The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management
In this paper, the Partial Distribution (PD) and multivariate Partial Distribution (MPD) are presented in their concepts, properties and applications, and PD is compared with the lognormal and the levy distribution. Though the levy distribution is better to describe the exchange returns in security market on a moderately large volatility range, the lognormal is better in a region of low values of volatility. We shall try to elucidate that Partial Distribution is better than lognormal distribution and levy distribution in many respects, and PD and MPD have some interesting properties which some other probability distributions have not. From PD and MPD, lots of interesting results can be acquired and many interesting economic propositions could be interpreted in analytic way. These properties could describe analytically many of phenomena in economic management better, and the results based on PD and MPD could be applied to solve many problems in economic management.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
- Feng Dai & Hui Liu & Ying Wang, 2005.
"Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging,"
- Feng Dai & Hui Liu & Ying Wang, 2005. "Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging," EERI Research Paper Series EERI_RP_2005_03, Economics and Econometrics Research Institute (EERI), Brussels.
- Feng Dai & Yajun Sun & Songtao Wu, 2008.
"The Structure Models for Futures Options Pricing and Related Researches,"
The IUP Journal of Applied Economics,
IUP Publications, vol. 0(3), pages 61-76, May.
- Feng Dai & Dongkai Zhai & Zifu Qin, 2005. "The Structure Models for Futures Options Pricing and Related Researches," International Finance 0503010, EconWPA.
- Feng Dai & Zifu Qin, 2004.
"Df Structure Models For Options Pricing,"
- Salvatore Micciche` & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2002.
"Volatility in Financial Markets: Stochastic Models and Empirical Results,"
- Miccichè, Salvatore & Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N, 2002. "Volatility in financial markets: stochastic models and empirical results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 756-761.
- Ross, Stephen A., 1978. "Mutual fund separation in financial theory--The separating distributions," Journal of Economic Theory, Elsevier, vol. 17(2), pages 254-286, April.
- Ofer Biham & Zhi-Feng Huang & Ofer Malcai & Sorin Solomon, 2002. "Long-Time Fluctuations in a Dynamical Model of Stock Market Indices," Papers cond-mat/0208464, arXiv.org.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
- Bunch, David S & Johnson, Herb, 1992. " A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach," Journal of Finance, American Finance Association, vol. 47(2), pages 809-816, June.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0508001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.