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Rationalization of Investment Preference Criteria
Pézier, Jacques - Henley Business School, University of Reading - 2011
The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...
Persistent link: https://www.econbiz.de/10010938095
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Smiling under stochastic volatility
Rubio Irigoyen, Gonzalo; León, Angel - Departamento de Fundamentos del Análisis Económico … - 2002
extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which … volatility model for a given degree of moneyness are given. …
Persistent link: https://www.econbiz.de/10004972704
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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
Saurabha, Rritu; Tiwari, Manvendra - Volkswirtschaftliche Fakultät, … - 2007
Corrado & Sue [1996] incorporating non-normal skewness and kurtosis) to price call options on S&P CNX Nifty. The results …The most popular model for pricing options, both in financial literature as well as in practice has been the Black … money options using statistical estimates of volatility. This limitation has been taken into account by practitioners using …
Persistent link: https://www.econbiz.de/10005790034
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Optimal Hedging with Higher Moments
Brooks, Chris; Cerny, A.; Miffre, J. - Henley Business School, University of Reading - 2006
This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts. We find that in sample, the performance...
Persistent link: https://www.econbiz.de/10005357664
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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Ángel; Mencía, Javier; Sentana, Enrique - Banco de España - 2007
for European options, and analyse the semiparametric properties of our pricing model. In an empirical application to S …&P500 index options, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions …
Persistent link: https://www.econbiz.de/10005155212
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10009363828
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10009363861
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Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
Pézier, Jacques - Henley Business School, University of Reading - 2007
Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...
Persistent link: https://www.econbiz.de/10008542356
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Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004
conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10005091204