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Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage …

Persistent link: https://www.econbiz.de/10011507861

Agent-based model of system-wide implications of funding risk

Hałaj, Grzegorz - 2018

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based...

Persistent link: https://www.econbiz.de/10011779837

Revisiting uncertain investment and financing decisions using entry probability

Chen, Po-yuan - In: Journal of applied finance & banking 3 (2013) 3, pp. 179-194

This paper extends the work of Chen and Chang (2010) and attempts to present a model for the optimal investment threshold and the real option value under price uncertainty from a different aspect of entry probability. I measure a financing policy by the debt ratio, a weight for the proportion of...

Persistent link: https://www.econbiz.de/10009743359

Non-implementability of Arrow-Debreu equilibria by continuous trading under knightian uncertainty

Riedel, Frank; Beißner, Patrick - 2014

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...

Persistent link: https://www.econbiz.de/10010411561

Mean-Reversion Risk APT and the Mean-Reversion Risk CAPM

Jones, C. Kenneth - 2023

Time horizon dimensions are added to asset pricing theory. Single period, static, arbitrage pricing theory (APT … factors are harmonic, uncorrelated, nonoverlapping, and form an exact K factor structure APT. Arbitrage portfolios are … reversion risk arbitrage pricing theory (A-APT), and the mean-reversion risk capital asset pricing model (A-CAPM) price mean …

Persistent link: https://www.econbiz.de/10014351311

Sensitivity to Large Losses and ρ-Arbitrage for Convex Risk Measures

Herdegen, Martin; Khan, Nazem - 2022

key to ensure the existence of optimal portfolios and the second one is key to ensure the absence of ρ-arbitrage. This … characterisations of (strong) ρ-arbitrage as well as the property that ρ is suitable for portfolio selection. Finally, we introduce the …

Persistent link: https://www.econbiz.de/10014351779

Financial Uncertainty with Ambiguity and Learning

Liu, Hening; Zhang, Yuzhao - 2020

We examine a production-based asset pricing model with regime-switching productivity growth, learning and ambiguity. Both mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent's preferences are characterized by the...

Persistent link: https://www.econbiz.de/10014352422

Addressing the Challenge of Annuity Income Uncertainty : A Dynamic Annuitization Strategy

Park, Seyoung - 2020

In the aftermath of the financial crisis of 2008, there is increased concern about the potentially catastrophic pension default risk, which results in significant decreases in pension benefits. In order to address the challenge of annuity income uncertainty, I propose a dynamic annuitization...

Persistent link: https://www.econbiz.de/10012853943

Optimal Retirement with Long-Run Income Risk

Huang, Shan - 2020

We develop a retirement model with long-run income risk in which the wealth threshold for retirement is shown to be a function of the extent of the long-run income risk. By devising a new numerical algorithm, we solve the two-dimensional retirement problem. The two-dimensional retirement...

Persistent link: https://www.econbiz.de/10012854540

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk

Jang, Bong-Gyu - 2020

In this paper, we develop a new dynamic programming approach for solving an optimal retirement model in a two-dimensional incomplete market, which is induced by forced unemployment risk and borrowing constraints. We show that the two dimensions jointly affect an individual's optimal consumption,...

Persistent link: https://www.econbiz.de/10012856698