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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Why did warrant markets close in China but not Taiwan?

Wong, Wing Keung; Hooi Hooi Lean; McAleer, Michael; … - 2018

The paper bridges a gap in the literature by using moment analysis, CAPM statistics, stochastic dominance (SD) test, and volume analysis to examine investor preferences for warrants between China and Taiwan, and investigating why the market for warrants in China has to close while the market for...

Persistent link: https://www.econbiz.de/10011869273

International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011553184

Bayesian Markov Switching Stochastic Correlation Models

Casarin, Roberto - 2015

) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent … (Euro, Yen, Pound), using high-frequency data since the beginning of the European Monetary Union. Estimated volatility paths … structure. Correlation paths display frequent shifts along the whole sample, both in low and in high volatility phases, pointing …

Persistent link: https://www.econbiz.de/10013035516

Implications of Incomplete Markets for International Economies

Bakshi, Gurdip S. - 2017

We develop a restriction that precludes implausibly high reward-for-risk in incomplete international economies to consider a theoretical problem that characterizes a lower bound on the covariance between stochastic discount factors (SDFs) subject to correct pricing. The problem is analytically...

Persistent link: https://www.econbiz.de/10012947486

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Lipton, Alex - 2020

When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (OU) process.Market makers provide...

Persistent link: https://www.econbiz.de/10012842068

Mean-Variance and Stochastic Dominance Analysis of Global Exchange-Traded Funds

Zhu, Zhen-Zhen - 2016

We employ the stochastic dominance (SD) approach that utilizes the entire return distribution to rank the performance of exchange-traded funds as traditional mean-variance and CAPM approaches may be inappropriate given the nature of non-normal returns. We find second and third-order stochastic...

Persistent link: https://www.econbiz.de/10012994867

Calibration of exponential Hawkes processes using a Modified Bionomic Algorithm

Chen, Jing - 2020

The aim of this research is to develop a fast and robust variant of the evolutionary heuristic Bionomic algorithm and assess its contribution to solving complex parametric estimation problems, in conjunction with other traditional optimization techniques. We introduce a modified version of the...

Persistent link: https://www.econbiz.de/10012825855

Partial Information, Return Predictability and Identification of Linear Stochastic Differential Equations

Buccheri, Giuseppe - 2022

Asset allocation and option pricing models are often formulated by means of linear stochastic differential equations. We show that this class of models is not identifiable from information contained in discrete-time data when the expected return process is unobservable. The indeterminacy arises...

Persistent link: https://www.econbiz.de/10013296829

CBI-time-changed Lévy processes for multi-currency modeling

Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022

We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L …

Persistent link: https://www.econbiz.de/10013305860