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On Real Options and Information Costs.
Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine
This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …
Persistent link: https://www.econbiz.de/10008532470
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Crisis-Robust Bond Portfolios.
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008
Persistent link: https://www.econbiz.de/10009364875
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Liability valuation and optimal asset allocation
Inkmann, Joachim; Blake, David - London School of Economics (LSE) - 2004
liabilities, taken as given the valuation of liabilities. We introduce a model that allows for the joint valuation of liabilities …
Persistent link: https://www.econbiz.de/10010745722
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The properties of equally-weighted risk contributions portfolios.
Teiletche, Jérôme; Roncalli, Thierry; Maillard, Sébastien - Université Paris-Dauphine - 2010
Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...
Persistent link: https://www.econbiz.de/10008876085
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Simulated nonparametric estimation of dynamic models with applications to finance
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...
Persistent link: https://www.econbiz.de/10010745257
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Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006
negative and thus offer arbitrage opportunities. …
Persistent link: https://www.econbiz.de/10005526320
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Inference, arbitrage, and asset price volatility
Adrian, Tobias - Federal Reserve Bank of New York - 2004
This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...
Persistent link: https://www.econbiz.de/10005420543