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Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …
Persistent link: https://www.econbiz.de/10009558490
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Hedging, Arbitrage, and Optimality with Superlinear Frictions
Guasoni, Paolo - 2013
In a continuous-time model with multiple assets described by cadlag processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. With such...
Persistent link: https://www.econbiz.de/10013077006
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Dynamic mean-variance optimisation problems with deterministic information
Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017
We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …
Persistent link: https://www.econbiz.de/10011865489
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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Tansuchat, Roengchai - 2010
dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …
Persistent link: https://www.econbiz.de/10013149486
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Chapter 4. On Formulating and Solving Portfolio Decision and Asset Pricing Problems
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. - In: Handbook of computational economics : volume 3, (pp. 161-223). 2014
This chapter discusses computational methods for approximating portfolio and asset pricing problems. Formulation of these problems is usually specified along with components, preferences, payoffs, etc., that are analytic functions. This implies that the solutions to these problems acquire this...
Persistent link: https://www.econbiz.de/10014025718
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Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization
Chen, Hsin-hung; Tsai, Hsien-tang; Lin, Dennis K. J. - In: Applied economics 43 (2011) 19/21, pp. 2795-2801
Persistent link: https://www.econbiz.de/10009379590
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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …
Persistent link: https://www.econbiz.de/10013166371