Topic
Embedded value
About: Embedded value is a research topic. Over the lifetime, 343 publications have been published within this topic receiving 8853 citations.
Papers published on a yearly basis
Papers
TL;DR: In this article, the authors empirically test one of Graham's investment methods based on the net current asset value (NCAV), commonly known as the net-net method and find that the NCAV/MV strategy requires a longer holding period of the portfolio in order to generate excess returns.
Abstract: The objective of this paper is to empirically test one of Graham’s investment methods based on the net current asset value (NCAV). The NCAV is truly unique, and conservative, and commonly known as the net-net method. The ratio of the net current asset value to market value (NCAV/MV) was employed in this study to test a stock’s performance comparing to the performance of SP (b) investing in the growth period and avoiding the downturn period leads investors to earn much higher returns from the firms with a high NCAV/MV ratio; and (c) The NCAV/MV strategy requires a longer holding period of the portfolio in order to generate excess returns.
3 citations
Patent•
17 Nov 2011
TL;DR: In this article, the authors calculate a customized performance benchmark for a stable value fund by incorporating client-specific factors and calculating an overall crediting rate, as if the assets underlying the wrap contracts and insurance separate account contracts were invested in the market indices to which the fund's portfolio strategies are benchmarked.
Abstract: Embodiments calculate a customized performance benchmark for a stable value fund by incorporating client-specific factors and calculating an overall crediting rate, as if the assets underlying the wrap contracts and insurance separate account contracts were invested in the market indices to which the fund's portfolio strategies are benchmarked, rather than being invested in the actual underlying portfolios of the fund. The resulting benchmark translates market benchmark returns into book value returns and resulting market value to book value ratios, to compare to the actual stable value fund performance. The crediting rate process accounts for the yields, durations, and returns of the market value benchmarks in addition to client-specific cash flows and market value to book value ratios.
3 citations
Patent•
20 Aug 2003TL;DR: A Life Time Value (LTV) system as discussed by the authors is a data-driven computer-facilitated financial model that provides accurate and consistent profitability projections using current period account level profitability data stored in a Relational Database Management System (RDBMS).
Abstract: A Life-Time Value (LTV) system is a data-driven computer-facilitated financial model that provides accurate and consistent profitability projections using current period account level profitability data stored in a Relational Database Management System (RDBMS). The Life-Time Value system performs Net Present Value (NPV) and Future Value (FV) processing using business-rule and data-driven applications that embrace the current period profit components, defines forecast periods, parameters and methodologies, and applies appropriate growth values, attrition values and propensity values to an object of future value interest.
3 citations
3 citations
Posted Content•
TL;DR: In this article, the authors used option theory to determine the fair value of the insurance life policies with different time of maturity and showed that the effective liabilities duration of an insurance Company exposed to the default risk is different from the duration of a default free zero coupon bond with the same time of mature.
Abstract: The model, by using the option theory, determines the fair value of the insurance life policies with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default risk is different from the duration of a default free zero coupon bond with the same time of maturity. Furthermore, it shows that the value of equity can be immunized in a dynamic way with respect to the movement of the spot rate by selling and purchasing the default free bonds in the firm asset. Moreover, the equity value, by the right bond allocation, can be immunized without varying continually the weight of the bonds on the firm asset. Furthermore, it considers the surrender option and the mortally issue such that it corrects some pitfalls that are commonly encountered in the insurance industry.
3 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 2 |
| 2019 | 2 |
| 2018 | 3 |
| 2017 | 14 |
| 2016 | 20 |