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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …
Persistent link: https://www.econbiz.de/10013369966
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Calculating the real return of the Norwegian Government Pension Fund Global by alternative measures of the deflator
Benedictow, Andreas; Boug, Pål - 2014
According to the present guidelines for fiscal policy, the use of oil revenues in the Norwegian economy should over time equal the expected real return on the Government Pension Fund Global (GPFG). An important question is therefore how to measure the real return, taking into account that the...
Persistent link: https://www.econbiz.de/10011968545
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Chasing real developments in Russia's government budget
Korhonen, Vesa - 2020
Persistent link: https://www.econbiz.de/10013168641
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - 2002
following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage …
Persistent link: https://www.econbiz.de/10010263069
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Barrier option hedging under constraints: a viscosity approach
Bentahar, Imen; Bouchard, Bruno - 2006
We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE...
Persistent link: https://www.econbiz.de/10010263628
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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013
While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...
Persistent link: https://www.econbiz.de/10010330268
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Management compensation and market timing under portfolio constraints
Agarwal, Vikas; Gómez, Juan-Pedro; Priestley, Richard - 2012
This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be bene…cial. Benchmark design arises as an alternative effort inducement...
Persistent link: https://www.econbiz.de/10010311642
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Portfolio constraints: An empirical analysis
Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies 10 (2022) 1, pp. 1-20
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...
Persistent link: https://www.econbiz.de/10013200408
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Stock Illiquidity, option prices, and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … chosen illiquidity measure, the measure of option expensiveness, and the return period. …
Persistent link: https://www.econbiz.de/10011539576
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The liquidity premium in CDS transaction prices: Do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalin; Nasev, Julia - 2015
Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …
Persistent link: https://www.econbiz.de/10011310179