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Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

Persistent link: https://www.econbiz.de/10009576212

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local...

Persistent link: https://www.econbiz.de/10009582411

Mean-variance hedging for continuous processes : new proofs and examples

Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin - 1997

Persistent link: https://www.econbiz.de/10009632600

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r r0. Such a test flips the null and alternative hypotheses of Johansen's LR test and can be used jointly with the LR test to construct a confidence set for the cointegration rank....

Persistent link: https://www.econbiz.de/10009578561

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - 2001

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

Persistent link: https://www.econbiz.de/10009615426

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems. It is economically general in the sense that it works for any cash stream spaces, be it in dynamic trading settings, one-step...

Persistent link: https://www.econbiz.de/10009581108

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Measurement error, biases, and the validation of complex models

Carroll, Raymond J.; Galindo, Christian D. - 1997

There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would … exposure with error. 2. The effects of measurement error vary from study-to-study. It is dangerous to take measurement error … corrections derived from one study and apply them to data from entirely different studies or populations. 3. Measurement error can …

Persistent link: https://www.econbiz.de/10009631751

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...

Persistent link: https://www.econbiz.de/10009574875

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …

Persistent link: https://www.econbiz.de/10009578029