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Persistent link: https://www.econbiz.de/10008860388
This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al., 2000). The mathematical validity of the approximation...
Persistent link: https://www.econbiz.de/10013142489
Persistent link: https://www.econbiz.de/10003014258
This paper proposes a new fuzzy logic (FL)-based expert system with particle filtering and anomaly detection to create high-performance investment portfolios. In particular, our FL system selects a portfolio with fine risk-return profiles from a number of candidates by integrating multilateral...
Persistent link: https://www.econbiz.de/10012962870
This paper proposes a novel scheme for achieving high investment performances with Mean-Variance (MV) portfolios. As is well-known, MV portfolio performances largely depend on the quality of estimates of parameters, namely expected returns and covariance matrices. Particularly, easily...
Persistent link: https://www.econbiz.de/10012967693
This paper considers a new problem for portfolio optimization with a choice of a probability measure, particularly, an optimal investment problem under sentiments. Firstly, we formulate the problem as a sup-sup-inf problem consisting of optimal investment and a choice of a probability measure...
Persistent link: https://www.econbiz.de/10013234578
This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: rule-based,...
Persistent link: https://www.econbiz.de/10013152491
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for...
Persistent link: https://www.econbiz.de/10013061060
Persistent link: https://www.econbiz.de/10014234372
This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...
Persistent link: https://www.econbiz.de/10014239212