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Diffusion-Based Models for Financial Markets Without Martingale Measures
Fontana, Claudio - 2015
Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded … necessary and sufficient conditions for market viability in terms of the \emph{market price of risk} process and martingale … deflators. Regardless of the existence of a martingale measure, we show that the financial market may still be complete and …
Persistent link: https://www.econbiz.de/10013015958
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - 2013
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
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Investing in Emerging Markets : An Asymmetric Stochastic Multivariate Volatility Model to Diversify Efficiently a Portfolio of Assets
Rannou, Yves - 2014
The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...
Persistent link: https://www.econbiz.de/10013055149
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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Intermittency in Quantitative Finance
Schoeffel, Laurent - 2011
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution (Delta) becomes small. For uncorrelated particle production within Delta, Gaussian statistics holds and factorial moments Fq are equal to unity for all orders q....
Persistent link: https://www.econbiz.de/10013118786
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Capital Market Expectations, Asset Allocation, and Safe Withdrawal Rates
Pfau, Wade D. - 2015
Most retirement withdrawal rate studies are either based on historical data or use a particular assumption about portfolio returns unique to the study in question. But planners may have their own capital market expectations for future returns from stocks, bonds, and other assets they deem...
Persistent link: https://www.econbiz.de/10013031119
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Direct calibration and comparison of agent-based herding models of financial markets
Barde, Sylvain - 2015
The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by...
Persistent link: https://www.econbiz.de/10010517721
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Long Memory in Financial Markets : A Heterogeneous Agent Model Perspective
Zheng, Min - 2018
During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two...
Persistent link: https://www.econbiz.de/10012926236
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Measuring the Timing Ability and Performance of Bond Mutual Funds
Chen, Yong - 2010
This paper evaluates the ability of bond funds to "market time" nine common factors related to bond markets. Timing ability generates nonlinearity in fund returns as a function of common factors, but there are several non-timing-related sources of nonlinearity. Controlling for the...
Persistent link: https://www.econbiz.de/10013150653
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Heterogeneous Agent Models in Financial Markets : A Nonlinear Dynamics Approach
He, Xuezhong - 2018
Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are...
Persistent link: https://www.econbiz.de/10012907252