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American Option Pricing with Transaction Costs
Zakamouline, Valeri - EconWPA - 2003
call options written on a non-dividend paying stock. The higher level the transaction costs is, or the higher risk avers …
Persistent link: https://www.econbiz.de/10005413059
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Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
LOS, CORNELIS A. - EconWPA - 2004
Singer and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it … extend their exact accounting framework to include market risk measurements for n countries. The resulting n^2 x n^2 strategy … risk matrix exactly decomposes into a tensor sum of the n x n fundamental market risk matrices. Since the strategy risk …
Persistent link: https://www.econbiz.de/10005413087
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IMPROVING VALUE-AT-RISK ESTIMATES BY COMBINING KERNEL ESTIMATION WITH HISTORICAL SIMULATION
Butler, J. S.; Schachter, Barry - EconWPA - 1996
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 …
Persistent link: https://www.econbiz.de/10005413107
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Information, Alternative Markets, and Security Price Processes: A Survey of Literature
Bhuyan, Rafiqul - EconWPA - 2002
In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of...
Persistent link: https://www.econbiz.de/10005413117
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European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
Zakamouline, Valeri - EconWPA - 2003
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges and Neuberger (1989) and further developed by Davis, Panas and Zariphopoulou (1993), for the market where each transaction has a fixed cost component. We present a model, where investors have a...
Persistent link: https://www.econbiz.de/10005413178
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Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach
Olszewski, Yan - EconWPA - 2005
the creation of more efficient portfolios as characterized by higher risk-adjusted ratios. These findings open the door …
Persistent link: https://www.econbiz.de/10005134811
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Do Ads Influence Editors? Advertising and Bias in the Financial Media
Reuter, Jonathan; Zitzewitz, Eric - EconWPA - 2005
We use mutual fund recommendations to test whether editorial content is independent from advertisers’ influence in the financial media. We find that major personal finance magazines (Money, Kiplinger’s Personal Finance, and SmartMoney) are more likely to recommend funds from families that...
Persistent link: https://www.econbiz.de/10005134846
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Relative Performance Evaluation Contracts and Asset Market Equilibrium
Kapur, Sandeep; Timmermann, Allan - EconWPA - 2004
We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute performance and its performance relative to rival funds. Investors choose whether or not to delegate their investment to better-informed fund managers;...
Persistent link: https://www.econbiz.de/10005561719
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Het integraal kwantificeren van valutarisico’s
Haas, Ralph de - EconWPA - 2002
In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...
Persistent link: https://www.econbiz.de/10005561738
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Polish Pension Funds, Does The System Work? Cost, Efficiency and Performance MeasurementIssues
Stanko, Dariusz - EconWPA - 2003
allow for greater diversification and higher long-run risk to overcome the capacity problem of the local stock market. This …
Persistent link: https://www.econbiz.de/10005412460