The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market....The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.展开更多
This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This pa...This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.展开更多
The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇...The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇t embody the premium of non-system risks and non-factor risks. This paper analyses the risk reward of traditional capital assets pricing models, revises the traditional capital assets pricing models, and advances the revised models of capital assets pricing theories basing on full-risk reward.展开更多
This paper extends Farkas Minkowski’s Lemma and Stiemke’s Lemma from the Euclidean space to (l 1,l ∞). The extensions of Farkas Minkowski’s Lemma and Stiemke’s Lemma are the Basic Valuation Theore...This paper extends Farkas Minkowski’s Lemma and Stiemke’s Lemma from the Euclidean space to (l 1,l ∞). The extensions of Farkas Minkowski’s Lemma and Stiemke’s Lemma are the Basic Valuation Theorem in the case (l 1,l ∞). The security price is weakly arbitrage free if and only if there exists a positive state vector; the security price is strictly arbitrage free if and only if there exists a strictly positive state vector. The present value of the securities prices at date 0 is the value of their returns over all countably infinite possible states of nature at date 1.展开更多
Energy storage can further reduce carbon emission when integrated into the renewable generation.The integrated system can produce additional revenue compared with wind-only generation.The challenge is how much the opt...Energy storage can further reduce carbon emission when integrated into the renewable generation.The integrated system can produce additional revenue compared with wind-only generation.The challenge is how much the optimal capacity of energy storage system should be installed for a renewable generation.Electricity price arbitrage was considered as an effective way to generate benefits when connecting to wind generation and grid.This wind-storage coupled system can make benefits through a time-of-use(TOU)tariff.A proportion of electricity is stored from the wind power system at off-peak time(low price),and released to the customer at peak time(high price).Thus,extra benefits are added to the wind-storage system compared with wind-only system.A Particle Swarm Optimization(PSO)algorithm based optimization model was constructed for this integrated system including constraints of state-of-charge(SOC),maximum storage and release powers etc.The proposed optimization model was to obtain the optimal capacity of energy storage system and its operation control strategy of the storage-release processes,to maximize the revenue of the coupled system considering the arbitrage.Furthermore,the energy storage can provide reserve ancillary services for the grid,which generates benefits.The benefits of energy storage system through reserve ancillary services were also calculated.A case study was analyzed with respect to yearly wind generation and electricity price profiles.The benefit compared with no energy storage scenario was calculated.The impact of the energy storage efficiency,cost and lifetime was considered.The sensitivity and optimization capacity under various conditions were calculated.An optimization capacity of energy storage system to a certain wind farm was presented,which was a significant value for the development of energy storage system to integrate into a wind farm.展开更多
文摘The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.
文摘This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.
文摘The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇t embody the premium of non-system risks and non-factor risks. This paper analyses the risk reward of traditional capital assets pricing models, revises the traditional capital assets pricing models, and advances the revised models of capital assets pricing theories basing on full-risk reward.
文摘This paper extends Farkas Minkowski’s Lemma and Stiemke’s Lemma from the Euclidean space to (l 1,l ∞). The extensions of Farkas Minkowski’s Lemma and Stiemke’s Lemma are the Basic Valuation Theorem in the case (l 1,l ∞). The security price is weakly arbitrage free if and only if there exists a positive state vector; the security price is strictly arbitrage free if and only if there exists a strictly positive state vector. The present value of the securities prices at date 0 is the value of their returns over all countably infinite possible states of nature at date 1.
基金Beijing Natural Science Foundation[JQ21010]National Science Fund for Distinguished Young Scholars[51925604]+1 种基金Science and Technology Program of Inner Mongolia Autonomous Region(2021ZD0030)Xplorer Prize.
文摘Energy storage can further reduce carbon emission when integrated into the renewable generation.The integrated system can produce additional revenue compared with wind-only generation.The challenge is how much the optimal capacity of energy storage system should be installed for a renewable generation.Electricity price arbitrage was considered as an effective way to generate benefits when connecting to wind generation and grid.This wind-storage coupled system can make benefits through a time-of-use(TOU)tariff.A proportion of electricity is stored from the wind power system at off-peak time(low price),and released to the customer at peak time(high price).Thus,extra benefits are added to the wind-storage system compared with wind-only system.A Particle Swarm Optimization(PSO)algorithm based optimization model was constructed for this integrated system including constraints of state-of-charge(SOC),maximum storage and release powers etc.The proposed optimization model was to obtain the optimal capacity of energy storage system and its operation control strategy of the storage-release processes,to maximize the revenue of the coupled system considering the arbitrage.Furthermore,the energy storage can provide reserve ancillary services for the grid,which generates benefits.The benefits of energy storage system through reserve ancillary services were also calculated.A case study was analyzed with respect to yearly wind generation and electricity price profiles.The benefit compared with no energy storage scenario was calculated.The impact of the energy storage efficiency,cost and lifetime was considered.The sensitivity and optimization capacity under various conditions were calculated.An optimization capacity of energy storage system to a certain wind farm was presented,which was a significant value for the development of energy storage system to integrate into a wind farm.
