Zobrazeno 1 - 10
of 133
pro vyhledávání: '"Clarence C Y Kwan"'
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education (2024)
The surprising empirical finding in the finance literature that the 1/N investment strategy outperforms portfolio optimization, followed by some intense debate on the topic, has given credence to this simple approach in the investment world . This pa
Externí odkaz:
https://doaj.org/article/f3752237ee8d4003952c6ad062ca3b5e
Autor:
Clarence C Y Kwan
Publikováno v:
Spreadsheets in Education, Vol 12, Iss 2 (2020)
This paper updates an Excel-based example in a recent case study published in Spreadsheets in Education. The original example was intended to assist graduate admission committees outside China in assessing the academic quality of individual Chinese u
Externí odkaz:
https://doaj.org/article/729573733eb44199be375c2d2a9de823
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education (2019)
The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum. This paper presents a pedagogic approach to solve the Black-Scholes partial differential
Externí odkaz:
https://doaj.org/article/3d37e5f0be0048e0929974b553ab698e
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 10, Iss 1 (2017)
This paper extends the introduction to shrinkage estimation in a recent paper from the same journal. The extension, which is in a portfolio investment context, is on shrinkage of the sample correlation matrix of returns towards a constant correlation
Externí odkaz:
https://doaj.org/article/f0485eedc6b94c6f8da7543638b5e9e2
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 10, Iss 2 (2017)
This paper is a case study on using spreadsheet tools to reduce the reliance on various manual tasks for committee work in an academic setting. Four types of tasks are covered. One of them is to establish collective preference rankings of candidates;
Externí odkaz:
https://doaj.org/article/dfaab819264a4ca088696e430b6a5f72
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 9, Iss 1 (2016)
This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from
Externí odkaz:
https://doaj.org/article/7cf0365ad33f4767b78db7ea48794f00
Autor:
Yi Feng, Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 8, Iss 1 (2014)
The topic of interest rate conversion is part of the time value concepts covered in introductory finance courses. It is about establishing the equivalence of interest rates over different intra-year periods in compound interest settings. From our exp
Externí odkaz:
https://doaj.org/article/6d155d243ff34ba5a23116c3fa65245e
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 7, Iss 1 (2014)
The usefulness of covariance and correlation matrices is well-known in various academic fields. Matrix inversion, if required in an analytical setting, tends to mask the intuition in interpreting the corresponding empirical or experimental results. D
Externí odkaz:
https://doaj.org/article/4a65a0e222d942debbc0e4b67dd3330b
Autor:
Clarence C. Y. Kwan
Publikováno v:
Spreadsheets in Education, Vol 6, Iss 2 (2013)
This paper considers market neutral portfolio selection, which is an advanced investment topic. It draws on an idea in the investment literature that short selling a stock in practice is like investing in an artificially constructed security. Such an
Externí odkaz:
https://doaj.org/article/d9bd418f16a2401c893b1474d553845b
Publikováno v:
Spreadsheets in Education, Vol 5, Iss 3 (2012)
This paper presents some Excel-based simulation exercises that are suitable for use in financial modeling courses. Such exercises are based on a stochastic process of stock price movements, called geometric Brownian motion, that underlies the derivat
Externí odkaz:
https://doaj.org/article/2a1c1614b6f4412093bf0929ba720462