of the Fisher ideal total factor productivity index. Journal of Productivity Analysis, 31(3), Silva Portela, M. C. A. (2014). Value and quantity data in economic and technical efficiency measurement. Economics Letters, 124(1), Tone, K. (2001). A slacks-based measure of efficiency in data envelopment analysis. European Journal of Operational Research, 130(3), Tulkens, H., & vanden Eeckaut, P. (1995). Non-parametric efficiency, progress and regress measures for panel data: Methodological and aspects. European Journal of Operational Research, 80,

Measuring Efficiency of Foreign Banks in the United States

Measuring Efficiency of Foreign Banks in the United States Measuring Efficiency of Foreign Banks in the United States Joon J. Park Associate Professor, Department of Business Administration University of Arkansas at Pine Bluff 1200 North University Drive, Pine

More information

Centre for Efficiency and Productivity Analysis

Centre for Efficiency and Productivity Analysis Centre for Efficiency and Productivity Analysis Working Paper Series No. WP03/2015 Decompositions of Profitability Change Using Cost Functions: A Comment E. Grifell-Tatjé, C. A. K. Lovell Date: March 2015

More information

Evaluating Total Factor Productivity Growth of Commercial Banks in Sri Lanka: An Application of Malmquist Index

Evaluating Total Factor Productivity Growth of Commercial Banks in Sri Lanka: An Application of Malmquist Index Evaluating Total Factor Productivity Growth of Commercial Banks in Sri Lanka: An Application of Malmquist Index A.Thayaparan, Vavuniya Campus of the University of Jaffna, Sri Lanka T.Pratheepan, Vavuniya

More information

A Study of the Efficiency of Polish Foundries Using Data Envelopment Analysis

A Study of the Efficiency of Polish Foundries Using Data Envelopment Analysis A R C H I V E S of F O U N D R Y E N G I N E E R I N G DOI: 10.1515/afe-2017-0039 Published quarterly as the organ of the Foundry Commission of the Polish Academy of Sciences ISSN (2299-2944) Volume 17

More information

Financial performance measurement with the use of financial ratios: case of Mongolian companies

Financial performance measurement with the use of financial ratios: case of Mongolian companies Financial performance measurement with the use of financial ratios: case of Mongolian companies B. BATCHIMEG University of Debrecen, Faculty of Economics and Business, Department of Finance, bayaraa.batchimeg@econ.unideb.hu

More information

On the Distributional Assumptions in the StoNED model

On the Distributional Assumptions in the StoNED model INSTITUTT FOR FORETAKSØKONOMI DEPARTMENT OF BUSINESS AND MANAGEMENT SCIENCE FOR 24 2015 ISSN: 1500-4066 September 2015 Discussion paper On the Distributional Assumptions in the StoNED model BY Xiaomei

More information

PARAMETRIC AND NON-PARAMETRIC BOOTSTRAP: A SIMULATION STUDY FOR A LINEAR REGRESSION WITH RESIDUALS FROM A MIXTURE OF LAPLACE DISTRIBUTIONS

PARAMETRIC AND NON-PARAMETRIC BOOTSTRAP: A SIMULATION STUDY FOR A LINEAR REGRESSION WITH RESIDUALS FROM A MIXTURE OF LAPLACE DISTRIBUTIONS PARAMETRIC AND NON-PARAMETRIC BOOTSTRAP: A SIMULATION STUDY FOR A LINEAR REGRESSION WITH RESIDUALS FROM A MIXTURE OF LAPLACE DISTRIBUTIONS Melfi Alrasheedi School of Business, King Faisal University, Saudi

More information

Technical Efficiency of Management wise Schools in Secondary School Examinations of Andhra Pradesh by CCR Model

Technical Efficiency of Management wise Schools in Secondary School Examinations of Andhra Pradesh by CCR Model IOSR Journal of Mathematics (IOSR-JM) e-issn: 78-578, p-issn: 319-765X. Volume 13, Issue 1 Ver. II (Jan. - Feb. 017), PP 01-08 www.iosrjournals.org Technical Efficiency of Management wise Schools in Secondary

More information

Alternative VaR Models

Alternative VaR Models Alternative VaR Models Neil Roeth, Senior Risk Developer, TFG Financial Systems. 15 th July 2015 Abstract We describe a variety of VaR models in terms of their key attributes and differences, e.g., parametric

More information

Measuring and managing market risk June 2003

Measuring and managing market risk June 2003 Page 1 of 8 Measuring and managing market risk June 2003 Investment management is largely concerned with risk management. In the management of the Petroleum Fund, considerable emphasis is therefore placed

More information

Measuring the Performance of the Banking System Case of Vietnam ( )

Measuring the Performance of the Banking System Case of Vietnam ( ) Journal of Applied Finance & Banking, vol.2, no.2, 2012, 289-312 ISSN: 1792-6580 (print version), 1792-6599 (online) International Scientific Press, 2012 Measuring the Performance of the Banking System

More information

What Determines the Banking Sector Performance in Globalized. Financial Markets: The Case of Turkey?

What Determines the Banking Sector Performance in Globalized. Financial Markets: The Case of Turkey? What Determines the Banking Sector Performance in Globalized Financial Markets: The Case of Turkey? Ahmet Faruk Aysan Boğaziçi University, Department of Economics Şanli Pinar Ceyhan Bilgi University, Department

More information

Fitting financial time series returns distributions: a mixture normality approach

Fitting financial time series returns distributions: a mixture normality approach Fitting financial time series returns distributions: a mixture normality approach Riccardo Bramante and Diego Zappa * Abstract Value at Risk has emerged as a useful tool to risk management. A relevant

More information

EDITORIAL - Data Envelopment Analysis for performance measurement in developing countries

EDITORIAL - Data Envelopment Analysis for performance measurement in developing countries CENTRAL EUROPEAN REVIEW OF ECONOMICS AND MANAGEMENT ISSN 2543-9472; eissn 2544-0365 Vol. 1, No. 4, 7-11, December 2017 www.cerem-review.eu www.ojs.wsb.wroclaw.pl EDITORIAL - Data Envelopment Analysis for

More information

Allocation of shared costs among decision making units: a DEA approach

Allocation of shared costs among decision making units: a DEA approach Computers & Operations Research 32 (2005) 2171 2178 www.elsevier.com/locate/dsw Allocation of shared costs among decision making units: a DEA approach Wade D. Cook a;, Joe Zhu b a Schulich School of Business,

More information

The Stochastic Approach for Estimating Technical Efficiency: The Case of the Greek Public Power Corporation ( )

The Stochastic Approach for Estimating Technical Efficiency: The Case of the Greek Public Power Corporation ( ) The Stochastic Approach for Estimating Technical Efficiency: The Case of the Greek Public Power Corporation (1970-97) ATHENA BELEGRI-ROBOLI School of Applied Mathematics and Physics National Technical

More information

Monte-Carlo Methods in Financial Engineering

Monte-Carlo Methods in Financial Engineering Monte-Carlo Methods in Financial Engineering Universität zu Köln May 12, 2017 Outline Table of Contents 1 Introduction 2 Repetition Definitions Least-Squares Method 3 Derivation Mathematical Derivation

More information

Ant colony optimization approach to portfolio optimization

Ant colony optimization approach to portfolio optimization 2012 International Conference on Economics, Business and Marketing Management IPEDR vol.29 (2012) (2012) IACSIT Press, Singapore Ant colony optimization approach to portfolio optimization Kambiz Forqandoost

More information

Weighted Country Product Dummy Variable Regressions and Index Number Formulae

Weighted Country Product Dummy Variable Regressions and Index Number Formulae Weighted Country Product Dummy Variable Regressions and Index Number Formulae by W. Erwin Diewert SEPTEMBER 2002 Discussion Paper No.: 02-15 DEPARTMENT OF ECONOMICS THE UNIVERSITY OF BRITISH COLUMBIA VANCOUVER,

More information

The use of resource allocation approach for hospitals based on the initial efficiency by using data envelopment analysis

The use of resource allocation approach for hospitals based on the initial efficiency by using data envelopment analysis The use of resource allocation approach for hospitals based on the initial efficiency by using data envelopment analysis Nahid Yazdian Hossein Abadi 1, Siamak Noori 1, Abdorrahman Haeri 1,* ABSTRACT Received

More information

Annual risk measures and related statistics

Annual risk measures and related statistics Annual risk measures and related statistics Arno E. Weber, CIPM Applied paper No. 2017-01 August 2017 Annual risk measures and related statistics Arno E. Weber, CIPM 1,2 Applied paper No. 2017-01 August

More information

EFFICIENCY EVALUATION OF BANKING SECTOR IN INDIA BASED ON DATA ENVELOPMENT ANALYSIS

EFFICIENCY EVALUATION OF BANKING SECTOR IN INDIA BASED ON DATA ENVELOPMENT ANALYSIS EFFICIENCY EVALUATION OF BANKING SECTOR IN INDIA BASED ON DATA ENVELOPMENT ANALYSIS Prasad V. Joshi Lecturer, K.K. Wagh Senior College, Nashik Dr. Mrs. J V Bhalerao Assistant Professor, MGV s Institute

More information

A Comparison of Parametric and Nonparametric Estimation Methods for Cost Frontiers and Economic Measures

A Comparison of Parametric and Nonparametric Estimation Methods for Cost Frontiers and Economic Measures A Comparison of Parametric and Nonparametric Estimation Methods for Cost Frontiers and Economic Measures Bryon J. Parman, Mississippi State University: parman@agecon.msstate.edu Allen M. Featherstone,

More information

European Journal of Economic Studies, 2016, Vol.(17), Is. 3

European Journal of Economic Studies, 2016, Vol.(17), Is. 3 Copyright 2016 by Academic Publishing House Researcher Published in the Russian Federation European Journal of Economic Studies Has been issued since 2012. ISSN: 2304-9669 E-ISSN: 2305-6282 Vol. 17, Is.

More information

International Journal of Management (IJM), ISSN (Print), ISSN (Online), Volume 4, Issue 1, January- February (2013)

International Journal of Management (IJM), ISSN (Print), ISSN (Online), Volume 4, Issue 1, January- February (2013) INTERNATIONAL JOURNAL OF MANAGEMENT (IJM) ISSN 0976-6502 (Print) ISSN 0976-6510 (Online) Volume 4, Issue 1, January- February (2013), pp. 175-182 IAEME: www.iaeme.com/ijm.asp Journal Impact Factor (2012):

More information

Estimating term structure of interest rates: neural network vs one factor parametric models

Estimating term structure of interest rates: neural network vs one factor parametric models Estimating term structure of interest rates: neural network vs one factor parametric models F. Abid & M. B. Salah Faculty of Economics and Busines, Sfax, Tunisia Abstract The aim of this paper is twofold;

More information

Efficiency and productivity change in the banking industry: Empirical evidence from New Zealand banks

Efficiency and productivity change in the banking industry: Empirical evidence from New Zealand banks Efficiency and productivity change in the banking industry: Empirical evidence from New Zealand banks K. Adgei Frimpong, C. Gan, L. Ying and D. Cohen Faculty of Commerce Working Paper no. 11 June 2014

More information

Iranian Bank Branches Performance by Two Stage DEA Model

Iranian Bank Branches Performance by Two Stage DEA Model 2011 International Conference on Economics and Finance Research IPEDR vol.4 (2011) (2011) IACSIT Press, Singapore Iranian Bank Branches Performance by Two Stage DEA Model Mojtaba Kaveh Department of Business

More information

Retirement. Optimal Asset Allocation in Retirement: A Downside Risk Perspective. JUne W. Van Harlow, Ph.D., CFA Director of Research ABSTRACT

Retirement. Optimal Asset Allocation in Retirement: A Downside Risk Perspective. JUne W. Van Harlow, Ph.D., CFA Director of Research ABSTRACT Putnam Institute JUne 2011 Optimal Asset Allocation in : A Downside Perspective W. Van Harlow, Ph.D., CFA Director of Research ABSTRACT Once an individual has retired, asset allocation becomes a critical

More information

Dealing with Downside Risk in Energy Markets: Futures versus Exchange-Traded Funds. Panit Arunanondchai

Dealing with Downside Risk in Energy Markets: Futures versus Exchange-Traded Funds. Panit Arunanondchai Dealing with Downside Risk in Energy Markets: Futures versus Exchange-Traded Funds Panit Arunanondchai Ph.D. Candidate in Agribusiness and Managerial Economics Department of Agricultural Economics, Texas

More information

Efficiency and productivity change in the banking industry: empirical evidence from New Zealand banks

Efficiency and productivity change in the banking industry: empirical evidence from New Zealand banks Efficiency and productivity change in the banking industry: empirical evidence from New Zealand banks AUTHORS ARTICLE INFO JOURNAL FOUNDER Kofi Adjei-Frimpong Christopher Gan https://orcid.org/-2-5618-1651

More information

Expected Return and Portfolio Rebalancing

Expected Return and Portfolio Rebalancing Expected Return and Portfolio Rebalancing Marcus Davidsson Newcastle University Business School Citywall, Citygate, St James Boulevard, Newcastle upon Tyne, NE1 4JH E-mail: davidsson_marcus@hotmail.com

More information

A Comparative Study of Various Forecasting Techniques in Predicting. BSE S&P Sensex

A Comparative Study of Various Forecasting Techniques in Predicting. BSE S&P Sensex NavaJyoti, International Journal of Multi-Disciplinary Research Volume 1, Issue 1, August 2016 A Comparative Study of Various Forecasting Techniques in Predicting BSE S&P Sensex Dr. Jahnavi M 1 Assistant

More information

Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?

Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function? DOI 0.007/s064-006-9073-z ORIGINAL PAPER Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function? Jules H. van Binsbergen Michael W. Brandt Received:

More information

EFFICIENCY AND PRODUCTIVITY MEASUREMENT FOR REGULATION PURPOSES

EFFICIENCY AND PRODUCTIVITY MEASUREMENT FOR REGULATION PURPOSES EFFICIENCY AND PRODUCTIVITY MEASUREMENT FOR REGULATION PURPOSES Sergio Perelman CREPP, Université de Liège «Incentive regulation in the German electricity and gas sector» Bundesnetzagentur Conference,

More information

Government expenditure and Economic Growth in MENA Region

Government expenditure and Economic Growth in MENA Region Available online at http://sijournals.com/ijae/ Government expenditure and Economic Growth in MENA Region Mohsen Mehrara Faculty of Economics, University of Tehran, Tehran, Iran Email: mmehrara@ut.ac.ir

More information

Growth Accounting: A European Comparison

Growth Accounting: A European Comparison Cyprus Economic Policy Review, Vol. 6, No. 2, p.p. 67-79 (212) 145-4561 67 Growth Accounting: A European Comparison Theofanis Mamuneas and Elena Ketteni Department of Economics and Economic Research Centre

More information

Zimbabwe commercials banks efficiency and productivity analysis through DEA Malmquist approach:

Zimbabwe commercials banks efficiency and productivity analysis through DEA Malmquist approach: Journal of Data Envelopment Analysis and Decision Science 2015 No. 1 (2015) 32-49 Available online at www.ispacs.com/dea Volume 2015, Issue 1, Year 2015 Article ID: dea-00090, 18 Pages doi:10.5899/2015/dea-00090

More information

Antonella Basso - Stefania Funari

Antonella Basso - Stefania Funari UNIVERSITÀ CA FOSCARI DI VENEZIA DIPARTIMENTO DI MATEMATICA APPLICATA Antonella Basso - Stefania Funari Measuring the performance of ethical mutual funds: a DEA approach n. 107/2002 0 Measuring the performance

More information

The dynamics of total factor productivity and its components: Russian plastic production

The dynamics of total factor productivity and its components: Russian plastic production The dynamics of total factor productivy and s components: Russian plastic production Ipatova Irina, HSE NRU, Moscow Introduction Russian plastic production sector Plastic production is a part of a medium-tech

More information

Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach

Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach Hedging Derivative Securities with VIX Derivatives: A Discrete-Time -Arbitrage Approach Nelson Kian Leong Yap a, Kian Guan Lim b, Yibao Zhao c,* a Department of Mathematics, National University of Singapore

More information

ECONOMIES OF SCALE FOR DATA ENVELOPMENT ANALYSIS WITH A KANSAS FARM APPLICATION BRYON JAMES PARMAN

ECONOMIES OF SCALE FOR DATA ENVELOPMENT ANALYSIS WITH A KANSAS FARM APPLICATION BRYON JAMES PARMAN ECONOMIES OF SCALE FOR DATA ENVELOPMENT ANALYSIS WITH A KANSAS FARM APPLICATION by BRYON JAMES PARMAN B.A., Peru State College, 2008 M.S., University of Nebraska-Omaha, 2010 AN ABSTRACT OF A DISSERTATION

More information

The Consistency between Analysts Earnings Forecast Errors and Recommendations

The Consistency between Analysts Earnings Forecast Errors and Recommendations The Consistency between Analysts Earnings Forecast Errors and Recommendations by Lei Wang Applied Economics Bachelor, United International College (2013) and Yao Liu Bachelor of Business Administration,

More information

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management H. Zheng Department of Mathematics, Imperial College London SW7 2BZ, UK h.zheng@ic.ac.uk L. C. Thomas School

More information

Leverage Aversion, Efficient Frontiers, and the Efficient Region*

Leverage Aversion, Efficient Frontiers, and the Efficient Region* Posted SSRN 08/31/01 Last Revised 10/15/01 Leverage Aversion, Efficient Frontiers, and the Efficient Region* Bruce I. Jacobs and Kenneth N. Levy * Previously entitled Leverage Aversion and Portfolio Optimality:

More information

International Journal of Computer Engineering and Applications, Volume XII, Issue II, Feb. 18, ISSN

International Journal of Computer Engineering and Applications, Volume XII, Issue II, Feb. 18,   ISSN International Journal of Computer Engineering and Applications, Volume XII, Issue II, Feb. 18, www.ijcea.com ISSN 31-3469 AN INVESTIGATION OF FINANCIAL TIME SERIES PREDICTION USING BACK PROPAGATION NEURAL

More information

2.1 Mathematical Basis: Risk-Neutral Pricing

2.1 Mathematical Basis: Risk-Neutral Pricing Chapter Monte-Carlo Simulation.1 Mathematical Basis: Risk-Neutral Pricing Suppose that F T is the payoff at T for a European-type derivative f. Then the price at times t before T is given by f t = e r(t

More information

Window Width Selection for L 2 Adjusted Quantile Regression

Window Width Selection for L 2 Adjusted Quantile Regression Window Width Selection for L 2 Adjusted Quantile Regression Yoonsuh Jung, The Ohio State University Steven N. MacEachern, The Ohio State University Yoonkyung Lee, The Ohio State University Technical Report

More information

Gain or Loss: An analysis of bank efficiency of the bail-out recipient banks during

Gain or Loss: An analysis of bank efficiency of the bail-out recipient banks during Gain or Loss: An analysis of bank efficiency of the bail-out recipient banks during 2008-2010 Ali Ashraf, Ph.D. Assistant Professor of Finance Department of Marketing & Finance Frostburg State University

More information

Operating Efficiency of the Federal Deposit Insurance Corporation Member Banks. Peter M. Ellis Utah State University. Abstract

Operating Efficiency of the Federal Deposit Insurance Corporation Member Banks. Peter M. Ellis Utah State University. Abstract Southwest Business and Economics Journal/2006-2007 Operating Efficiency of the Federal Deposit Insurance Corporation Member Banks Peter M. Ellis Utah State University Abstract This work develops a Data

More information

Chapter IV. Forecasting Daily and Weekly Stock Returns

Chapter IV. Forecasting Daily and Weekly Stock Returns Forecasting Daily and Weekly Stock Returns An unsophisticated forecaster uses statistics as a drunken man uses lamp-posts -for support rather than for illumination.0 Introduction In the previous chapter,

More information

Risk Measuring of Chosen Stocks of the Prague Stock Exchange

Risk Measuring of Chosen Stocks of the Prague Stock Exchange Risk Measuring of Chosen Stocks of the Prague Stock Exchange Ing. Mgr. Radim Gottwald, Department of Finance, Faculty of Business and Economics, Mendelu University in Brno, radim.gottwald@mendelu.cz Abstract

More information

Determination of manufacturing exports in the euro area countries using a supply-demand model

Determination of manufacturing exports in the euro area countries using a supply-demand model Determination of manufacturing exports in the euro area countries using a supply-demand model By Ana Buisán, Juan Carlos Caballero and Noelia Jiménez, Directorate General Economics, Statistics and Research

More information

Omitted Variables Bias in Regime-Switching Models with Slope-Constrained Estimators: Evidence from Monte Carlo Simulations

Omitted Variables Bias in Regime-Switching Models with Slope-Constrained Estimators: Evidence from Monte Carlo Simulations Journal of Statistical and Econometric Methods, vol. 2, no.3, 2013, 49-55 ISSN: 2051-5057 (print version), 2051-5065(online) Scienpress Ltd, 2013 Omitted Variables Bias in Regime-Switching Models with

More information

The Importance (or Non-Importance) of Distributional Assumptions in Monte Carlo Models of Saving. James P. Dow, Jr.

The Importance (or Non-Importance) of Distributional Assumptions in Monte Carlo Models of Saving. James P. Dow, Jr. The Importance (or Non-Importance) of Distributional Assumptions in Monte Carlo Models of Saving James P. Dow, Jr. Department of Finance, Real Estate and Insurance California State University, Northridge

More information

Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey

Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey Journal of Economic and Social Research 7(2), 35-46 Exchange Rate Exposure and Firm-Specific Factors: Evidence from Turkey Mehmet Nihat Solakoglu * Abstract: This study examines the relationship between

More information

GMM for Discrete Choice Models: A Capital Accumulation Application

GMM for Discrete Choice Models: A Capital Accumulation Application GMM for Discrete Choice Models: A Capital Accumulation Application Russell Cooper, John Haltiwanger and Jonathan Willis January 2005 Abstract This paper studies capital adjustment costs. Our goal here

More information

Notes and Comments Efficiency and Size: Comments and Extensions*

Notes and Comments Efficiency and Size: Comments and Extensions* Economic and Social Review Vol. 8 No. 4. Notes and Comments Efficiency and Size: Comments and Extensions* DOUGLAS TODD London A recent contribution to this Review 1 considered a number of measures of business

More information

Efficiency Measurement of Turkish Public Universities with Data Envelopment Analysis (DEA)

Efficiency Measurement of Turkish Public Universities with Data Envelopment Analysis (DEA) Efficiency Measurement of Turkish Public Universities with Data Envelopment Analysis (DEA) Taptuk Emre Erkoc Queen Mary, University of London Efficiency in Education 19th-20th September London Motivation

More information

Economic Capital. Implementing an Internal Model for. Economic Capital ACTUARIAL SERVICES

Economic Capital. Implementing an Internal Model for. Economic Capital ACTUARIAL SERVICES Economic Capital Implementing an Internal Model for Economic Capital ACTUARIAL SERVICES ABOUT THIS DOCUMENT THIS IS A WHITE PAPER This document belongs to the white paper series authored by Numerica. It

More information

Journal of Insurance and Financial Management, Vol. 1, Issue 4 (2016)

Journal of Insurance and Financial Management, Vol. 1, Issue 4 (2016) Journal of Insurance and Financial Management, Vol. 1, Issue 4 (2016) 68-131 An Investigation of the Structural Characteristics of the Indian IT Sector and the Capital Goods Sector An Application of the

More information

364 SAJEMS NS 8 (2005) No 3 are only meaningful when compared to a benchmark, and finding a suitable benchmark (e g the exact ROE that must be obtaine

364 SAJEMS NS 8 (2005) No 3 are only meaningful when compared to a benchmark, and finding a suitable benchmark (e g the exact ROE that must be obtaine SAJEMS NS 8 (2005) No 3 363 THE RELATIVE EFFICIENCY OF BANK BRANCHES IN LENDING AND BORROWING: AN APPLICATION OF DATA ENVELOPMENT ANALYSIS G van der Westhuizen, School for Economic Sciences, North-West

More information

CARDIFF BUSINESS SCHOOL WORKING PAPER SERIES

CARDIFF BUSINESS SCHOOL WORKING PAPER SERIES CARDIFF BUSINESS SCHOOL WORKING PAPER SERIES Cardiff Economics Working Papers Jenifer Daley and Kent Matthews Measuring bank efficiency: tradition or sophistication? A note E2009/24 Cardiff Business School

More information

Modelling the Sharpe ratio for investment strategies

Modelling the Sharpe ratio for investment strategies Modelling the Sharpe ratio for investment strategies Group 6 Sako Arts 0776148 Rik Coenders 0777004 Stefan Luijten 0783116 Ivo van Heck 0775551 Rik Hagelaars 0789883 Stephan van Driel 0858182 Ellen Cardinaels

More information

BIASED TECHNICAL CHANGE AND THE MALMQUIST PRODUCTIVITY INDEX. R. Färe*, E. Grifell-Tatjé**, S. Grosskopf* and C. A. K. Lovell*** Abstract

BIASED TECHNICAL CHANGE AND THE MALMQUIST PRODUCTIVITY INDEX. R. Färe*, E. Grifell-Tatjé**, S. Grosskopf* and C. A. K. Lovell*** Abstract BIASED TECHNICAL CHANGE AND THE MALMQUIST PRODUCTIVITY INDEX R. Färe*, E. Grifell-Tatjé**, S. Grosskopf* and C. A. K. Lovell*** Abstract The Malmquist productivity index has many attractive features. One

More information

On the Use of Stock Index Returns from Economic Scenario Generators in ERM Modeling

On the Use of Stock Index Returns from Economic Scenario Generators in ERM Modeling On the Use of Stock Index Returns from Economic Scenario Generators in ERM Modeling Michael G. Wacek, FCAS, CERA, MAAA Abstract The modeling of insurance company enterprise risks requires correlated forecasts

More information

Game Theory and Economics Prof. Dr. Debarshi Das Department of Humanities and Social Sciences Indian Institute of Technology, Guwahati

Game Theory and Economics Prof. Dr. Debarshi Das Department of Humanities and Social Sciences Indian Institute of Technology, Guwahati Game Theory and Economics Prof. Dr. Debarshi Das Department of Humanities and Social Sciences Indian Institute of Technology, Guwahati Module No. # 03 Illustrations of Nash Equilibrium Lecture No. # 04

More information

A COMPARATIVE ANALYSIS OF ACCOUNTING AND FINANCIAL PRACTICES ASSOCIATED WITH EFFICIENCY OF COOPERATIVE RURAL BANKS IN SRI LANKA

A COMPARATIVE ANALYSIS OF ACCOUNTING AND FINANCIAL PRACTICES ASSOCIATED WITH EFFICIENCY OF COOPERATIVE RURAL BANKS IN SRI LANKA A COMPARATIVE ANALYSIS OF ACCOUNTING AND FINANCIAL PRACTICES ASSOCIATED WITH EFFICIENCY OF COOPERATIVE RURAL BANKS IN SRI LANKA A dissertation submitted by Ariyarathna Jayamaha B.Com (HONS), M.Com, ACA

More information

The Difference of Capital Input and Productivity in Service Industries: Based on Four Stages Bootstrap-DEA Model

The Difference of Capital Input and Productivity in Service Industries: Based on Four Stages Bootstrap-DEA Model Journal of Systems Science and Information Aug., 2018, Vol. 6, No. 4, pp. 320 335 DOI: 10.21078/JSSI-2018-320-16 The Difference of Capital Input and Productivity in Service Industries: Based on Four Stages

More information

Using Halton Sequences. in Random Parameters Logit Models

Using Halton Sequences. in Random Parameters Logit Models Journal of Statistical and Econometric Methods, vol.5, no.1, 2016, 59-86 ISSN: 1792-6602 (print), 1792-6939 (online) Scienpress Ltd, 2016 Using Halton Sequences in Random Parameters Logit Models Tong Zeng

More information

A Preference Foundation for Fehr and Schmidt s Model. of Inequity Aversion 1

A Preference Foundation for Fehr and Schmidt s Model. of Inequity Aversion 1 A Preference Foundation for Fehr and Schmidt s Model of Inequity Aversion 1 Kirsten I.M. Rohde 2 January 12, 2009 1 The author would like to thank Itzhak Gilboa, Ingrid M.T. Rohde, Klaus M. Schmidt, and

More information

It doesn't make sense to hire smart people and then tell them what to do. We hire smart people so they can tell us what to do.

It doesn't make sense to hire smart people and then tell them what to do. We hire smart people so they can tell us what to do. A United Approach to Credit Risk-Adjusted Risk Management: IFRS9, CECL, and CVA Donald R. van Deventer, Suresh Sankaran, and Chee Hian Tan 1 October 9, 2017 It doesn't make sense to hire smart people and

More information

1 The Solow Growth Model

1 The Solow Growth Model 1 The Solow Growth Model The Solow growth model is constructed around 3 building blocks: 1. The aggregate production function: = ( ()) which it is assumed to satisfy a series of technical conditions: (a)

More information

Multistage risk-averse asset allocation with transaction costs

Multistage risk-averse asset allocation with transaction costs Multistage risk-averse asset allocation with transaction costs 1 Introduction Václav Kozmík 1 Abstract. This paper deals with asset allocation problems formulated as multistage stochastic programming models.

More information

RISK MITIGATION IN FAST TRACKING PROJECTS

RISK MITIGATION IN FAST TRACKING PROJECTS Voorbeeld paper CCE certificering RISK MITIGATION IN FAST TRACKING PROJECTS Author ID # 4396 June 2002 G:\DACE\certificering\AACEI\presentation 2003 page 1 of 17 Table of Contents Abstract...3 Introduction...4

More information

The risk/return trade-off has been a

The risk/return trade-off has been a Efficient Risk/Return Frontiers for Credit Risk HELMUT MAUSSER AND DAN ROSEN HELMUT MAUSSER is a mathematician at Algorithmics Inc. in Toronto, Canada. DAN ROSEN is the director of research at Algorithmics

More information

Using Data Envelopment Analysis to Rate Pharmaceutical Companies; A case study of IRAN.

Using Data Envelopment Analysis to Rate Pharmaceutical Companies; A case study of IRAN. Life Science Journal 203;0() Using Data Envelopment Analysis to Rate Pharmaceutical Companies; A case study of IRAN Mohammd Jalili (phd), Hassan Rangriz(phd) 2 and Samira Shabani *3 Department of business

More information

Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session CPS048) p.5108

Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session CPS048) p.5108 Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session CPS048) p.5108 Aggregate Properties of Two-Staged Price Indices Mehrhoff, Jens Deutsche Bundesbank, Statistics Department

More information

The quantile regression approach to efficiency measurement: insights from Monte Carlo Simulations

The quantile regression approach to efficiency measurement: insights from Monte Carlo Simulations HEDG Working Paper 07/4 The quantile regression approach to efficiency measurement: insights from Monte Carlo Simulations Chungping. Liu Audrey Laporte Brian Ferguson July 2007 york.ac.uk/res/herc/hedgwp

More information

International Journal of Computer Engineering and Applications, Volume XII, Issue II, Feb. 18, ISSN

International Journal of Computer Engineering and Applications, Volume XII, Issue II, Feb. 18,   ISSN Volume XII, Issue II, Feb. 18, www.ijcea.com ISSN 31-3469 AN INVESTIGATION OF FINANCIAL TIME SERIES PREDICTION USING BACK PROPAGATION NEURAL NETWORKS K. Jayanthi, Dr. K. Suresh 1 Department of Computer

More information

Measuring the Efficiency of Public Transport Sector in India: An

Measuring the Efficiency of Public Transport Sector in India: An Measuring the Efficiency of Public Transport Sector in India: An Application of Data Envelopment Analysis by Shivi Agarwal Department of Mathematics, Birla Institute of Technology and Science, Pilani,

More information

Richardson Extrapolation Techniques for the Pricing of American-style Options

Richardson Extrapolation Techniques for the Pricing of American-style Options Richardson Extrapolation Techniques for the Pricing of American-style Options June 1, 2005 Abstract Richardson Extrapolation Techniques for the Pricing of American-style Options In this paper we re-examine

More information

THE STUDY OF RELATIONSHIP BETWEEN UNEXPECTED PROFIT AND SHARES RETURN IN ACCEPTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE

THE STUDY OF RELATIONSHIP BETWEEN UNEXPECTED PROFIT AND SHARES RETURN IN ACCEPTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE : 953-963 ISSN: 2277 4998 THE STUDY O RELATIONSHIP BETWEEN UNEXPECTED PROIT AND SHARES RETURN IN ACCEPTED COMPANIES LISTED IN TEHRAN STOCK EXCHANGE HOUSHANG SHAJARI * AND ATEMEH KHAKINAHAD 2 : Department

More information

Financial Mathematics III Theory summary

Financial Mathematics III Theory summary Financial Mathematics III Theory summary Table of Contents Lecture 1... 7 1. State the objective of modern portfolio theory... 7 2. Define the return of an asset... 7 3. How is expected return defined?...

More information

Impact of Financial Crisis on the Sustainability of Public Sector Banks in India - A Data Envelopment Analysis

Impact of Financial Crisis on the Sustainability of Public Sector Banks in India - A Data Envelopment Analysis IOSR Journal of Economics and Finance (IOSR-JEF) e-issn: 2321-5933, p-issn: 2321-5925.Volume 7, Issue 2. Ver. II (Mar. - Apr. 2016), PP 32-38 www.iosrjournals.org Impact of Financial Crisis on the Sustainability

More information

Foreign Direct Investment and Economic Growth in Some MENA Countries: Theory and Evidence

Foreign Direct Investment and Economic Growth in Some MENA Countries: Theory and Evidence Loyola University Chicago Loyola ecommons Topics in Middle Eastern and orth African Economies Quinlan School of Business 1999 Foreign Direct Investment and Economic Growth in Some MEA Countries: Theory

More information

The duration derby : a comparison of duration based strategies in asset liability management

The duration derby : a comparison of duration based strategies in asset liability management Edith Cowan University Research Online ECU Publications Pre. 2011 2001 The duration derby : a comparison of duration based strategies in asset liability management Harry Zheng David E. Allen Lyn C. Thomas

More information

Analysis of the Operating Efficiency of China s Securities Companies based on DEA Method

Analysis of the Operating Efficiency of China s Securities Companies based on DEA Method First International Conference on Economic and Business Management (FEBM 2016) Analysis of the Operating Efficiency of China s Securities Companies based on DEA Method Wei Huang a*, Qiancheng Guan b, Hui

More information

8 th International Scientific Conference

8 th International Scientific Conference 8 th International Scientific Conference 5 th 6 th September 2016, Ostrava, Czech Republic ISBN 978-80-248-3994-3 ISSN (Print) 2464-6973 ISSN (On-line) 2464-6989 Reward and Risk in the Italian Fixed Income

More information

A Note on Reconciling Gross Output TFP Growth with Value Added TFP Growth

A Note on Reconciling Gross Output TFP Growth with Value Added TFP Growth 1 A Note on Reconciling Gross Output TFP Growth with Value Added TFP Growth Erwin Diewert 1 Discussion Paper 14-12, School of Economics, University of British Columbia, Vancouver, B.C., Canada, V6N 1Z1.

More information

THE FINANCIAL PERFORMANCE AND CREDIT RISK OF MOLDOVAN AND PORTUGUESE COMPANIES USING DATA ENVELOPMENT ANALYSIS. Ana Paula Monte

THE FINANCIAL PERFORMANCE AND CREDIT RISK OF MOLDOVAN AND PORTUGUESE COMPANIES USING DATA ENVELOPMENT ANALYSIS. Ana Paula Monte 32B THE FINANCIAL PERFORMANCE AND CREDIT RISK OF MOLDOVAN AND PORTUGUESE COMPANIES USING DATA ENVELOPMENT ANALYSIS Ana Paula Monte Polytechnic Institute of Bragança, Portugal; Unidade de Investigação Aplicada

More information

CASE 6: INTEGRATED RISK ANALYSIS MODEL HOW TO COMBINE SIMULATION, FORECASTING, OPTIMIZATION, AND REAL OPTIONS ANALYSIS INTO A SEAMLESS RISK MODEL

CASE 6: INTEGRATED RISK ANALYSIS MODEL HOW TO COMBINE SIMULATION, FORECASTING, OPTIMIZATION, AND REAL OPTIONS ANALYSIS INTO A SEAMLESS RISK MODEL ch11_4559.qxd 9/12/05 4:06 PM Page 527 Real Options Case Studies 527 being applicable only for European options without dividends. In addition, American option approximation models are very complex and

More information

The Separate Valuation Relevance of Earnings, Book Value and their Components in Profit and Loss Making Firms: UK Evidence

The Separate Valuation Relevance of Earnings, Book Value and their Components in Profit and Loss Making Firms: UK Evidence MPRA Munich Personal RePEc Archive The Separate Valuation Relevance of Earnings, Book Value and their Components in Profit and Loss Making Firms: UK Evidence S Akbar The University of Liverpool 2007 Online

More information

Time Invariant and Time Varying Inefficiency: Airlines Panel Data

Time Invariant and Time Varying Inefficiency: Airlines Panel Data Time Invariant and Time Varying Inefficiency: Airlines Panel Data These data are from the pre-deregulation days of the U.S. domestic airline industry. The data are an extension of Caves, Christensen, and

More information

TABLE OF CONTENTS - VOLUME 2

TABLE OF CONTENTS - VOLUME 2 TABLE OF CONTENTS - VOLUME 2 CREDIBILITY SECTION 1 - LIMITED FLUCTUATION CREDIBILITY PROBLEM SET 1 SECTION 2 - BAYESIAN ESTIMATION, DISCRETE PRIOR PROBLEM SET 2 SECTION 3 - BAYESIAN CREDIBILITY, DISCRETE

More information

1. Money in the utility function (continued)

1. Money in the utility function (continued) Monetary Economics: Macro Aspects, 19/2 2013 Henrik Jensen Department of Economics University of Copenhagen 1. Money in the utility function (continued) a. Welfare costs of in ation b. Potential non-superneutrality

More information

Accelerated Option Pricing Multiple Scenarios

Accelerated Option Pricing Multiple Scenarios Accelerated Option Pricing in Multiple Scenarios 04.07.2008 Stefan Dirnstorfer (stefan@thetaris.com) Andreas J. Grau (grau@thetaris.com) 1 Abstract This paper covers a massive acceleration of Monte-Carlo

More information

Measuring the Performance of Insurance Industry in Malaysia: Islamic vis-à-vis Conventional Insurance

Measuring the Performance of Insurance Industry in Malaysia: Islamic vis-à-vis Conventional Insurance Measuring the Performance of Insurance Industry in Malaysia: Islamic vis-à-vis Conventional Insurance Muhamad Abduh 1 Assistant Professor IIUM Institute of Islamic Banking and Finance International Islamic

More information

Pension fund investment: Impact of the liability structure on equity allocation

Pension fund investment: Impact of the liability structure on equity allocation Pension fund investment: Impact of the liability structure on equity allocation Author: Tim Bücker University of Twente P.O. Box 217, 7500AE Enschede The Netherlands t.bucker@student.utwente.nl In this

More information

Management Science Letters

Management Science Letters Management Science Letters 5 (2015) 51 58 Contents lists available at GrowingScience Management Science Letters homepage: www.growingscience.com/msl Analysis of cash holding for measuring the efficiency

More information