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Co-monotonicity of optimal investments and the design of structured financial products

Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We prove that under very weak conditions optimal ﬁnancial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory or Prospect Theory. The proof is based on methods...

Persistent link: https://www.econbiz.de/10005858203

The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 117-142

In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … consumption beta estimates, CCAPM is found to only be relevant for few portfolios in the stock market, with negative betas for the …

Persistent link: https://www.econbiz.de/10011961662

Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?

Auer, Benjamin R. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 5, pp. 518-544

factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can …

Persistent link: https://www.econbiz.de/10010907944

Saving-based asset-pricing

Dreyer, Johannes K.; Schneider, Johannes; Smith, William T. - In: Journal of Banking & Finance 37 (2013) 9, pp. 3704-3715

This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These “saving-based”...

Persistent link: https://www.econbiz.de/10011065662

Another look at the uncovered interest rate parity: Have we missed the fundamentals?

Pikoulakis, Emmanuel V.; Wisniewski, Tomasz Piotr - In: Economics Letters 116 (2012) 3, pp. 476-479

We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.

Persistent link: https://www.econbiz.de/10011041823

Precautionary Portfolio Behavior from a Life-Cycle Perspective

Bertaut, Carol C.; Haliassos, Michael - EconWPA - 1996

The literature on household asset accumulation draws a sharp distinction between "short-run" precautionary motives to buffer consumption from annual income shocks, and "long-run" life cycle considerations under income certainty. However, estimates of shock persistence imply considerable career...

Persistent link: https://www.econbiz.de/10005134929

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when … investment strategies, but also in this setting the CCAPM model outperforms the CAPM model in most dimensions. I further show …

Persistent link: https://www.econbiz.de/10009293656

The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange

Adegboye, Abidemi C. - In: CBN journal of applied statistics 8 (2017) 2, pp. 117-142

Persistent link: https://www.econbiz.de/10011843526

The Valuation of Structured Products Using Markov Chain Models

Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim - 2011

A Markov chain with an expanding non-uniform grid matching risk neutral marginal distributions is constructed. Conditional distributions of the chain are in the variance gamma class with prespecified skewness and excess kurtosis. Time change and space scale volatilities are calibrated from...

Persistent link: https://www.econbiz.de/10014197367

Are Structured Products a Sustainable Financial Innovation? A Lesson from the European Market

Burchi, Alberto - 2016

Structured products are complex outcome of the financial innovation process, and what many would like to know is is who profit from this kind of financial innovation and whether issuers are influenced by market trends. Taking into account the complexity of structured products, we analyze the...

Persistent link: https://www.econbiz.de/10012998464