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Risk Arbitrage Opportunities for Stock Index Options
Post, Thierry - 2019
developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …
Persistent link: https://www.econbiz.de/10012899380
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A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
Herdegen, Martin - 2020
portfolios exist. We call this situation regulatory arbitrage, and prove that it cannot be excluded – unless ρ is as conservative … measures, and give a necessary and sufficient characterization for regulatory arbitrage. We show that the presence or absence … of regulatory arbitrage for ρ is intimately linked to the interplay between the set of equivalent martingale measures …
Persistent link: https://www.econbiz.de/10012823360
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Ordering ambiguous acts
Jewitt, Ian; Mukerji, Sujoy - 2017
We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...
Persistent link: https://www.econbiz.de/10011694759
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How Much Should Life-Cycle Investors Adapt Their Behavior When Confronted with Model Uncertainty?
Shen, Sally - 2016
I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where both inflation rate and income growth rate are assumed to be estimated with errors. I present a feasible boundary for the uncertainty aversion parameter, which measures the...
Persistent link: https://www.econbiz.de/10012997223
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Spectral Risk Measures and Portfolio Selectio
Adam, Alexandre - 2016
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management...
Persistent link: https://www.econbiz.de/10012997402
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Factor-Based Hedge Fund Replication with Risk Constraints
Harris, Richard D. F. - 2017
In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...
Persistent link: https://www.econbiz.de/10012951213
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Risk Parity in the Brazilian Market
de Souza, Pierre - 2017
Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as...
Persistent link: https://www.econbiz.de/10012952118
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Metaheuristic Construction of Long-Only Risk Budgeted Futures Portfolio with Maximal Diversification Index
Pai, Vijayalakshmi G A - 2015
Trading with futures is complex and abounds with risks, to mitigate which a multi-pronged approach such as diversification in different asset classes across dissimilar markets or imposing risk budgets on individual assets and/or asset classes or enforcing capital budgets and other investor...
Persistent link: https://www.econbiz.de/10013020386
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Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor
Dubois, Mathieu - 2015
We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...
Persistent link: https://www.econbiz.de/10013033022
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How Much Should Life-Cycle Investors Adapt their Behavior when Confronted with Model Uncertainty?
Shen, Sally - 2015
I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where both inflation rate and income growth rate are assumed to be estimated with errors. I present a feasible boundary for the uncertainty aversion parameter, which measures the...
Persistent link: https://www.econbiz.de/10013033028