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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

Utility maximization in an illiquid market

Soner, Halil Mete; Vukelja, Mirjana - 2013

developed and used for numerical studies. No-arbitrage conditions were also discussed …

Persistent link: https://www.econbiz.de/10009750653

Arbitrage and nonlinear tax scales

Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the … premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are … two kinds of arbitrage: unbounded as well as bounded arbitrage. With bounded arbitrage, the gain from forming an arbitrage …

Persistent link: https://www.econbiz.de/10011450302

Hedging, Arbitrage, and Optimality with Superlinear Frictions

Guasoni, Paolo - 2013

prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices … exist even if arbitrage is present, because it is not scalable at will …

Persistent link: https://www.econbiz.de/10013077006

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

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

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

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

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

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

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