We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (cf. [LN00]), Leippold, Trojani and Vanini (cf. [LTV04], [LTV03]) about the equivalence of the...

A quantization procedure for the Yang-Mills equations for the Minkowski space R 1,3 is carried out in such a way that fi eld maps satisfying Wightman axioms of Constructive Quantum Field Theory can be obtained. Moreover, by removing the infrared and ultraviolet cutoff s, the spectrum of the...

Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized shape parameter from the skew‐normal...

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the...

As we leave behind the assumption of normality in return distributions, the classical risk-reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In the spirit of Sharpe thinking, a more general risk-reward ratio Phi suitable to compare skewed return distributions with...

This paper addresses a classical problem in corporate finance concerning the impact of leverage on financial performance measures. A popular leverage formula suggests to increase the leverage to raise the Return on Equity (ROE), if the condition that the rate of Return of Investment (ROI) is...