Narrow search
Showing 1 - 10 of 17,095
Cover Image
Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616
Cover Image
Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
Cover Image
Optimal Order Size in Pro-Rata Markets
Aldridge, Irene - 2014
Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...
Persistent link: https://www.econbiz.de/10013061277
Cover Image
Stability of sigma-martingale densities in L log L under an equivalent change of measure
Choulli, Tahir; Schweizer, Martin - 2011
An equivalent sigma-martingale measure (EsigmaMM) for a given stochastic process S is a probability measure R … equivalent to the original measure P such that S is an R-sigma-martingale. Existence of an EsigmaMM is equivalent to a classical … only a local integrability requirement. sigma-martingale ; equivalent martingale measures ; Jacod decomposition …
Persistent link: https://www.econbiz.de/10009558691
Cover Image
A Modern, Behavior-Aware Approach to Asset Allocation and Portfolio Construction
Hoffstein, Corey - 2017
Persistent link: https://www.econbiz.de/10012967147
Cover Image
Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index
Nguyen Vo; Ślepaczuk, Robert - 2021
Persistent link: https://www.econbiz.de/10012816706
Cover Image
Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems
Alfonsi, Aurélien - 2017
In this paper, motivated by the approximation of Martingale Optimal Transport problems, we are interested in sampling … Martingale Optimal Transport problems …
Persistent link: https://www.econbiz.de/10012943371
Cover Image
Distributionally robust inventory control when demand is a martingale
Xin, Linwei; Goldberg, David Alan - In: Mathematics of operations research 47 (2022) 3, pp. 2387-2414
Persistent link: https://www.econbiz.de/10013375068
Cover Image
Conditioning the information in portfolio optimization
Sala, Carlo; Barone-Adesi, Giovanni - 2015
utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …
Persistent link: https://www.econbiz.de/10011506342
Cover Image
Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander - 2010
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407