A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee
This paper proposes the optimal pledge rate model based on the pledgee's bilateral risk-CVaR and dual-objective planning. First, a bilateral risk-CVaR model is constructed, for which a nonparametric kernel estimation method is presented, with a comparative analysis of the efficient frontier for...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-05-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023027998 |
| _version_ | 1827937505360478208 |
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| author | Liang Wang Xiao Sheng |
| author_facet | Liang Wang Xiao Sheng |
| author_sort | Liang Wang |
| collection | DOAJ |
| description | This paper proposes the optimal pledge rate model based on the pledgee's bilateral risk-CVaR and dual-objective planning. First, a bilateral risk-CVaR model is constructed, for which a nonparametric kernel estimation method is presented, with a comparative analysis of the efficient frontier for “mean-variance”, “mean-CVaR”, and “mean-bilateral risk CVaR”. Second, it establishes a dual-objective planning model by the objectives of bilateral risk-CVaR and expected return of the pledgee, and accordingly develops an optimal pledge rate model combined with objective deviation, priority factor, and entropy method. Finally, the relationships between the pledge rate, the number of pledged shares, and the expected return are explored through simulation. The results illustrate that: (i) There are sequential inclusion relationships between the “mean-bilateral risk CVaR”, the “mean-CVaR” considering only the downside risk, and the “mean-variance” efficient sets of share pledge rate. (ii) As the number of shares increases, the pledgee's expected return also rises, and its sensitivity to the pledge rate grows. (iii) When the pledgee's expected return fixes, the number of pledged shares and the pledge rate have a U-shaped relationship. As it increases, the number of pledged shares rises, but the variation range of the pledge rate gradually decreases, and the pledgor's default risk declines. |
| first_indexed | 2024-03-13T08:25:38Z |
| format | Article |
| id | doaj.art-3dd672923b734841b798a824be91a2b7 |
| institution | Directory Open Access Journal |
| issn | 2405-8440 |
| language | English |
| last_indexed | 2024-03-13T08:25:38Z |
| publishDate | 2023-05-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj.art-3dd672923b734841b798a824be91a2b72023-05-31T04:44:51ZengElsevierHeliyon2405-84402023-05-0195e15592A study on optimal share pledge rate based on bilateral risk-CVaR of pledgeeLiang Wang0Xiao Sheng1Corresponding author.; School of Economics and Business Administration, Xi'an University of Technology, Xi'an, 710048, ChinaSchool of Economics and Business Administration, Xi'an University of Technology, Xi'an, 710048, ChinaThis paper proposes the optimal pledge rate model based on the pledgee's bilateral risk-CVaR and dual-objective planning. First, a bilateral risk-CVaR model is constructed, for which a nonparametric kernel estimation method is presented, with a comparative analysis of the efficient frontier for “mean-variance”, “mean-CVaR”, and “mean-bilateral risk CVaR”. Second, it establishes a dual-objective planning model by the objectives of bilateral risk-CVaR and expected return of the pledgee, and accordingly develops an optimal pledge rate model combined with objective deviation, priority factor, and entropy method. Finally, the relationships between the pledge rate, the number of pledged shares, and the expected return are explored through simulation. The results illustrate that: (i) There are sequential inclusion relationships between the “mean-bilateral risk CVaR”, the “mean-CVaR” considering only the downside risk, and the “mean-variance” efficient sets of share pledge rate. (ii) As the number of shares increases, the pledgee's expected return also rises, and its sensitivity to the pledge rate grows. (iii) When the pledgee's expected return fixes, the number of pledged shares and the pledge rate have a U-shaped relationship. As it increases, the number of pledged shares rises, but the variation range of the pledge rate gradually decreases, and the pledgor's default risk declines.http://www.sciencedirect.com/science/article/pii/S2405844023027998Share pledgeBilateral risk-CVaRDual-objective planningPledge rate |
| spellingShingle | Liang Wang Xiao Sheng A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee Heliyon Share pledge Bilateral risk-CVaR Dual-objective planning Pledge rate |
| title | A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee |
| title_full | A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee |
| title_fullStr | A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee |
| title_full_unstemmed | A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee |
| title_short | A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee |
| title_sort | study on optimal share pledge rate based on bilateral risk cvar of pledgee |
| topic | Share pledge Bilateral risk-CVaR Dual-objective planning Pledge rate |
| url | http://www.sciencedirect.com/science/article/pii/S2405844023027998 |
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