Showing 1 - 10 of 19
This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets … trading strategy, when perfect hedging of contingent claims is infeasible, is robust under weak convergence. Several …
Persistent link: https://www.econbiz.de/10005859330
and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools over theirsophisticated …
Persistent link: https://www.econbiz.de/10005857988
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...
Persistent link: https://www.econbiz.de/10005858020
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavorable years, when indemnities to be paid to the clients exceed collected premia. An investment strategy that does not take liquidity...
Persistent link: https://www.econbiz.de/10005858142
This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) con-sumption level is a function of wealth. Ratchet effects obtain when higher wealth in-creases the subsistance consumption level; blas´...
Persistent link: https://www.econbiz.de/10005858307
This paper studies an application of a Darwinian theory of portfolioselection to stocks listed in the Dow Jones Industrial Average (DJIA).We analyze numerically the long-run outcome of the competition offix-mix portfolio rules in a stock market with actual DJIA dividends.In the model seemingly...
Persistent link: https://www.econbiz.de/10005858308
also sensitivities can be given in closed-form which facilitates the development of hedging strategies based upon the model …
Persistent link: https://www.econbiz.de/10005858551
This paper presents a utility-based approach to value the borrower optimal behavior in presence of credit risk. The paper solves for the dynamic portfolio choices of a borrower. We thereby show that the presence of debt leads to a substantial modification in the borrower's behavior across states...
Persistent link: https://www.econbiz.de/10005858580
This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...
Persistent link: https://www.econbiz.de/10005858757
Have the euro and accompanying measures of financial integration had a discernable impact on the degree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European...
Persistent link: https://www.econbiz.de/10005858760