...., stocks). Finally, most of our results are still valid even when different market environments are assumed or alternative decision rules are used to derive investors’ optimal portfolio. Equity Linked Security Portfolio Long Term Investment Utility Function Simulation © 2019 Emerald Publishing...

... dimensions with auto- and cross-correlations. We then check whether this method works well in clustering those data by employing simulation for generalization. Two simulation studies with two different mean structures with nine combinations of auto- and cross-correlations were conducted. The results showed...

...Myeong Jig Kim; Seong Hwan Sin A Copula function is an useful tool for constructing and simulating multivariate distributions. It relates one-dimensional marginals with multi-dimensional distribution. By doing so, one can separately model the distribution of individual series and the dependence...

... quite large. This can be tested by carrying out Monte-Carlo simulations for firm value processes, assuming first no default correlations and second modeling default correlations between the processes. We also compare the model prices and recently issued CBO market price and find that no default...