Showing 1 - 10 of 57
Nonzero transaction costs invalidate the Black-Scholes (1973) arbitrage argument based on continuous trading. Leland (1985) developed a hedging strategy which modifies the Black-Scholes hedging strategy with a volatility adjusted by the length of the rebalance interval and the rate of the...
Persistent link: https://www.econbiz.de/10012737938
This paper examines whether the favorite/long-shot bias that has been found in gambling markets (particularly horse racing) applies to options markets. We investigate this for the Samp;P 500 futures, the FTSE 100 futures and the British Pound/US Dollar futures for the seventeen plus years from...
Persistent link: https://www.econbiz.de/10012739557
We consider the presence of regimes in currency markets and their implications for interest rate parity. A weak form of interest rate parity is postulated and tested which assumes that the hedged risk premiums are identical within each regime across currencies. Both the in-sample (January 2002 -...
Persistent link: https://www.econbiz.de/10012716471
This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...
Persistent link: https://www.econbiz.de/10005858416
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...
Persistent link: https://www.econbiz.de/10011708987
AbstractThe following sections are included:The January effectCommodity trading: investing in the January small cap effect in the index futures marketsConclusion
Persistent link: https://www.econbiz.de/10011206334
AbstractAs I write on Sunday November 22, 2010, this I am watching the TV analysts discuss this controversial decision on Sunday, November 15. They are all ex-National Football League star players with an announcer. Their analysis is seat of the pants. But is that the right way to analyze...
Persistent link: https://www.econbiz.de/10011206340
AbstractThe following sections are included:Types of sovereign fundsIs there a common asset allocation for pension funds?Sovereign Pension funds and International Capital MarketsGovernance Issues of public pension fundsIntergenerational borrowingRegional TrendsAsiaMiddle EastEuropeConclusion
Persistent link: https://www.econbiz.de/10011206346
AbstractWe know that on average the typical mutual fund does not beat the market. The evidence is that professional managers all over the world have a hard time beating the market averages. In a given year, only about 25% to 40% of managers actually beat a buy-and-hold strategy of holding the...
Persistent link: https://www.econbiz.de/10011206356
AbstractThe following sections are included:Predictive Ability of the Bond-Stock Earnings Yield Difference Model
Persistent link: https://www.econbiz.de/10011206366