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We analytically solve the portfolio choice problem in the presence of wash sale constraints in a two-period model with one risky asset. Our results show that wash sale constraints can heavily affect portfolio choice of investors with unrealized losses. The trading behavior of such investors is...
Persistent link: https://www.econbiz.de/10010574007
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Persistent link: https://www.econbiz.de/10005419254
The paper investigates the possibility of an arbitrage-free model for the term structure of interest rates where the yield curve only changes through a parallel shift. HJM type forward rate models driven by a multidimensional Wiener process and by a general marked point process are considered....
Persistent link: https://www.econbiz.de/10005495407
Persistent link: https://www.econbiz.de/10005693105
We establis necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting...
Persistent link: https://www.econbiz.de/10005771049
It is a delicate matter to trade spot products and financial derivatives in energy markets. Op-posite to bond and stock markets, the underlying assets are real products and a significant part of the demand for them represents a real need for the products, which can only be substituted away with...
Persistent link: https://www.econbiz.de/10005644710
We describe the background and the basic funding mechanisms for the type of adjustable rate mortgage loans that were introduced in the Danish market in 1996. Each loan is funded separately by tap issuing pass-through mortgage bonds (“strict balance principle). The novelty is a funding...
Persistent link: https://www.econbiz.de/10005644718
The return on a bond investment comes from three sources: Interest payments, real- <p> ized capital gains and accrued capital gains. We provide an exact description on how <p> the capital gains can be measured under a variety of accounting rules for measuring <p> accruals and study the theoretical...</p></p></p>
Persistent link: https://www.econbiz.de/10005644726
We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within...
Persistent link: https://www.econbiz.de/10005196966
The purpose of this paper is to shed light on some qualitative properties of binomial lattice models by analysing the entire distribution of future values arising from simple bond investment strategies. Our analysis is carried out by first determining the arbitrage free developments of the...
Persistent link: https://www.econbiz.de/10009217666