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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …
Persistent link: https://www.econbiz.de/10012421289
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Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?
Gibson, Rajna; Wang, Songtao - 2008
This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …
Persistent link: https://www.econbiz.de/10003966170
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An intermediation-based model of exchange rates
Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018
tilting state prices, breaks monetary neutrality and generates an explicit, non-linear risk structure in exchange rates …
Persistent link: https://www.econbiz.de/10011877302
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Volatility indexes and contracts for government bonds and time deposits
Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013
The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility or, say, that of the Eurodollar LIBOR? How...
Persistent link: https://www.econbiz.de/10009750612
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Volatility indexes and contracts for eurodollar and related deposits
Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 21, 2013
Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can we express this price in a model-free format? Despite...
Persistent link: https://www.econbiz.de/10009750613
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Credit variance swaps and volatility indexes
Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013
Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which re ect the fair value of dedicated credit...
Persistent link: https://www.econbiz.de/10009750614
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Dynamics of interest rate swap and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - 2013
risk aversion in fixed-income markets. Indeed, expected volatilities in equity and interest rate markets as measured …. The two indexes react to different events and risk factors, thereby providing investors with complementary diversification …, hedging, and risk-taking tools …
Persistent link: https://www.econbiz.de/10009750617
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - 2013
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at...
Persistent link: https://www.econbiz.de/10009750655
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The price of government bond volatility
Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013
Treasury price volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility? How can we express this price in a model-free format? Despite the...
Persistent link: https://www.econbiz.de/10009751208
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Portfolio selection with options and transaction costs
Malamud, Semyon - 2014
sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk … eff ects on the optimal tail risk. In fact, even Greek e fficient portfolios for a mean-variance investor already o er a …
Persistent link: https://www.econbiz.de/10010337963