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Assessing the profitability and riskiness of small business lenders in the banking industry [[electronic resource] /] / James W. Kolari
| Assessing the profitability and riskiness of small business lenders in the banking industry [[electronic resource] /] / James W. Kolari |
| Autore | Kolari James W |
| Pubbl/distr/stampa | [Washington, D.C.] : , : SBA Office of Advocacy, , [2003] |
| Descrizione fisica | 2 unnumbered pages : digital, PDF file |
| Collana | Small business research summary |
| Soggetto topico |
Small business - United States - Finance
Commercial loans - United States Banks and banking - United States |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910696625203321 |
Kolari James W
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| [Washington, D.C.] : , : SBA Office of Advocacy, , [2003] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Frontiers of Asset Pricing
| Frontiers of Asset Pricing |
| Autore | Kolari James W |
| Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
| Descrizione fisica | 1 electronic resource (228 p.) |
| Soggetto topico | Philosophy |
| Soggetto non controllato |
forecasting
commodity market metals term structure yield spread carry cost rate hedge ratio conditional hedge ratio bias adjustments earnings announcements options informed trading net buying pressure volatility direction at-the-money out-of-the-money deep-out-of-the-money asset pricing S&P 500 index survivor stocks risk factors momentum Bitcoin cryptocurrencies outliers GARCH-jump time-varying jumps zero-beta CAPM return dispersion expectation-maximization (EM) regression latent variable free-boundary problem pairs trading stochastic control trading strategies transaction costs transaction regions finance economics event study clustered event days cross-sectional correlation cumulated ranks rank test standardized abnormal returns market index market factor multifactors efficient portfolios efficient market hypothesis unit root spectral analysis abnormal returns pricing market volume portfolio profitability Poisson model |
| ISBN | 3-0365-5846-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910637778903321 |
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Kolari James W
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| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The impact of structural change in the banking industry on small business lending [[electronic resource] /] / by James Kolari and Asghar Zardkoohi
| The impact of structural change in the banking industry on small business lending [[electronic resource] /] / by James Kolari and Asghar Zardkoohi |
| Autore | Kolari James W |
| Pubbl/distr/stampa | [Washington, D.C.] : , : U.S. Small Business Administration, Office of Advocacy, , [1997] |
| Descrizione fisica | 2 unnumbered pages : digital, PDF file |
| Altri autori (Persone) | ZardkoohiAsghar |
| Collana | Small business research summary |
| Soggetto topico |
Commercial loans - United States
Small business - United States - Finance |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910696657503321 |
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Kolari James W
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| [Washington, D.C.] : , : U.S. Small Business Administration, Office of Advocacy, , [1997] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Predicting large U.S. commercial bank failures [[electronic resource] /] / James Kolari ... [and others]
| Predicting large U.S. commercial bank failures [[electronic resource] /] / James Kolari ... [and others] |
| Autore | Kolari James W |
| Pubbl/distr/stampa | [Washington, D.C.] : , : Office of the Comptroller of the Currency, , [2000] |
| Collana | Economic and policy analysis working paper |
| Soggetto topico |
Bank failures - Research - United States
Bank failures - United States - Forecasting |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910692112903321 |
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Kolari James W
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| [Washington, D.C.] : , : Office of the Comptroller of the Currency, , [2000] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence
| Professional Investment Portfolio Management : Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |
| Autore | Kolari James W |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing AG, , 2024 |
| Descrizione fisica | 1 online resource (268 pages) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
LiuWei
PynnönenSeppo |
| ISBN | 3-031-48169-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Acknowledgements -- Contents -- About the Authors -- List of Figures -- List of Tables -- Part I Introduction -- 1 Portfolio Theory and Practice -- 1.1 The Two-Step Portfolio Process -- 1.2 Real World Portfolio Analyses -- 1.3 New Investment Parabola Insights -- 1.4 A New Approach to Finding Efficient Portfolios -- 1.5 Summary -- Appendix: Optimal Weights for Many Assets -- References -- Part II Previous Asset Pricing Models -- 2 General Equilibrium Asset Pricing Models -- 2.1 The Present Value Formula -- 2.2 The CAPM -- 2.2.1 Existence of a Riskless Asset -- 2.2.2 Capital Market Line -- 2.2.3 Deriving the CAPM -- 2.2.4 Security Market Line -- 2.3 The Market Model -- 2.3.1 Early CAPM Tests -- 2.3.2 Investment Portfolio Implications -- 2.4 The Zero-Beta CAPM -- 2.4.1 Investment Portfolio Implications -- 2.5 Alternative CAPM Forms -- 2.6 Road Map of General Equilibrium Models -- 2.7 Summary -- References -- 3 Multifactor Asset Pricing Models -- 3.1 Arbitrage Pricing Theory -- 3.2 Fama and French Three-Factor Model -- 3.3 The Factor Zoo and Multifactor Models -- 3.3.1 Carhart Four-Factor Model -- 3.3.2 Hou, Xue, and Zhang Four-Factor Model -- 3.3.3 Stambaugh and Yuan Four-Factor Mispricing Model -- 3.3.4 Fama and French Five-Factor Model -- 3.3.5 Fama and French Six-Factor Model -- 3.3.6 Machine Learning Models -- 3.4 Roadmap of Multifactor Models -- 3.4.1 Investment Portfolio Implications -- 3.5 Summary -- References -- Part III The ZCAPM -- 4 A New Asset Pricing Model: The ZCAPM -- 4.1 Theoretical ZCAPM -- 4.1.1 Markowitz Investment Parabola -- 4.1.2 Derivation of the ZCAPM Equilibrium Relation -- 4.2 Graphical Depictions of the ZCAPM -- 4.2.1 Beta Risk and Zeta Risk in the ZCAPM -- 4.2.2 Architecture of the Investment Parabola and the ZCAPM -- 4.3 Summary -- References -- 5 The Empirical ZCAPM.
5.1 Specification of the Empirical ZCAPM -- 5.2 Cross-Sectional Test Methodology -- 5.3 Cross-Sectional Test Results -- 5.4 Portfolio Implications of the ZCAPM -- 5.5 Recognition of the Empirical ZCAPM -- 5.6 Summary -- References -- Part IV Portfolio Performance -- 6 Portfolio Performance Measures -- 6.1 Return Metrics -- 6.2 Performance Comparison -- 6.2.1 Sharpe Ratio -- 6.2.2 Manipulation-Proof Performance Measure -- 6.2.3 Treynor Measure -- 6.2.4 Jensen's Alpha -- 6.2.5 Market Timing -- 6.2.6 Value at Risk -- 6.2.7 Drawdown -- 6.3 Summary -- References -- Part V Building Stock Portfolios with the ZCAPM -- 7 Building the Global Minimum Variance Portfolio G -- 7.1 Previous Literature -- 7.2 Global Minimum Variance Portfolio -- 7.2.1 Mechanics of Building Portfolio G -- 7.2.2 Second Stage Portfolios -- 7.3 Empirical Results for the G Portfolio -- 7.3.1 Overall Sample G Results -- 7.3.2 Top 3,000 Sample G Results -- 7.4 Summary -- References -- 8 Net Long Portfolio Performance Analyses -- 8.1 Background Discussion -- 8.2 Empirical Methods -- 8.2.1 Review of the ZCAPM -- 8.3 Building Net Long Portfolios Using the ZCAPM -- 8.4 Empirical Results -- 8.4.1 Net Long Portfolios in the Analysis Period -- 8.4.2 Net Long Portfolios for Subperiods -- 8.5 Summary -- Appendix: Long-Short Portfolios Based on Zeta Risk Levels -- References -- 9 Net Long Portfolio Risk Analyses -- 9.1 GRS Risk Metrics -- 9.2 Value at Risk Metrics -- 9.3 Drawdown Risk Metrics -- 9.4 Summary -- References -- 10 Long Only Efficient Portfolios -- 10.1 Empirical Methods -- 10.1.1 Building Long Only Portfolios -- 10.2 Empirical Results -- 10.2.1 Long Only Zeta Risk Portfolios -- 10.2.2 Long Only Beta Risk Portfolios -- 10.3 Summary -- References -- 11 The Beta-Zeta Risk Architecture of the Mean-Variance Parabola -- 11.1 Empirical Methods -- 11.1.1 Building Long Only Portfolios. 11.2 Empirical Results -- 11.2.1 Zeta-Beta Risk Portfolios -- 11.2.2 Beta-Zeta Risk Portfolios -- 11.2.3 Subperiod Results for Beta Risk and Zeta Risk Portfolios -- 11.2.4 Results After Dropping High Idiosyncratic Risk Stocks -- 11.3 Summary -- References -- 12 Mutual Fund Portfolios -- 12.1 Empirical Methods -- 12.1.1 Building Mutual Fund Portfolios -- 12.2 Empirical Results -- 12.2.1 Mutual Fund Portfolios Sorted on Zeta Risk -- 12.2.2 Mutual Fund Portfolios Sorted on Beta Risk -- 12.3 Summary -- References -- Part VI Conclusion -- 13 The Future of Investment Practice, Artificial Intelligence, and Machine Learning -- 13.1 Asset Pricing Discussion -- 13.2 The ZCAPM and Investment Practice -- 13.3 Implications of Artificial Intelligence and Machine Learning -- References -- Index. |
| Record Nr. | UNINA-9910831005503321 |
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Kolari James W
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| Cham : , : Springer International Publishing AG, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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