Narrow search
Showing 1 - 10 of 17,006
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 … numerical experiments the resulting sampling methods that preserve the convex order and their application to approximate …
Persistent link: https://www.econbiz.de/10012943371
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
Robust Portfolio Optimization Under Sampling Error : Estimation of Sampling Error in Small Eigen Value by Semidefinite Programming
Minami, Seiji - 2013
covariance matrix. Estimation of sampling errors for small eigen values is quite important for fund managers who construct their … portfolios from estimated covariance matrixes. If they can calculate the sampling errors, they can construct robust portfolios …. In this study, we propose the method of estimation of sampling error for eigen values from error of each element of …
Persistent link: https://www.econbiz.de/10013079251
Cover Image
Application of Mathematical Equations to Describing Fast Changes in the Assets Prices
Baryshevsky, Dmitry V. - 2015
Price dynamics of the asset depends on the collective action of buyers and sellers, including both institutional and private investors. A large number of diverse, sometimes contradictory, reasons can underlie the decisions of market participants. In certain periods, asset purchases can be a...
Persistent link: https://www.econbiz.de/10013014714
Cover Image
Nonparametric instrumental variable estimators of structural quantile effects
Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008
We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...
Persistent link: https://www.econbiz.de/10003961394
Cover Image
Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
Cover Image
Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611
Cover Image
Asset liability modelling and pension schemes : the application of robust optimization to USS
Platanakis, Emmanouil; Sutcliffe, Charles M. S. - 2014
This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...
Persistent link: https://www.econbiz.de/10010532241
Cover Image
Utility maximization in an illiquid market
Soner, Halil Mete; Vukelja, Mirjana - 2013
We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...
Persistent link: https://www.econbiz.de/10009750653
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