Showing 1 - 8 of 8
Consider an agent who holds a stock, but is allowed to buy and hold some quantity of at-the-money put options on the stock. Such an agent must decide the optimal use of financial derivatives under trade restrictions. This paper uses simulation to compare the optimal quantity when the agent...
Persistent link: https://www.econbiz.de/10011274398
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward problem faced by a portfolio manager whose portfolio needs...
Persistent link: https://www.econbiz.de/10008694167
Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion....
Persistent link: https://www.econbiz.de/10005836587
Increasingly Islamic financial institutions are being pressured by critics to offer profit and loss sharing (PLS) financing for the purpose of entrepreneurial development. We believe the growth of PLS can be incentivized by increasing the participation of Islamic asset managers and mutual funds...
Persistent link: https://www.econbiz.de/10011185381
This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then allowed to trade put options on the asset. I simulate the distribution of returns for different quantities of options and investigate statistics from the distribution. In the first...
Persistent link: https://www.econbiz.de/10011108914
The selection of optimal portfolios is the central problem of financial investment decisions. Mathematically speaking, portfolio selection refers to the formulation of an objective function that determines the weights of the portfolio invested in each asset as to maximize return and minimize...
Persistent link: https://www.econbiz.de/10011110561
A model of bank’s dynamic asset management problem in case of partially observed future economic conditions and requirements concerning level of risk taken has been built. It requires solving the resulting optimal control with random terminal condition resulting from partial observation of...
Persistent link: https://www.econbiz.de/10005790164