February 2024 - 47 articles
An efficient and effective portfolio provides maximum return potential with minimum risk by choosing an optimal balance among assets. Therefore, the objective of this study is to analyze the performance of optimized portfolios in minimizing risk and...
We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor m...
Classical double entry accounting has provided the foundation for accounting within the firm for many centuries. The digitally signed receipt, an innovation from financial cryptography, gives rise to exactly duplicated entries for each of 3 parties o...
This paper studies optimal consumption and investment strategies with lifetime uncertainty to design a smooth pension product. In a simplified Black–Scholes market, we investigate three strategies for consumption and investment: the classical s...
The growth of state transfers to offset disparities in regional development affects the stability of the country’s financial system. This article delves into this outcome, empirically analyzing whether the transfer system for horizontal fiscal...
The exercise of audit judgment is essential because it is impractical to perform an audit on all types of evidence. These types of evidence are considered in forming an opinion on audited financial statements, making audit judgment a determinant of t...
This paper delves into the evolving post-pandemic business arena, focusing on how liability options and social norms are reshaping industry structures. We anticipate lasting transformations due to the emergence of new safety standards that bridge the...
We show that three prominent consumption-based asset pricing models—the Bansal–Yaron, Campbell–Cochrane and Cecchetti–Lam–Mark models—cannot explain the dynamic properties of stock market returns. We show this by e...
Shadow prices simplify the derivation of optimal trading strategies in markets with transaction costs by transferring optimization into a more tractable, frictionless market. This paper establishes that a naïve shadow price ansatz for maximizing...
We aim to detect outliers in the daily stock price indices from the Saudi Arabia stock exchange (Tadawul) with 2026 observations from October 2011 to December 2019 provided by the Saudi Authority for Statistics and the Saudi Central Bank. We apply th...
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