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Quantifying the skewness loss of diversification
Xiong, James X.; Idzorek, Thomas M. - In: Journal of investment management : JOIM 17 (2019) 2, pp. 76-88
Persistent link: https://www.econbiz.de/10012254280
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Option theory does not refute time diversification
Redhead, Keith; Shutes, Karl - In: The journal of investing 19 (2010) 3, pp. 65-71
Persistent link: https://www.econbiz.de/10009308466
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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Grabchak, Michael - In: Annals of finance 10 (2014) 4, pp. 553-568
Persistent link: https://www.econbiz.de/10010463508
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Valuing Catastrophe Derivatives Under Limited Diversification : A Stochastic Dominance Approach
Perrakis, Stylianos - 2011
We present a new approach to the pricing of catastrophe event derivatives that does not assume a fully diversifiable event risk. Instead, we assume that the event occurrence and intensity affect the return of the market portfolio of an agent that trades in the event derivatives. Based on this...
Persistent link: https://www.econbiz.de/10013121374
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Wine price risk management : international diversification and derivative instruments
Kourtis, Apostolos; Markellos, Raphaēl N.; Psychoyios, … - In: International review of financial analysis 22 (2012), pp. 30-37
Persistent link: https://www.econbiz.de/10010219704
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Valuing Catastrophe Derivatives Under Limited Diversification : A Stochastic Dominance Approach
Perrakis, Stylianos; Boloor, Ali - 2014
We present a new approach to the pricing of catastrophe event derivatives that does not assume a fully diversifiable event risk. Instead, we assume that the event occurrence and intensity affect the return of the market portfolio of an agent that trades in the event derivatives. Based on this...
Persistent link: https://www.econbiz.de/10014181000
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Variance swap replication : discrete or continuous?
Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...
Persistent link: https://www.econbiz.de/10011855148
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne - In: Journal of mathematical finance 9 (2019) 3, pp. 229-238
Persistent link: https://www.econbiz.de/10012210157