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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264
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Index Option Returns and Generalized Entropy Bounds
Liu, Yan - 2020
I develop a new spectrum of moment bounds on the pricing kernel. They stem from the solution of an optimization problem that is complementary to Hansen and Jagannathan's (1991) approach. Economically, they measure the discrepancy between what an optimizing agent could achieve if all assets (that...
Persistent link: https://www.econbiz.de/10012857191
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Index option returns and generalized entropy bounds
Liu, Yan - In: Journal of financial economics 139 (2021) 3, pp. 1015-1036
Persistent link: https://www.econbiz.de/10012693881
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Pricing and hedging options in incomplete markets : idiosyncratic risk, systematic risk and stochastic volatility
Chauveau, Thierry; Gatfaoui, Hayette - 2004
Persistent link: https://www.econbiz.de/10002253934
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Analysis of option returns in perfect and imperfect markets
Salazar Volkmann, David - 2020
The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach...
Persistent link: https://www.econbiz.de/10012255437
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Cross section of option returns and idiosyncratic stock volatility
Cao, Jie; Han, Bing - In: Journal of financial economics 108 (2013) 1, pp. 231-249
Persistent link: https://www.econbiz.de/10009746504
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The wealth distribution in Bewley economies with capital income risk
Benhabib, Jess; Bisin, Alberto; Zhu, Shenghao - In: Journal of economic theory 159 (2015), pp. 489-515
Persistent link: https://www.econbiz.de/10011549136
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Studying the implications of consumption and asset return data for stochastic discount factors in incomplete international economies
Bakshi, Gurdip S.; Cerrato, Mario; Crosby, John - 2017
Persistent link: https://www.econbiz.de/10011583440
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Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies
Tomat, Gian Maria - 2023
Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...
Persistent link: https://www.econbiz.de/10014337024
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Calculation of volatility in a jump-diffusion model
Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72
Persistent link: https://www.econbiz.de/10001861586