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Utility maximization on the real line under proportional transaction costs
Bouchard, Bruno - In: Finance and Stochastics 6 (2002) 4, pp. 495-516
We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...
Persistent link: https://www.econbiz.de/10005390685
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No-arbitrage criteria for financial markets with efficient friction
(**), Christophe Stricker; (*), Miklós Rásonyi; … - In: Finance and Stochastics 6 (2002) 3, pp. 371-382
Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial …
Persistent link: https://www.econbiz.de/10005613422
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Utility Maximization on the Real Line under Proportional Transaction Costs
Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2002
We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...
Persistent link: https://www.econbiz.de/10010706669
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Usefulness of Treasury Bill Futures as Hedging Instruments
Cicchetti, Paul; Dale, Charles; Vignola, Anthony - Volkswirtschaftliche Fakultät, … - 1981
In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio … model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were … misspecification of the model and to test whether the hedging effectiveness of the T-Bill futures market has changed after three years …
Persistent link: https://www.econbiz.de/10011107838
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011109710
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Is the Futures Market for Treasury Bills Efficient?
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1979
In a recent article, Puglisi developed and tested a model for evaluating the efficiency of the Treasury bill futures market. He found that the market for Treasury bill futures was not efficient because arbitrage opportunities existed involving transactions in futures and outstanding Treasury...
Persistent link: https://www.econbiz.de/10011110375
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Performance of Delta-hedging strategies in interval models - A robustness study
Engwerda, Jacob; Schumacher, Johannes M.; Roorda, B. - Tilburg University, Center for Economic Research - 1999
Persistent link: https://www.econbiz.de/10011092341
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The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, … - 1980
theory of the term structure of interest rates. In general, the results show that the overnight cost-of-carry model is better …
Persistent link: https://www.econbiz.de/10011112305
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Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System
Vignola, Anthony; Dale, Charles - Volkswirtschaftliche Fakultät, …; … - 1979
The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government...
Persistent link: https://www.econbiz.de/10011196423
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On the characteristics of dynamic correlations between asset pairs
Jacobs, Michael; Karagozoglu, Ahmet K. - In: Research in International Business and Finance 32 (2014) C, pp. 60-82
Recent research provides considerable evidence that correlations between assets change significantly over time and diversification benefits of correlations may vary substantially based on the time-varying measure of correlation used for different asset types. Our study evaluates and compares...
Persistent link: https://www.econbiz.de/10010785037