S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a differentiated asset-class with relevance to the long-term...

This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes, and applies the results to the problem of tracking stock indices. Sufficient conditions under which this is possible are given, along with the...

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

We show that, in a frictionless and efficient market, an asset pricing model that better describes investors' behavior should better forecast stock index returns. We propose a dividend model that predicts, out-of-sample, 31.3% of the variation in annual dividend growth rates (1976-2015)....

This study examines the joint evolution of risk-neutral stock index and bond yield volatilities by using the Chicago Board Option Exchange S&P500 volatility index (VIX) and the Bank of America Merrill Lynch Treasury Option Volatility Estimate Index (MOVE). I use bivariate regime-switching models...

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious metal. The 4,077 precious metal price observations are collected from 3rd January 2000 to 18th August 2015, traded in the London Metal Exchange, and all prices are traded in US...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...