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The Effects of Incentive Compensation Contracts on the Risk and Return Performance of Commodity Trading Advisors

Golec, Joseph H. - In: Management Science 39 (1993) 11, pp. 1396-1406

This paper shows that commodity trading advisors' (CTAs) investment performance may be partially explained by their incentive compensation contracts. Contracts include base, incentive and asset parameters. The relationships between contract parameters and performance are theoretically...

Persistent link: https://www.econbiz.de/10009209145

The Calculation of Minimum Margin

Rudd, Andrew; Schroeder, Mark - In: Management Science 28 (1982) 12, pp. 1368-1379

The calculation of margin for investor's option accounts is a complex and costly problem for brokerage houses. The existing procedures usually involve a heuristic requiring sequential computations. These are shown to be inefficient and suboptimal. A simple transportation formulation is presented...

Persistent link: https://www.econbiz.de/10009209227

The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

Bakshi, Gurdip; Wu, Liuren - In: Management Science 56 (2010) 12, pp. 2251-2264

We exploit the information in the options market to study the variations of return risk and market prices of different … collapse of the Nasdaq market. Third, the market price of jump risk increased with the rising Nasdaq valuation, and this … increase in market price coincided with an increased imbalance in open interest between put and call options. …

Persistent link: https://www.econbiz.de/10009218179

Asymptotic Distribution of the EMS Option Price Estimator

Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management Science 47 (2001) 8, pp. 1122-1132

Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan and Simonato (1998) as a way of improving simulation...

Persistent link: https://www.econbiz.de/10009203865

The Value of Pre-Decision Side Bets for Utility Maximizers

Bell, David E. - In: Management Science 34 (1988) 6, pp. 797-800

If an alternative is attractive only at certain wealth levels of a decision maker, typically above some critical level, then there will be occasions when it is better to enter into an independent side bet prior to making a decision, than to accept or reject the alternative outright.

Persistent link: https://www.econbiz.de/10009203904

Adverse Risk Incentives and the Design of Performance-Based Contracts

Grinblatt, Mark; Titman, Sheridan - In: Management Science 35 (1989) 7, pp. 807-822

This paper uses option pricing theory to value and analyze many performance-based fee contracts that are currently in use. A potential problem with some of these contracts is that they may induce portfolio managers to adversely alter the risk of the portfolios they manage. The paper is...

Persistent link: https://www.econbiz.de/10009204497

Asymptotic Normality for EMS Option Price Estimator with Continuous or Discontinuous Payoff Functions

Yuan, Zhushun; Chen, Gemai - In: Management Science 55 (2009) 8, pp. 1438-1450

Empirical martingale simulation (EMS) was proposed by Duan and Simonato (Duan, J.-C., J.-G. Simonato. 1998. Empirical martingale simulation for asset prices. Management Sci. 44(9) 1218-1233) as an adjustment to the standard Monte Carlo simulation to reduce simulation errors. The EMS price...

Persistent link: https://www.econbiz.de/10009204567

Options on Commodity Forward Contracts

Thorp, Edward O. - In: Management Science 31 (1985) 10, pp. 1232-1236

We develop formulas for "European" options on commodity forward contracts. The assumptions and derivations are simple …

Persistent link: https://www.econbiz.de/10009191448

Subjective Stochastic Dominance, Put Writing, and Stock Purchases with Extensions to Option Pricing and Portfolio Composition

Henin, Claude G.; Rentz, William F. - In: Management Science 31 (1985) 8, pp. 919-927

Initially an investor has the choice of two risky assets, writing a European put option or buying the underlying share. Under broad conditions a risk averse investor will be subjectively better off writing the put. When homogeneous expectations are invoked, an upper bound for the put premium is...

Persistent link: https://www.econbiz.de/10009191701

Pricing Path-Dependent Securities by the Extended Tree Method

Kishimoto, Naoki - In: Management Science 50 (2004) 9, pp. 1235-1248

-dependent security as a valuation method based on a comparable Arrow-Debreu event tree. Two examples are provided to illustrate the ET … method. The first example is a valuation of collateralized mortgage obligations (CMOs), where the collateral of a CMO is … modeled as a pool of mortgage loans with heterogeneous prepayment costs. The second example is a valuation of American average …

Persistent link: https://www.econbiz.de/10009197491