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Conic Portfolio Theory
Madan, Dilip B. - 2015
Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy. When risk acceptability is completely defined...
Persistent link: https://www.econbiz.de/10013018790
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Two Sided Efficient Frontiers at Multiple Time Horizons
Madan, Dilip B.; Wang, King - 2021
Two price economy principles motivate measuring risk by the cost of acquiring the opposite of the centered or pure risk position at its upper price. Asymmetry in returns leads to differences in risk charges for short and long positions. Short risk charges dominate long ones when the upper tail...
Persistent link: https://www.econbiz.de/10013220170
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Measuring the Benefits of Diversification Across Portfolios
Madan, Dilip B.; Wang, King - 2021
A portfolio diversification index is defined as the ratio of an equivalent number of independent assets to the number … indices constructed on the basis of the S&P 500 index and the nine sector ETF's reveals a collapse during the final crisis …
Persistent link: https://www.econbiz.de/10013236444
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Pricing and Hedging Options on Assets with Options on Related Assets
Madan, Dilip B.; Wang, King - 2020
The problem studied is the pricing of options on the CBOE Skew index. The option pricing theory developed seeks to … the market for XLF options. The approach is then applied to illustrate the pricing of CBOE Skew Index options using the … market for SPY options. The Skew Index smile is then seen to imply the VIX and SKEW of the Skew Index itself …
Persistent link: https://www.econbiz.de/10014095529
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Risk Conscious Investment
Madan, Dilip B.; Schoutens, Wim; Wang, King - 2022
The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...
Persistent link: https://www.econbiz.de/10013492258
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New Measures for Performance Evaluation
Cherny, Alexander S. - 2008
This paper characterizes performance measures satisfying a set of proposed axioms. We develop four new measures consistent with the axioms and show that they improve on the economic properties of the Sharpe Ratio and the Gain-Loss Ratio. In our treatment, the performance measures, or the indices...
Persistent link: https://www.econbiz.de/10012726781
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Incomplete diversification and asset pricing
Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - 1992
Persistent link: https://www.econbiz.de/10000135929
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Incomplete diversification and asset pricing
Elliott, Robert Frank (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10003780988
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Incomplete diversification and asset pricing
Madan, Dilip B.; Milne, Frank; Elliott, Robert J. - In: Advances in finance and stochastics : essays in honour …, (pp. 101-124). 2002
Persistent link: https://www.econbiz.de/10001672227
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Relativities in Financial Markets
Madan, Dilip B. - 2016
No arbitrage for two price economies with no locally risk free asset implies that suitably deflated prices are nonlinear martingales. However, both the deflating process and the measure change depend on the process being deflated. Further assumptions allow the nonlinear martingales in discrete...
Persistent link: https://www.econbiz.de/10012998891