Determining Expected Utility and Entropy Ratio in the Expected Utility-Entropy Decision Model for Stock Selection Depending on Capital Market Development

Appropriate securities selection is an important step in formation of an investment portfolio. The expected utility-entropy (EU-E) decision-making model is one of the models that can be applied to investment portfolio stock selection. The decision-maker subjective preference is reflected by the expected utility, and the objective uncertainty is measured using Shannon entropy. In this model, the measure of risky action is the weighted linear average of expected utility and entropy using a risk tradeoff factor. This chapter tests whether tradeoff coefficient depends on capital market development. With this aim, EU-E model was applied on European Union (EU) capital markets with different development according to FTSE equity country classification. It tests whether the EU-E model applied to the three different capital markets gives the best stock selection results for the same tradeoff coefficient values, or whether tradeoff coefficient depends on capital market development.

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A measure of risk and a decision-making model based on expected utility and entropy

European Journal of Operational Research ◽

10.1016/j.ejor.2004.01.031 ◽

2005 ◽

Vol 164 (3) ◽

pp. 792-799 ◽

Cited By ~ 68

Author(s):

Jiping Yang ◽

Wanhua Qiu

Keyword(s):

Decision Making ◽

Expected Utility ◽

Model Based ◽

Decision Making Model

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A Capital Market Union For Europe

Staff Discussion Notes ◽

10.5089/9781498313278.006 ◽

2019 ◽

Vol 19 (07) ◽

Author(s):

Srobona Mitra ◽

Anke Weber ◽

Ashok Bhatia ◽

Shekhar Aiyar ◽

Luiza Antoun de Almeida ◽

...

Keyword(s):

Capital Markets ◽

Capital Market ◽

Market Integration ◽

Capital Formation ◽

Market Development ◽

Shock Absorption ◽

Capital Market Integration ◽

Playing Field ◽

Regulatory Quality ◽

Corporate Funding

This note weighs the merits of a capital market union (CMU) for Europe, identifies major obstacles in its path, and recommends a set of carefully targeted policy actions. European capital markets are relatively small, resulting in strong bank-dependence, and are split sharply along national lines. Results include an uneven playing field in terms of corporate funding costs, the rationing out of collateral-constrained firms, and limited shock absorption. The benefits of integration center on expanding financial choice, ultimately to support capital formation and resilience. Capital market development and integration would support a healthy diversity in European finance. Proceeding methodically, the note identifies three key barriers to greater capital market integration in Europe: transparency, regulatory quality, and insolvency practices. Based on these findings, the note urges three policy priorities, focused on the three barriers. There is no roadblock—such steps should prove feasible without a new grand bargain.

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LANDASAN FILOSOFIS PENGATURAN PASAR MODAL DI INDONESIA: HARAPAN DAN KENYATAAN

Refleksi Hukum Jurnal Ilmu Hukum ◽

10.24246/jrh.2015.v9.i2.p181-198 ◽

2015 ◽

Vol 9 (2) ◽

pp. 181

Author(s):

Marihot Janpieter Hutajulu

Keyword(s):

Welfare State ◽

Economic System ◽

Capital Markets ◽

Capital Market ◽

Market Development ◽

Market Regulation ◽

The Republic ◽

Capital Market Regulation ◽

Met Expectations ◽

The Capital Market

Abstrak Keberadaan pasar modal di Indonesia dibutuhkan mengingat peranannya yang penting untuk menyokong kondisi perekonomian negara. Namun pasar modal sebagai lembaga yang berasal dari sistem ekonomi liberal-kapitalistik tidak serta merta dapat dengan mudah diadopsi dan diatur tanpa disesuaikan dengan filosofi bangsa Indonesia. Melalui tulisan ini, Penulis hendak menganalisis kesesuaian tujuan pengaturan dan pengembangan pasar modal di Indonesia dengan konsep Negara Kesejahteraan Indonesia pasca Amandemen Undang-Undang Dasar Negara Republik Indonesia Tahun 1945. Analisis tulisan ini menyimpulkan bahwa tujuan pengembangan pasar modal Indonesia adalah mewujudkan masyarakat yang adil dan makmur, namun tujuan pengaturan pasar modal itu sendiri belum sesuai dengan konsep negara kesejahteraan Indonesia serta belum memenuhi harapan konstitusional bangsa ini. AbstractIn Indonesia the existence of capital market is needed considering the important role to support the country's economy. But the capital market as an institution derived from the liberal-capitalistic economic system can not necessarily be adopted and arranged without adjustment to the philosophy of the Indonesian nation. Through this article, the author analyzes the suitability of regulation and development of capital markets in Indonesia with the concept of Indonesian welfare state after the amendment to the Constitution of the Republic of Indonesia of 1945. The analysis of this paper draws a conclusion that the purpose of the Indonesian capital market development is to realize a just and prosperous society, but the goal of the capital market regulation itself is not in accordance with the concept of Indonesia as well as the concept of welfare state and thus has not met expectations of the nation's constitutional expectations.

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A földrajzi diverzifikáció szerepe a globális tőkepiacokon

Földrajzi Közlemények ◽

10.32643/fk.144.3.2 ◽

2020 ◽

Vol 144 (3) ◽

pp. 258-273

Keyword(s):

Decision Making ◽

Real Time ◽

Market News ◽

Capital Markets ◽

Capital Market ◽

Statistical Data ◽

Investment Decision ◽

Market Prices ◽

Investment Decision Making ◽

Geographical Diversification

This study illustrates the effectiveness of geographical diversification using capital market data. The paper uses historical capital market prices to show how the neglect of geographical diversification results in a deterioration in investment decision-making. In addition, the correlations between the capital markets of the former socialist countries are presented, which in many cases can be explained by real economic processes and geopolitical events. Quantitative, real-time financial and statistical data provided by capital markets can also be used to justify the dependence systems between countries and groups of countries, but the method can also be used in many cases to show the economic and geopolitical changes between countries. The study shows how concentrated the world’s stock markets are, which means that smaller capital markets cannot separate themselves from economic events, money and capital market news, or events of the largest ones.

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An extended TDM method under probabilistic interval-valued hesitant fuzzy environment for stock selection

PLoS ONE ◽

10.1371/journal.pone.0252115 ◽

2021 ◽

Vol 16 (5) ◽

pp. e0252115

Author(s):

Qasim Noor ◽

Tabasam Rashid ◽

Syed Muhammad Husnine

Keyword(s):

Decision Making ◽

At Risk ◽

Group Decision Making ◽

Fuzzy Set ◽

Value At Risk ◽

Group Decision ◽

Hesitant Fuzzy Set ◽

Stock Selection ◽

Decision Making Model ◽

Interval Valued

Generally, in real decision-making, all the pieces of information are used to find the optimal alternatives. However, in many cases, the decision-makers (DMs) only want “how good/bad a thing can become.” One possibility is to classify the alternatives based on minimum (tail) information instead of using all the data to select the optimal options. By considering the opportunity, we first introduce the value at risk (VaR), which is used in the financial field, and the probabilistic interval-valued hesitant fuzzy set (PIVHFS), which is the generalization of the probabilistic hesitant fuzzy set (PHFS). Second, deemed value at risk (DVaR) and reckoned value at risk (RVaR) are proposed to measure the tail information under the probabilistic interval-valued hesitant fuzzy (PIVHF) environment. We proved that RVaR is more suitable than DVaR to differentiate the PIVHFEs with example. After that, a novel complete group decision-making model with PIVHFS is put forward. This study aims to determine the most appropriate alternative using only tail information under the PIVHF environment. Finally, the proposed methods’ practicality and effectiveness are tested using a stock selection example by selecting the ideal stock for four recently enrolled stocks in China. By using the novel group decision-making model under the environment of PIVHFS, we see that the best stock is E4 when the distributors focus on the criteria against 10% certainty degree and E1 is the best against the degree of 20%, 30%, 40% and 50% using the DVaR method. On the other hand when RVaR method is used then the best alternative is E4 and the worst is E2 against the different certainty degrees. Furthermore, a comparative analysis with the existing process is presented under the PHF environment to illustrate the effectiveness of the presented approaches.

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A causal relationship between derivatives trading, capital market development and economic growth: Evidence from South Africa

Corporate Ownership and Control ◽

10.22495/cocv11i2c7p2 ◽

2014 ◽

Vol 11 (2) ◽

pp. 688-696 ◽

Cited By ~ 6

Author(s):

Godfrey Marozva

Keyword(s):

Economic Growth ◽

Granger Causality ◽

Capital Markets ◽

Capital Market ◽

Stock Exchange ◽

Market Development ◽

Management Tools ◽

Distributed Lag ◽

Long Run ◽

Short Run

This article is based on empirical research on the relationship between derivatives and capital market development and also between derivatives and economic growth on the Johannesburg Stock Exchange (JSE) for the period between 1994 and 2012. The study employed the Autoregressive Distributed Lag (ARDL)-bound testing approach and the Granger causality tests to examine the linkage between capital market development and derivatives, and the nexus between derivatives and economic growth to capture the short-run and long-run dynamics. The results show that there is a significant relationship between derivatives and capital markets development. Further tests indicated that there is a unidirectional Granger causality running from capital market development to derivatives both in the short run and long run, implying that derivatives do not Granger cause capital market development. Results also revealed that there is no direct linkage between derivatives and economic growth. Based on the research it is recommended that further research should be conducted to investigate how derivatives enhance capital market development through augmentation of liquidity and efficiency, leverage, and reduction of transaction costs through the role of derivatives as risk management tools in capital markets.

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UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM

International Journal of Uncertainty Fuzziness and Knowledge-Based Systems ◽

10.1142/s0218488514500056 ◽

2014 ◽

Vol 22 (01) ◽

pp. 113-123 ◽

Cited By ~ 32

Author(s):

KAI YAO ◽

XIAOYU JI

Keyword(s):

Decision Making ◽

Decision Theory ◽

Utility Function ◽

Portfolio Selection ◽

Expected Utility ◽

Random Variable ◽

Uncertain Variable ◽

Selection Problem ◽

Portfolio Selection Problem ◽

Objective Uncertainty

In the traditional decision theory, choice with undetermined consequence is usually regarded as random variable, which usually describes objective uncertainty. This paper first considers the human uncertainty in making decisions, and employs uncertain variable to describe the choice. Utility function is also employed in the paper, and expected utility is introduced as a criterion to rank the choices. At last, in order to illustrate the uncertain decision making method, a portfolio selection problem is considered.

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University-Industry Collaboration With a Focus on Venture Capital Investments

University-Industry Collaboration Strategies in the Digital Era - Advances in Higher Education and Professional Development ◽

10.4018/978-1-7998-3901-9.ch012 ◽

2021 ◽

pp. 236-264

Author(s):

Serkan Sahin

Keyword(s):

Venture Capital ◽

Capital Markets ◽

Capital Market ◽

Business Models ◽

Market Development ◽

Capital Investments ◽

Industry Collaboration ◽

Start Ups ◽

Venture Capital Investments ◽

University Industry

Today, many countries are searching for financing alternatives which may contribute to the development of an economy. Funds provided by venture capitals may be considered as a vital funding source especially for start-ups. In particular, venture capital investments may enhance the available financing alternatives used to finance innovative business ideas. Policies supporting the capital market development may also boost innovative business ideas since the developed capital markets may attract higher amounts of venture capital investments. Hence, it seems possible that policies supporting innovative business ideas may contribute to this goal by supporting the development of the capital markets. This chapter aims to explain business models, financing alternatives, and exit strategies; give information about venture capital investments in Europe; propose a conceptual model for an improved university-industry collaboration via capital market development; and finally, empirically investigate the causal association between venture capital investments and capital market development.

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Government roles in venture capital development: a review of current literature

Journal of Entrepreneurship and Public Policy ◽

10.1108/jepp-08-2014-0032 ◽

2015 ◽

Vol 4 (3) ◽

pp. 367-391 ◽

Cited By ~ 4

Author(s):

Lisa Jane Callagher ◽

Peter Smith ◽

Saskia Ruscoe

Keyword(s):

Venture Capital ◽

Capital Markets ◽

Capital Market ◽

Financial Incentives ◽

Empirical Studies ◽

Entrepreneurial Activity ◽

Market Development ◽

Future Research ◽

Content Type ◽

Capital Development

Purpose – Interest in venture capital markets continues to be of relevance to politicians and policy makers, recognizing the importance of government participation in venture capital market development. Yet advice regarding developing venture capital markets appears increasingly disparate. The paper aims to discuss these issues. Design/methodology/approach – The authors engage the assumptions that underpin three dominant policy approaches to the development of venture capital markets with regard to the role of governments in that process. The authors categorize existing empirical studies against three approaches and give examples of the different government policies associated with the various approaches. Findings – Direct and indirect approaches recognize the importance of active stock markets but largely ignore the dynamic processes of markets, asserting that the provision of capital, institutional changes, and financial incentives ex ante will cause a positive market reaction, regardless of the market’s context. The recent timed approached is purported as being more comprehensive in its awareness of the need to adapt to countries’ contexts and the need for varying policies at the different stages of market emergence. Research limitations/implications – Limited empirical research tests the voracity and limitations of the timed approach. The challenge in doing so is that evolutionary theories typically explain an event after it has occurred, thus its predictive power is often limited. Future research might investigate the efficacy of policy levers based on the timed approach. Practical implications – The authors highlight the need for the development of venture capital markets, rather than a venture capital industry. Originality/value – The authors extend the existing venture capital market development categories and evaluate each approach in terms of the efficacy of government’s roles in venture capital market development in light of the existing evidence of economic development and entrepreneurial activity.

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