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Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander - 2010
assume that the investor's utility has constant absolute risk aversion (CARA) and that the asset prices are given by a very …
Persistent link: https://www.econbiz.de/10013150407
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Optimal dynamic portfolio with mean-CVaR criterion
Li, Jing; Xu, Mingxin - In: Risks : open access journal 1 (2013) 3, pp. 119-147
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …
Persistent link: https://www.econbiz.de/10010338351
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
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Measuring bond-level liquidity
Konstantinovsky, Vadim; Ng, Kwok Yuen; Phelps, Bruce D. - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 116-128
Persistent link: https://www.econbiz.de/10011686109
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Liquidity constraints for portfolio selection based on financial volume
Vieira, Eduardo Bered Fernandes; Filomena, Tiago Pascoal - In: Computational economics 56 (2020) 4, pp. 1055-1077
Persistent link: https://www.econbiz.de/10012390503
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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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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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An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
Kato, Takashi - 2014
We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting property, and show that the optimal strategy is a mixture of initial/terminal block liquidation and gradual ntermediate...
Persistent link: https://www.econbiz.de/10013064655
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Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact
Ishitani, Kensuke - 2015
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a...
Persistent link: https://www.econbiz.de/10013036036
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Robust pricing in insurance and energy markets
Escobar Luna-Barrera, Debora Daniela - 2019
scenarios. Insurance companies carry the risk of losses in exchange for a premium, which depends on the loss distribution …. Another example where risk is exchanged for a fixed price is swap contracts. Electricity futures can be seen as swaps where …: the average value-at-risk and power distortion principle. In the second part of this thesis, we bring together insurance …
Persistent link: https://www.econbiz.de/10012392510