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This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with es

Investments -- Mathematical models. --- Investments. --- Portfolio management -- Mathematical models. --- Investments --- Portfolio management --- Finance --- Business & Economics --- Investment & Speculation --- Mathematical models --- Mathematical models. --- E-books --- Investments - Mathematical models --- Portfolio management - Mathematical models --- 305.6 --- 305.91 --- 333.645 --- 339.42 --- AA / International- internationaal --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Speculatie op de beurs --- Financiële analyse

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The ability to create and understand financial models that assess the valuation of a company, the projects it undertakes, and its future earnings/profit projections is one of the most valued skills in corporate finance. However, while many business professionals are familiar with financial statements and accounting reports, few are truly proficient at building an accurate and effective financial model from the ground up. That's why, in The Financial Modeling Handbook, Jack Avon equips financial professionals with all the tools they need to precisely and effectively monitor a company's assets and project its future performance. Based on the author's extensive experience building models in business and finance—and teaching others to do the same—The Handbook of Financial Modeling takes readers step by step through the financial modeling process, starting with a general overview of the history and evolution of financial modeling. It then moves on to more technical topics, such as the principles of financial modeling and the proper way to approach a financial modeling assignment, before covering key application areas for modeling in Microsoft Excel.  Designed for intermediate and advanced modelers who wish to expand and enhance their knowledge, The Handbook of Financial Modeling also covers: The accounting and finance concepts that underpin working financial models; How to approach financial issues and solutions from a modeler's perspective; The importance of thinking about end users when developing a financial model; How to plan, design, and build a fully functional financial model; And more. A nuts-to-bolts guide to solving common financial problems with spreadsheets, The Handbook of Financial Modeling is a one-stop resource for anyone who needs to build or analyze financial models.

Accounting -- Mathematical models. --- Corporations -- Finance -- Mathematical models. --- Economics. --- Investments -- Mathematical models. --- Commerce --- Management --- Business & Economics --- Management Theory --- Local Commerce --- Finance. --- Funding --- Funds --- Economic theory --- Political economy --- Business. --- Management science. --- Business and Management. --- Business and Management, general. --- Quantitative business analysis --- Problem solving --- Operations research --- Statistical decision --- Trade --- Economics --- Industrial management --- Currency question --- Social sciences --- Economic man

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Company taxation is an important element for the establishment and the completion of the Internal Market. Against this background, the European Commission recommends the harmonisation of the tax base in the European Union. Carsten Wendt analyses the necessity, the concept as well as potential advantages and effects of a common tax base for multinational enterprises in the European Union. He addresses important issues concerning a common tax base, such as the definition of the consolidated group, the technique and scope of consolidation and the formula used to allocate the consolidated tax base among the involved member states. The author provides alternative options to solve these issues and concludes that a common tax base as intended by the European Commission would remedy many of the existing tax obstacles for multinational enterprises in the EU. However, distortions will remain, mainly because member states retain their sovereignty to set their tax rates independently and the territorial scope of a common tax base has to be restricted to group entities located within the EU.

Capital -- Mathematical models. --- Capital investments -- Mathematical models. --- Corporations -- Taxation -- European Union countries. --- Corporations -- Taxation. --- Commerce --- Management --- Business & Economics --- Accounting --- Industrial Management --- International business enterprises --- Taxation --- Business enterprises, International --- Corporations, International --- Global corporations --- International corporations --- MNEs (International business enterprises) --- Multinational corporations --- Multinational enterprises --- Transnational corporations --- Business. --- Tax accounting. --- Tax laws. --- Business and Management. --- Business Taxation/Tax Law. --- Business enterprises --- Corporations --- Joint ventures --- Finance, Public --- Tax laws --- Tax legislation --- Tax regulations --- Law

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“The central task of financial economics is to figure out what are the real risks that drive asset prices and expected returns.” (John Cochrane in Asset Pricing, 2001). The ongoing debate in the financial economics literature between rational and irrational asset pricing theories highlights the importance of this task. Gaston Michel aims at supporting the rational asset pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns and captures most of the information in the prominent Fama and French (1993) size and book-to-market factors. In fact, he shows that an alternative model that which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.

Consolidation and merger of corporations. --- Investments -- Mathematical models. --- Investments. --- Finance --- Business & Economics --- Investment & Speculation --- Finance - General --- Banking --- Capital assets pricing model. --- Real estate investment. --- Real estate development --- Capital assets pricing model --- Finance. --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Development, Real estate --- Developments (Real estate) --- Land development --- Investment in real estate --- Real property investment --- Public finance. --- Economics. --- Public Economics. --- Finance, general. --- Investments --- Land speculation --- Real estate business --- Capital --- Land use --- Land subdivision --- Mathematical models --- Funding --- Funds --- Economics --- Currency question --- Cameralistics --- Public finance --- Public finances

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Building an accurate representation of firm-wide credit exposure, used for both trading and risk management, raises significant theoretical and technical challenges. This volume can be considered as a roadmap to finding practical solutions to the problem of modelling, pricing, and hedging counterparty credit exposure for large portfolios of both vanilla and exotic derivatives, usually traded by large Investment Banks. It is divided into four parts, (I) Methodology, (II) Architecture and Implementation, (III) Products, and (IV) Hedging and Managing Counterparty Risk. Starting from a generic modelling and valuation framework based on American Monte Carlo techniques, it presents a software architecture, which, with its modular design, allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way. An essential part of the design is the definition of a programming language, which allows trade representation based on dynamic modelling features. Several chapters are then devoted to the analysis of credit exposure across all asset classes, namely foreign exchange, interest rate, credit derivatives and equity. Finally it considers how to mitigate and hedge counterparty exposure. The crucial question of dynamic hedging is addressed by constructing a hybrid product, the Contingent-Credit Default Swap. This volume addresses, from a quantitative perspective, recent developments related to counterparty credit exposure computation. Its unique characteristic is the combination of a rigorous but simple mathematical approach with a practical view of the financial problem at hand. "...a fantastic book that covers all aspects of credit exposure modelling. Nowhere else can the interested reader find such a comprehensive collection of insights around this topic covering methodology, implementation, products and applications. A "must read" for practitioners and quants working in this space." Jörg Behrens, Fintegral Consulting, CH "In the aftermath of the credit crunch, nobody will need convincing of the importance of managing counterparty risk. This unique book provides a consistent approach to the subject, taken all the way from underlying concepts to the nuts and bolts of computer architecture. It opens up many avenues for future research and throws down a challenge to the industry at large: any organization whose techniques are not at least as good as the ones described here had better shape up!" Mark Davis, Imperial College London, UK "…impressive mathematical monograph … first unified and comprehensive approach to pricing and measuring counterparty credit exposures and, therefore, an essential must-have for all quantitatively oriented credit risk manager, academic researchers, and mathematics students alike … takes into account a unified approach for modelling the future economic scenarios across all asset classes under risk-neutral measure while generating a theoretic as well as technical framework for calculating credit and debit valuation adjustments … easily adapted to calculating the price of credit risk … flexible enough to price complex and hybrid financial derivatives in a completely scenario consistent way. These features make the book an absolutely outstanding and highly recommendable treatise…" Marcus R.W. Martin, Darmstadt University of Applied Sciences, D.

Business -- Management. --- Credit. --- Hedging (Finance). --- Investments -- Mathematical models. --- Investments --- Hedging (Finance) --- Credit --- Finance --- Business & Economics --- Investment & Speculation --- Economic Theory --- Mathematical models --- Credit control. --- Credit allocation --- Credit policy --- Borrowing --- Government policy --- Business. --- Management science. --- Economics, Mathematical. --- Numerical analysis. --- Probabilities. --- Statistics. --- Business and Management. --- Business and Management, general. --- Probability Theory and Stochastic Processes. --- Numerical Analysis. --- Quantitative Finance. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Monetary policy --- Money --- Loans --- Social sciences --- Probability Theory. --- Mathematics in Business, Economics and Finance. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Mathematics. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Quantitative business analysis --- Management --- Problem solving --- Operations research --- Statistical decision --- Trade --- Economics --- Commerce --- Industrial management