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Affine variance swap curve models
Filipović, Damir - 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …
Persistent link: https://www.econbiz.de/10009558387
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Empirical Asset Pricing via Ensemble Gaussian Process Regression
Filipović, Damir; Pasricha, Puneet - 2022
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...
Persistent link: https://www.econbiz.de/10014236083
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Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff . Economic intuition suggests that high risk aversion leads to a rather concentrated...
Persistent link: https://www.econbiz.de/10009009482
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Optimal investment and premium policies under risk shifting and solvency regulation
Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they...
Persistent link: https://www.econbiz.de/10009009505
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On dynamic hedging of single-tranche collateralized debt obligations
Eksi, Zehra; Filipović, Damir - 2013
a dynamically rebalanced portfolio on the underlying index swap. We analyze the actual performance of the variance …
Persistent link: https://www.econbiz.de/10009750624
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The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - 2013
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the...
Persistent link: https://www.econbiz.de/10009750631
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Trading with small price impact
Moreau, Ludovic; Muhle-Karbe, Johannes; Soner, Halil Mete - 2014
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and...
Persistent link: https://www.econbiz.de/10010338746
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Rebalancing with linear and quadratic costs
Liu, Ren; Muhle-Karbe, Johannes; Weber, Marko - 2014
We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk...
Persistent link: https://www.econbiz.de/10010338752
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Asymptotics for fixed transaction costs
Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil Mete - 2013
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value...
Persistent link: https://www.econbiz.de/10010255098
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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - 2012
An investor with constant absolute risk aversion trades a risky asset with general Itôdynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the associated welfare, expressed in terms of the local...
Persistent link: https://www.econbiz.de/10009684284