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Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822

Divergence and the price of uncertainty

Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage …

Persistent link: https://www.econbiz.de/10011507861

Optimal investment and equilibrium pricing under ambiguity

Anthropelos, Michail; Schneider, Paul - 2021

We consider portfolio selection under nonparametric alpha-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion.Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are...

Persistent link: https://www.econbiz.de/10012800006

Constrained polynomial likelihood

Almeida, Caio; Schneider, Paul - 2021

accommodate polynomial return models consistent with no-arbitrage while simultaneously nesting the linear return model. In the S …

Persistent link: https://www.econbiz.de/10012612788

Generalized risk premia

Schneider, Paul - 2014

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

Persistent link: https://www.econbiz.de/10010412884

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual coskewness, which allows us to construct...

Persistent link: https://www.econbiz.de/10012134221

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708

DAXplus family: Ein Aktienindex zur Darstellung der Performance von Familienunternehmen

Achleitner, Ann-Kristin; Kaserer, Christoph; Kauf, Tobias; … - 2010

In January 2010 the Deutsche Börse Group introduced two family firm stock indices. Both indices are calculated as price and performance indices and extend the number of investment strategy indices of Deutsche Börse Group. The DAXplus Family is an all-share index whereas the DAXplus Family 30...

Persistent link: https://www.econbiz.de/10010305712