Showing 1 - 10 of 74
a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268
when the investor has access to nominal bonds and a stock portfolio. In the presence of unhedgeable inflation risk, there … of the investor. We apply our method to a three-factor Gaussian model with a time-varying price of risk that captures the … changes in term premia generates large hedging demands for long-term bonds …
Persistent link: https://www.econbiz.de/10012468608
will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an …
Persistent link: https://www.econbiz.de/10012469129
strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with … diversified portfolios. In contrast, hedging the carry with exchange rate options produces large returns that are not a … compensation for systemic risk. We show that this result stems from the fact that the corresponding portfolio of exchange rate …
Persistent link: https://www.econbiz.de/10012460016
This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … leverage. State prices are estimated using the flexible risk-neutral density method of Rosenberg (1995) and a daily cross … risk aversion over S&P500 return states is substantially higher than risk aversion implied by Black-Scholes state prices …
Persistent link: https://www.econbiz.de/10012472589
parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and …This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …
Persistent link: https://www.econbiz.de/10012473758
Since the mid-1900s, agricultural global value chains (AGVCs) have grown rapidly and transformed the nature of agri-food production around the world. Little is known, however, about how participation in AGVCs changes the structure of participating economies. Using a constructed panel dataset...
Persistent link: https://www.econbiz.de/10012616641
A large literature following Hirsch (2005) has proposed citation-based indexes that could be used to rank academics. This paper examines how well several such indexes match labor market outcomes using data on the citation records of young tenured economists at 25 U.S. departments. Variants of...
Persistent link: https://www.econbiz.de/10012462237
A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …
Persistent link: https://www.econbiz.de/10012467202
We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …
Persistent link: https://www.econbiz.de/10012467203