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We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line with reality we assume that there are non-negligible...
Persistent link: https://www.econbiz.de/10013135270
This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...
Persistent link: https://www.econbiz.de/10015084447
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The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...
Persistent link: https://www.econbiz.de/10013219149
two stocks and the correlation in default between them. The default correlation and the default intensity are represented …
Persistent link: https://www.econbiz.de/10012817974
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This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and...
Persistent link: https://www.econbiz.de/10014236006
Investors often control risk exposure by trading options. This article studies the optimal strategy for liquidating an option position. Under both complete and incomplete market settings, we quantify the value of optimally timing to liquidate, and identify the situations where it is optimal to...
Persistent link: https://www.econbiz.de/10013014538
The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...
Persistent link: https://www.econbiz.de/10013229595
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