Showing 1 - 10 of 18
We consider a multi-asset discrete-time model of a financial market with proportional transaction costs as described by Schachermayer [7]. In this model, the set of all self-financing trading strategies contains for example trading strategies which consist of buying an asset and selling it at...
Persistent link: https://www.econbiz.de/10014621337
We present two general results that can be used to obtain asymptotic properties for statistical functionals based on linear long-memory sequences. As examples for the first one we consider L- and V-statistics, in particular tail-dependent L-statistics as well as V-statistics with unbounded...
Persistent link: https://www.econbiz.de/10011065017
Persistent link: https://www.econbiz.de/10011035983
The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains...
Persistent link: https://www.econbiz.de/10010999679
Persistent link: https://www.econbiz.de/10005760231
For order statistics Xi,n,Xj,n,Xk,n with 1[less-than-or-equals, slant]i<j<k[less-than-or-equals, slant]n, and an independent beta distributed random variable C the distributional equation is established for uniform distributions as well as seen to be characteristic.
Persistent link: https://www.econbiz.de/10005224005
The classical functional delta method (FDM) provides a convenient tool for deriving the asymptotic distribution of statistical functionals from the weak convergence of the respective empirical processes. However, for many interesting functionals depending on the tails of the underlying...
Persistent link: https://www.econbiz.de/10008861564
The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains...
Persistent link: https://www.econbiz.de/10010759274
Persistent link: https://www.econbiz.de/10011740783
Persistent link: https://www.econbiz.de/10015073889