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American Option Pricing with Transaction Costs

Zakamouline, Valeri - EconWPA - 2003

In this paper we examine the problem of finding investors' reservation option prices and corresponding early exercise policies of American- style options in the market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a...

Persistent link: https://www.econbiz.de/10005413059

Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries

LOS, CORNELIS A. - EconWPA - 2004

ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization …

Persistent link: https://www.econbiz.de/10005413087

IMPROVING VALUE-AT-RISK ESTIMATES BY COMBINING KERNEL ESTIMATION WITH HISTORICAL SIMULATION

Butler, J. S.; Schachter, Barry - EconWPA - 1996

In this paper we develop an improvement on one of the more popular methods for Value-at-Risk measurement, the historical simulation approach. The procedure we employ is the following: First, the density of the return on a portfolio is estimated using a non-parametric method, called a Gaussian...

Persistent link: https://www.econbiz.de/10005413107

Information, Alternative Markets, and Security Price Processes: A Survey of Literature

Bhuyan, Rafiqul - EconWPA - 2002

information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and … in both markets to trade on their information. One group of researchers support the hypothesis that information reflects … in derivatives market first and underlying stock market lags in information transmission. Another group of researchers …

Persistent link: https://www.econbiz.de/10005413117

European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs

Zakamouline, Valeri - EconWPA - 2003

In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges and Neuberger (1989) and further developed by Davis, Panas and Zariphopoulou (1993), for the market where each transaction has a fixed cost component. We present a model, where investors have a...

Persistent link: https://www.econbiz.de/10005413178

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Los, Cornelis A. - EconWPA - 2004

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...

Persistent link: https://www.econbiz.de/10005413041

When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!

Los, Cornelis A. - EconWPA - 2004

Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long memory and distributional stability characteristics of the underlying rates of return. This disturbing result is based on the theoretical Fama- Samuelson proposition of...

Persistent link: https://www.econbiz.de/10005413142

Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo

Rossi, Pietro; Tavoni, Massimo; Cocco, Flavio; … - EconWPA - 2002

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...

Persistent link: https://www.econbiz.de/10005413052

Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

Taflin, Erik - EconWPA - 1999

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...

Persistent link: https://www.econbiz.de/10005125679

Joint Bidding in Common Value Auctions: Theory and Evidence

Mares, Vlad; Shor, Mikhael - EconWPA - 2003

. On one hand, the pooling of information within bidding rings increases the precision of competing estimates. We … information is distributed. The experimental results are consistent with our theoretical predictions for different value and …

Persistent link: https://www.econbiz.de/10005407619