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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …
Persistent link: https://www.econbiz.de/10010330249
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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …
Persistent link: https://www.econbiz.de/10013369966
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Downside risk optimization in securitized real estate markets
Kroencke, Tim Alexander; Schindler, Felix - 2010
Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...
Persistent link: https://www.econbiz.de/10010300508
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Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Krawczyk, Jacek B. - In: Risks 3 (2015) 3, pp. 318-337
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011709530
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Legal restrictions on portfolio holdings: Some empirical results
Hlouskova, Jaroslava; Lee, Gabriel S. - 2001
This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...
Persistent link: https://www.econbiz.de/10010292741
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An integrated CVaR and real options approach to investments in the energy sector
Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007
The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...
Persistent link: https://www.econbiz.de/10010294022
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Multiple Priors And No-Transaction Region
Kozhan, Roman - 2006
We study single period asset allocation problems of the investor who maximizes the expected utility with respect to non-additive beliefs. The non-additive beliefs of the investor model the presence of an uncertainty and they are assumed to be consistent with the Maxmin expected utility theory of...
Persistent link: https://www.econbiz.de/10010296357
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"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...
Persistent link: https://www.econbiz.de/10010296536
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"Itô's Lemma" and the Bellman equation: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...
Persistent link: https://www.econbiz.de/10010296792
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Risk in agriculture as impediment to rural lending: the case of North-Western Kazakhstan
Petrick, Martin; Ditges, C. Markus - 2000
On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk...
Persistent link: https://www.econbiz.de/10010299418