Purpose – The purpose of this chapter is to estimate non-Gaussian distributions by means of Johnson distributions. An empirical illustration on hedge fund returns is detailed. Methodology/approach – To fit non-Gaussian distributions, the chapter introduces the family of Johnson distributions...

Purpose – In this chapter, copula theory is used to model dependence structure between hedge fund returns series. Methodology/approach – Goodness-of-fit tests, based on the Kendall's functions, are applied as selection criteria of the “best” copula. After estimating the parametric copula...

This paper examines and compares the constant mix and buy-and-hold portfolio strategies. To this end, we examine and illustrate their performances using various criteria such as comparison of their payoffs, basic properties of their return cumulative distribution functions and their performances...

This paper deals with the pricing of financial structured products. We examine French retail structured products,“OPCVM à Formule”, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products....

The research on financial portfolio optimization has been originally developed by Markowitz (1952). It has been further extended in many directions, among them the portfolio insurance theory introduced by Leland and Rubinstein (1976) for the “Option Based Portfolio Insurance” (OBPI) and...

We use dynamic programming, finite elements, and parallel computing to design and evaluate two-dimensional financial derivatives. Our dynamic program is flexible, as it divides the evaluation process into two components: one related to the dynamics of the underlying process and the other to the...