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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
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Can we predict stock market crashes?
Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195
Persistent link: https://www.econbiz.de/10011509826
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Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a …
Persistent link: https://www.econbiz.de/10012865720
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Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes
Akyildirim, Erdinc - 2019
We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical...
Persistent link: https://www.econbiz.de/10012865818
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Quantile-Based Inference for Tempered Stable Distributions
Fallahgoul, Hasan - 2016
If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability...
Persistent link: https://www.econbiz.de/10013004529
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What Difference Do New Factor Models Make in Portfolio Allocation?
Fabozzi, Frank J. - 2016
This paper examines the economic implications of new factor models and shows that the Hou, Xue, and Zhang (HXZ, 2015a) four-factor model outperforms the Fama and French (FF5, 2015a) five-factor model for investing in anomalies in- and out-of-sample. The difference in certainty-equivalent returns...
Persistent link: https://www.econbiz.de/10012996353
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Measuring and forecasting yield volatility
Fabozzi, Frank J.; Lee, Wai - In: Interest rate, term structure, and valuation modeling, (pp. 187-212). 2002
Persistent link: https://www.econbiz.de/10001734175
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Fixed income mathematics
Fabozzi, Frank J. - 1988
Persistent link: https://www.econbiz.de/10000829201
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Bayesian inference for hedge funds with stable, distribution of returns
Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010
Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10008653564
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Duration, convexity, and other bond risk measures
Fabozzi, Frank J. - 1999
Persistent link: https://www.econbiz.de/10001458594