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A Monte-Carlo Method for Optimal Portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2000

This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of...

Persistent link: https://www.econbiz.de/10005100643

Empirical Martingale Simulation for Asset Prices

Duan, Jin-Chuan; Simonato, Jean-Guy - Centre Interuniversitaire de Recherche en Analyse des … - 1995

This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset price. This procedure is referred to as the...

Persistent link: https://www.econbiz.de/10005627153

Pricing Discretely Monitored Barrier Options by a Markov Chain

Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999

We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework...

Persistent link: https://www.econbiz.de/10005100792

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2009

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...

Persistent link: https://www.econbiz.de/10005100954

A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models

Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2011

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

Persistent link: https://www.econbiz.de/10008805568

Option-Implied Measures of Equity Risk

Chang, Bo-Young; Christoffersen, Peter; Jacobs, Kris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness...

Persistent link: https://www.econbiz.de/10004976983

Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

Persistent link: https://www.econbiz.de/10005100629

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885

Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Hodgson, Douglas James; Seckin, Aylin - Centre Interuniversitaire de Recherche en Analyse des … - 2011

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian...

Persistent link: https://www.econbiz.de/10008833341