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Nekotorye Aspekty Vlozheniy V Tsennye Bumagi Fedorov Daniil Russian edition
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Nekotorye Aspekty Vlozheniy V Tsennye Bumagi
Fedorov Daniil
Praktiki ne redko ispol'zuyut EWMA model' dlya prognoza dokhodnostey na finansovykh rynkakh, odnako teoretiki, v bol'shinstve svoyem, vsye eshchye priderzhivayutsya teorii ratsional'nykh ozhidaniy (TRO), schitaya finansovye rynki effektivnymi. Po suti poluchaetsya, chto praktikam mozhno ispol'zovat' kontseptsiyu adaptivnykh ozhidaniy, a teoretikam net. Odno iz isklyucheniy iz etogo pravila predstavlyaet dannaya rabota, v kotoroy avtor, pomimo razvitiya kontseptsii adaptivnykh ozhidaniy dlya tseley upravleniya portfelem finansovykh aktivov, vynuzhden byl privesti primer, pokazyvayushchiy, chto TRO postroena na nerealisticheskikh predposylkakh. V monografii rassmotren takzhe odin iz sposobov razresheniya peterburgskogo paradoksa i nekotorye aspekty statisticheskogo otsenivaniya znacheniy avtokorrelyatsionnoy funktsii statsionarnogo sluchaynogo protsessa po vyborochnoy funktsii. Okazyvaetsya dazhe v sluchae statsionarnogo protsessa (a statsionarnosti na finansovykh rynkakh ne nablyudaetsya) eti otsenki okazyvayutsya smeshchyennymi. V Prilozhenii privedyen kratkiy obzor rabot R. Shillera. Sleduet skazat', chto avtor - lish' vynuzhdennyy protivnik TRO, bolee togo, v rabote "Neskol'ko slov po povodu vtoroy aksiomy Devidsona", avtor ranee dazhe kritikoval odnogo iz kritikov TRO.
| Media | Books Paperback Book (Book with soft cover and glued back) |
| Released | October 15, 2014 |
| ISBN13 | 9783659621314 |
| Publishers | LAP Lambert Academic Publishing |
| Pages | 72 |
| Dimensions | 4 × 152 × 229 mm · 125 g |
| Language | German |
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