call options written on a non-dividend paying stock. The higher level the transaction costs is, or the higher risk avers …

Singer and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it … ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization … extend their exact accounting framework to include market risk measurements for n countries. The resulting n^2 x n^2 strategy …

In this paper we develop an improvement on one of the more popular methods for Value-at-Risk measurement, the … obtain the moments of the density of the order statistic, the mean being our Value-at-Risk estimate, and the standard …

information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and … in both markets to trade on their information. One group of researchers support the hypothesis that information reflects … in derivatives market first and underlying stock market lags in information transmission. Another group of researchers …

also try to reconcile our findings with such empirical pricing bias as the volatility smile. …

rigidity in response to the second shock than the first. The second data set consists of all publicly available information … about the shocks. Content analysis of these information reveals that the first shock is larger and more persistent, and the … market has more information on it than the second. We conclude, therefore, that prices are more flexible in response to cost …

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an … insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and …

Portfolio diversification may not always lower the portfolio risk, but may actually increase it. It depends on the long … risk drastically. …