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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

Optimal Hedging with Higher Moments

Brooks, Chris; Cerny, A.; Miffre, J. - Henley Business School, University of Reading - 2006

This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts. We find that in sample, the performance...

Persistent link: https://www.econbiz.de/10005357664

Hedging with Stochastic and Local Volatility

Alexander, Carol; Nogueira, Leonardo M. - Henley Business School, University of Reading - 2004

We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities. We also show that a common feature of all Markovian single factor...

Persistent link: https://www.econbiz.de/10005558324

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

The Statistical Properties of Hedge Fund Index Returns

Brooks, Chris; Kat, Harry. M - Henley Business School, University of Reading - 2001

he monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as … fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and …

Persistent link: https://www.econbiz.de/10005357672

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