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Quantitative Selection of Long-Short Hedge Funds

CHEN, Kaifeng; PASSOW, Alexander - Swiss Finance Institute - 2003

We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify...

Persistent link: https://www.econbiz.de/10005612046

Omega Portfolio Construction with Johnson Distributions

Passow, Alexander - Swiss Finance Institute - 2004

The Omega performance measure is equiped with the original family of Johnson distributions. Explicit representations for Omega or Sharpe with all four Johnson cumulated densities were derived to construct portfolios with respect to 4 mutually independent moments. Additionally, decompositions of...

Persistent link: https://www.econbiz.de/10005771767

Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2005

We evaluate how departure from normality may affect the conditional allocation of wealth. The expected utility function is approximated by a forth-order Taylor expansion that allows for non-normal returns. Market returns are characterized by a joint model that captures the time dependency and...

Persistent link: https://www.econbiz.de/10005612065

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Swiss Finance Institute - 2002

We investigate the influence of various fundamental variables on a cross-section of credit default swap transaction data. Credit default swap rates can be seen as a superior proxy to credit risk than bond spreads are. Because we have transaction prices rather than quotes, we have thus...

Persistent link: https://www.econbiz.de/10005248398

Sovereign Debt Contract and Optimal Consumption-Investment Strategies

DEMCHUK, Andriy - Swiss Finance Institute - 2003

We present a model in which a sovereign country optimally decides on its consumption and investment policies as well as on the optimal time to default. In the paper we allow the sovereign borrower to keep the fraction of its augmented wealth in so-called international reserves. We further assume...

Persistent link: https://www.econbiz.de/10005248402

Option Pricing with Discrete Rebalancing

PRIGENT, Jean-Luc; RENAULT, Olivier; SCAILLET, Olivier - Swiss Finance Institute - 2002

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after ¯xed relative changes in the stock price. The stock price follows a marked point process and the market is incomplete. We first characterisethe equivalent martingale...

Persistent link: https://www.econbiz.de/10005264584

Defaultable Security Valuation and Model Risk

AKGUN, Aydin - Swiss Finance Institute - 2001

The aim of the paper is to analyse the effects of different model specifications, within a general nested framework, on the valuation of defaultable bonds, and some credit derivatives. Assuming that the primitive variables such as the risk-free short rate, and the credit spread are affine...

Persistent link: https://www.econbiz.de/10005264590

Credit Spread Specification and the Pricing of Spread Options

Mougeot, Nicolas - Swiss Finance Institute

This paper presents a simple approach to the pricing of options on spread and some arguments in favor of modelling the … options have some very specific features compared to the Black-Scholes-Merton (1973) option model. Moreover, the results show … other yield derivatives, like options to exchange a yield for another or the options on the maximum or the minimum of two …

Persistent link: https://www.econbiz.de/10005771787

The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

BEBER, Alessandro; BRANDT, Michael W. - Swiss Finance Institute - 2004

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price density (SPD) of bond prices shortly before and after the announcements. We find that the announcements...

Persistent link: https://www.econbiz.de/10005771799

Theory and Calibration of Swap Market Models

Galluccio, S.; Huang, Z.; Ly, J.-M.; Scaillet, O. - Swiss Finance Institute - 2005

This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the...

Persistent link: https://www.econbiz.de/10005771800