Browsing by Author "Laha, Arnab Kumar"
Now showing items 61-80 of 120
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Investigation into optimal portfolio allocation of stocks having non - normal returns
Subramaniam, Bharathy; Bhowmick, Divyajyoti (Indian Institute of Management Ahmedabad, 2005)Abstract: 1) Introduction and context description: According to the traditional asset pricing methods, the returns of stocks are assumed to be normally distributed with mean jx and standard deviation o. In these cases, ... -
Investigation into optimal portfolio allocation of stocks having non-normal returns
Subramaniam, Bharathy; Bhowmick, Divyajyoti (Indian Institute of Management Ahmedabad, 2005)Abstract Introduction and context description: According to the traditional asset pricing methods the returns of stocks are assumed to be normally distributed with mean and standard deviation in these cases the mean and ... -
LIBOR market model
Palwe, Akshay (Indian Institute of Management Ahmedabad, 2013) -
Likelihood integrated method for exploratory graphical analysis of chagne point problem with directional data
Sengupta, Ashis; Laha, Arnab Kumar (2010-07-20)In this paper authors have introduced a new likelihood based method, called the likelihood integrated method, which is distnict from the well known integrated likelihood method. We use the likelihood integrated propose a ... -
A likelihood integrated method for exploratory graphical analysis of change-point problem with directional data
Sengupta, Ashis; Laha, Arnab Kumar (Communications in Statistics, Theory and Methods, 2008-11-11)In this article we introduce a new likelihood based method, called the likelihood integrated method, which is distinct from the well-known integrated likelihood method. We use the likelihood integrated to propose a simple ... -
Managing Rural Institutional Credit: Lessons From Interlinked Transactions
Pal, Debdatta (2013)In recent years, the focus of numerous rural credit institutions, which includes lenders from both formal and semi-formal (the micro-finance providers) domains, has started shifting from traditional credit-alone approach ... -
Measure of llliquidity of effect and effect on the price of assets
Balasubramanian, Ashwin; Karthik, Vijaykumar (Indian Institute of Management Ahmedabad, 2006) -
Modeling leptokurtic return distributions in commodity markets
Laha, Arnab Kumar (Indian Institute of Management Ahmedabad, 2013-08-28) -
Modeling stock market returns using chaos theory
Chandra, Shaurya; Shankar, Shubhang (Indian Institute of Management Ahmedabad, 2006) -
Modeling stock market returns using heavy tailed distributions
Kar, Ashutosh; Peres, Glen (Indian Institute of Management Ahmedabad, 2006)Stock market returns have been assumed to be normal is several financial models including Black - Scholes and almost every other model that tries to capture the stochastic nature of the stock movement. Though such an ... -
Multitype branching process: extensions, inferences and applications
Yadav, Sumit Kumar (Indian Institute of Management Ahmedabad, 2020)The idea of a simple branching process is that a parent produces offsprings. They then further take the role of parents and produce o springs, and the processes continue either until infinity or until extinction. We relax ... -
New approaches to prediction using functional data analysis
Laha, Arnab Kumar; Rathi, Poonam (Indian Institute of Management, Ahmedabad, 2017-08-10)In this paper we address the problem of prediction with functional data. We discuss several new methods for predicting the future values of a partially observed curve when it can be assumed that the data is coming from an ... -
A Note on Randomized Response Surveys
Laha, Arnab Kumar (2010-08-28)In this technical note we discuss some useful techniques for gathering sensitive data. We discuss three methods of Randomized response surveys warner’s methods, unrelated questions method and a method for gathering sertives ... -
Note on Robust Statistical Methods
Mahesh, K. C.; Laha, Arnab Kumar (2010-09-02)In this note we introduce the notion of robustness which plays an important role in real life analysis of data. Two robust estimates of location, namely the trimmed mean and the M-estimation are discussed. The Influence ... -
Note on Test of Normality
Laha, Arnab Kumar (2010-08-31)In this technical note we discuss graphical assessment and formal testing procedures for normality.The widely used graphical techniques. P-P & Q–Q plots are described. Several formal testing procedures namely, - tests bazed ... -
A novel sandwich algorithm for empirical Bayes analysis of rank data
Laha, Arnab Kumar; Dutta, Somak; Roy, Vivekananda (International Press, 2017)Rank data arises frequently in marketing, nance, organizational behavior, and psychology. Most analysis of rank data reported in the literature assumes the presence of one or more variables (sometimes latent) based on ... -
Optimal allocation in a portfolio containing stock with heavy-tailed returns under disappointment aversion utility functions
Das, Pradipto; Saha, Ankan (Indian Institute of Management Ahmedabad, 2006) -
Optimal transport based drift detection for sensor streams: method and applications in transportation
Laha, Arnab Kumar; Verma, Shikha (Indian Institute of Management Ahmedabad, 2021-09-01)With increasing adoption of Internet of Things (IoT) across the transportation sector, there is a growing need for developing algorithms for analyzing data streams. Due to dynamic operating environment conditions in the ... -
Optimal valuation model for cricketers using modern portfolio theory
Shanker, Meghna; Chakraborty, Shounak (Indian Institute of Management Ahmedabad, 2019)As part of the project course, the aim was to test the hypothesis of efficient portfolio performance for the different franchise teams that have participated in the Indian Premier League (IPL) over the years. Each over was ... -
Option pricing based on skew normal distribution of asset prices
Jha, Rahul; Nath, Achal (Indian Institute of Management Ahmedabad, 2006)