Showing 1 - 10 of 21
This study develops a truncated Gram–Charlier expansion (TGCE) option pricing model, which simultaneously considers the skewness, kurtosis and essentially truncated (bounded) interval in the underlying asset return. In addition to TGCE, a truncated Black–Scholes model is proposed also. The...
Persistent link: https://www.econbiz.de/10011264491
This study investigates the relevance among corporate governance mechanism, institutional ownership and share repurchase decisions. Examining 220 exchange-listed companies in Taiwan during 2004 to 2006, the main findings are as follows. First, corporate governance mechanisms affect share...
Persistent link: https://www.econbiz.de/10011205672
This study examines both restricted and unrestricted Black-Sholes models, according to Longstaff (1995). Using the Taiwan index options for each day from January 2005 to December 2008, the unrestricted model simultaneously solves the implied index value and implied volatility whereas the...
Persistent link: https://www.econbiz.de/10011206165
This study analyzes individual portfolio selection in the presence of background risk. Under the expected utility framework, this study determines necessary and sufficient conditions of utility functions for two-fund monetary separation with independently additive and multiplicative background...
Persistent link: https://www.econbiz.de/10010730249
We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate...
Persistent link: https://www.econbiz.de/10010812105
This study develops an optimal insurance contract endogenously and determines the optimal coverage levels with respect to deductible insurance, upper-limit insurance, and proportional coinsurance, and, by assuming that the insured has an S-shaped loss aversion utility, the insured would retain...
Persistent link: https://www.econbiz.de/10010976283
This study investigates the bias adjustment for mean–variance efficient portfolio frontiers due to population mean and variance estimation error in Taiwan stock market. Although Siegel and Woodgate (2007; Management Science, 53, 1005–1015) and Kan and Smith (2008; Management Science, 54,...
Persistent link: https://www.econbiz.de/10010931456
This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a...
Persistent link: https://www.econbiz.de/10005091562
This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a...
Persistent link: https://www.econbiz.de/10005722859
This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small...
Persistent link: https://www.econbiz.de/10005722863