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Získávání renty velkými vlastníky akcií: důkaz s použitím dividendové politiky v České republice
Bena, Jan ; Hanousek, Jan
Using cross-sectional analysis of corporate dividend policy we show that large shareholders extract rents from firms and expropriate minority shareholders in the weak corporate governance environment of an emerging economy. By comparing dividends paid across varying corporate ownership structures - concentration, type, and domicile of ownership - we quantify these effects and reveal that they are substantial. We find that the target payout ratio for firms with majority ownership is low but that the presence of a significant minority shareholder increases the target payout ratio and hence precludes a majority owner from extracting rent. In contrast to other studies from developed markets, our unique dataset from the Czech Republic for the period 1996-2003 permits us to take account of the endogeneity of ownership.
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MCMC metody ve výpočetní statistice a ekonometrii
Volf, Petr
The paper recals the MCMC methods, namely the Gibbs algorithm, the Metropolis--Hastings algorithm and variants used for solution of optimization problems, namely the simulated annealing. The objective is to describe the schemes of the algorithms, to recall their theoretical foundation, and to show their use both in Bayes data analysis and in randomized optimization problem.
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Porovnání aproximací v úlohách stochastické a robustní optimalizace
Houda, Michal
The paper deals with two wide areas of optimization theory: stochastic and robust programming. We specialize to different approaches when solving an optimization problem where some uncertainties in constraints occur. To overcome uncertainty, we can request the solution to be feasible to all but a small part of constraints. Both approaches gives us different methods to deal with this requirement. We try to find fundamental differencies between them and illustrate the differencies on a simple numerical example.
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Optimální strategie na trhu s limitními objednávkami
Šmíd, Martin
We define a decision problem of an investor, trading continuously at a limit order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or exponential utility function), the problem may be factorized and, given additional restrictions, it may even be solved.
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Úlohy stochastického programování s lineární kompensací: Aplikace na problematiku dvou manažérů
Kaňková, Vlasta
Stochastic programming problems with recourse are a composition of two (outer and inner) optimization problems. A solution of the outer problem depends on the "underlying" probability measure while a solution of the inner problem depends on the solution of the outer problem and on the random element realization. Evidently, a position and optimal behaviour of two managers can (in many cases) be described by this type of the model in which an optimal behaviour of the main manager is determined by the outer problem while the optimal behaviour of the second manager is described by the inner problem. We focus on an investigation of the inner problem.
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Aproximace ve stochastických růstových modelech
Sladký, Karel
In this note, we consider finite state approximations of the stochastic Ramsey type model in discrete-time version. Recalling standard procedures of stochastic dynamic programming we present explicit formulas for finding maximum global utility of the consumers (i.e. sum of total discounted instantaneous utilies) in the approximated model.
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