Showing 1 - 10 of 36
Forecasting the mean returns vector and the covariance matrix is a key feature in implementing portfolio theory. The performance of the Bayes-Stein method for forecasting these parameters for use in the Markowitz model (with and without short sales) was compared with that of seven other...
Persistent link: https://www.econbiz.de/10009197979
Persistent link: https://www.econbiz.de/10005486636
Writing call options against long positions in the underlying equities is the most popular options strategy. Since the variance is an inadequate measure of risk for options strategies, this paper uses a range of dominance criteria and four utility functions to compare the performance of partly...
Persistent link: https://www.econbiz.de/10005438053
Persistent link: https://www.econbiz.de/10005780585
It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity...
Persistent link: https://www.econbiz.de/10005780588
This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first to study the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model and the...
Persistent link: https://www.econbiz.de/10005780601
This paper uses cointegration techniques to test the hypothesis that the forward rate for the Greek drachma-US dollar exchange rate is an unbiased predictor of the future spot rate.
Persistent link: https://www.econbiz.de/10005640636
Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI...
Persistent link: https://www.econbiz.de/10005640654
This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to Or researchers, the main types of financial market problem amenable to OR are identified, and some of the many problems solved using OR are documented.
Persistent link: https://www.econbiz.de/10005207739
Persistent link: https://www.econbiz.de/10005671316