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Rationalization of Investment Preference Criteria

Pézier, Jacques - Henley Business School, University of Reading - 2011

The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega index, RoVaR, ‘coherent’ preference criteria, etc. – are incompat- ible with any sensible utility function and would be best avoided. We argue instead for the assessment...

Persistent link: https://www.econbiz.de/10010938095

Detecting instability in the volatility of carbon prices.

Chevallier, Julien - Université Paris-Dauphine - 2011

This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the...

Persistent link: https://www.econbiz.de/10008725852

Analytic Moments for GARCH Processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk assessment and portfolio optimization, are typically generated via simulation. This paper extends previous research on analytic moments of GARCH returns distributions in several...

Persistent link: https://www.econbiz.de/10010838036

Generalized Beta-Generated Distributions

Alexander, Carol; Cordeiro, Gauss M.; Ortega, Edwin M. M.; … - Henley Business School, University of Reading - 2011

Persistent link: https://www.econbiz.de/10010838056

Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory

Pézier, Jacques - Henley Business School, University of Reading - 2007

Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...

Persistent link: https://www.econbiz.de/10008542356

Regime-Dependent Smile-Adjusted Delta Hedging

Alexander, Carol; Rubinov, Alexander; Kalepky, Markus; … - Henley Business School, University of Reading - 2010

volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the `implied BSM’ model in which an option’s … delta is based on its own market implied volatility. Various empirical studies of vanilla options on different equity … depend on the market regime. Using 16.5-years of daily closing prices for FTSE 100 vanilla options, out-of-sample tests of …

Persistent link: https://www.econbiz.de/10011206320

Liquidity Risk Premia in the International Shipping Derivatives Market

Alizadeh, Amir; Kappou, Konstantina; Tsouknidis, Dimitris; … - Henley Business School, University of Reading - 2014

The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity...

Persistent link: https://www.econbiz.de/10011210427

Did Long-Short Investors Destabilize Commodity Markets?

Miffre, Joëlle; Brooks, Chris - Henley Business School, University of Reading - 2013

This paper contributes to the debate on the effects of the financialization of commodity futures markets by studying the conditional volatility of long-short commodity portfolios and their conditional correlation with traditional assets (stocks and bonds). Using several groups of trading...

Persistent link: https://www.econbiz.de/10010800984

VIX Dynamics with Stochastic Volatility of Volatility

Kaeck, Andreas; Alexander, Carol - Henley Business School, University of Reading - 2010

This paper examines the ability of several different continuous-time one and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented with...

Persistent link: https://www.econbiz.de/10010838038

Seasonality and the Valuation of Commodity Options

Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - Henley Business School, University of Reading - 2010

seasonal volatility on models’ option pricing performance. In terms of options pricing, a deterministic seasonal component at … commodity price. Analyzing an extensive sample of soybean and heating oil options, we find that seasonality in volatility is an …

Persistent link: https://www.econbiz.de/10010838042