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Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
Babalos, Vassilios; Philippas, Nikolaos; Doumpos, Michael; … - 2011
Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria...
Persistent link: https://www.econbiz.de/10015231396
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Mutual funds performance appraisal using stochastic multicriteria acceptability analysis
Babalos, Vassilios; Philippas, Nikolaos; Doumpos, Michael; … - 2012
Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria...
Persistent link: https://www.econbiz.de/10015234272
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To VaR, or Not to VaR, That is the Question
Olkhov, Victor - 2021
case of constant trade volumes. We derive the dependence of market-based price volatility on the volatilities and … Gaussian approximations, and even the forecasts of market-based price volatility will be inaccurate and highly uncertain. …
Persistent link: https://www.econbiz.de/10015213403
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Volatility Depends on Market Trades and Macro Theory
Olkhov, Victor - 2024
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...
Persistent link: https://www.econbiz.de/10015213603
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Three Remarks On Asset Pricing
Olkhov, Victor - 2021
linear and quadratic Taylor approximations, we derive new expressions for the mean price, mean payoff, volatility, skewness … volatility. The use of VWAP results in zero correlations between the price p and trade volume U. We derive a correlation between … volatility, one should forecast the volatilities and correlations of market trade values and volumes at the same horizon T. …
Persistent link: https://www.econbiz.de/10015213835
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Memory and Asset Pricing Models with Heterogeneous Beliefs
Verbic, Miroslav - 2006
The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of evolutionary adaptive systems and survival of technical trading. In order to obtain an insight into this matter...
Persistent link: https://www.econbiz.de/10015215184
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Volatility Depend on Market Trades and Macro Theory
Olkhov, Victor - 2020
. These probabilities determine properties of price and returns volatility. We define statistical moments for price and … expressions support numerous results on correlations between returns volatility, number of trades and the volume of market …
Persistent link: https://www.econbiz.de/10015216164
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A comparative analysis of correlation skew modeling techniques for CDO index tranches
Claudio, Ferrarese - 2006
In this work we present an analysis of CDO pricing models with a focus on “correlation skew models”. These models are extensions of the classic single factor Gaussian copula and may generate a skew. We consider examples with fat tailed distributions, stochastic and local correlation which...
Persistent link: https://www.econbiz.de/10015217817
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A Spot Stochastic Recovery Extension of the Gaussian Copula
Bennani, Norddine; Maetz, Jerome - 2009
The market evolution since the end of 2007 has been characterized by an increase of systemic risk and a high number of defaults. Realized recovery rates have been very dispersed and different from standard assumptions, while 60%-100% super-senior tranches on standard indices have started to...
Persistent link: https://www.econbiz.de/10015219858
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A time-scale analysis of systematic risk: wavelet-based approach
Khalfaoui Rabeh, K; Boutahar Mohamed, B - 2011
The paper studies the impact of different time-scales on the market risk of individual stock market returns and of a given portfolio in Paris Stock Market by applying the wavelet analysis. To investigate the scaling properties of stock market returns and the lead/lag relationship between them at...
Persistent link: https://www.econbiz.de/10015227592