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Schindler, Dirk; Hilgers, Bodo - 2002

Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal … taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of … the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in …

Persistent link: https://www.econbiz.de/10010323931

Comparación entre algoritmo de ciclos y modelos de regime-switching, con aplicación a estrategias de inversión en derivados (opciones de venta)

Siri, Julián R.; Dapena, José P. - 2014

En el presente trabajo revisamos los principios de una popular estrategia de inversión basada en opciones financieras, en especial las opciones de venta (puts), y testeamos de manera estadística una estrategia de inversión basada en la compra venta de opciones de venta sobre un índice en el...

Persistent link: https://www.econbiz.de/10010513093

La Aldea Guavira Poty (Misiones, Argentina)

Merkel, Pablo Sebastián Rodríguez - 2014

Persistent link: https://www.econbiz.de/10010513112

Index options realized returns distributions from passive investment strategies

Dapena, José P.; Siri, Julian R. - 2015

and for the risk free rate of return, something in line with what was expected, but we also find that the risk is …

Persistent link: https://www.econbiz.de/10011460824

Testing excess returns from passive options investment strategies

Dapena, José P.; Siri, Julian R. - 2017

When analyzing options returns, most papers tend to focus on the expected and realized return from strategies where the investors are long on those financial instruments. We conduct a test searching for excess returns on passive options investment strategies resorting to a four factor model,...

Persistent link: https://www.econbiz.de/10011688815

Testing momentum effectfor the US market: From equity to option strategies

Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

Persistent link: https://www.econbiz.de/10011810934

Measuring and trading volatility on the US stock market: A regime switching approach

Dapena, José P.; Serur, Juan A.; Siri, Julián R. - 2018

Persistent link: https://www.econbiz.de/10012099685

Unraveling the value premium: A reward for risk or mispricing?

Serur, Claudio E.; Siri, Julián R.; Serur, Juan Andrés; … - 2019

-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth …

Persistent link: https://www.econbiz.de/10012609508

Risk on-risk off: A regime switching model for active portfolio management

Dapena, José P.; Serur, Juan Andrés; Siri, Julián R. - 2019

the risk free asset according to the perceived state of the nature. Our purpose is to evaluate if there is an active …

Persistent link: https://www.econbiz.de/10012609510

Model misspecification, the equilibrium natural interest rate and the equity premium

Tristani, Oreste - 2007

This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that the real natural rate can be affected by sizable uncertainty premia, including premia...

Persistent link: https://www.econbiz.de/10011604854