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Superhedging and dynamic risk measures under volatility uncertainty
Nutz, Marcel; Soner, Halil Mete - 2010
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist …
Persistent link: https://www.econbiz.de/10008797677
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Quantile Hedging in a Semi-Static Market with Model Uncertainty
Bayraktar, Erhan - 2017
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...
Persistent link: https://www.econbiz.de/10012972859
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How Do Sectoral Islamic Equity Markets React to Geopolitical Risk, Economic Policy Uncertainty, and Oil Price Shocks? Using Quantile on Quantile Regression Analysis
Hassan, M. Kabir; Alhomaidi, Asem; Bokhtiar Hasan, Md - 2022
Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks … prominent portfolio risk management and policy implications for investors, risk managers, and policymakers …
Persistent link: https://www.econbiz.de/10014236216
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …
Persistent link: https://www.econbiz.de/10013133587
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Optimal Liquidation of Electricity Futures Portfolios : An Anticipative Market Impact Model
Hess, Markus - 2017
relevance for energy risk management. In this article, we develop a tractable market impact model for electricity futures prices …
Persistent link: https://www.econbiz.de/10012974469
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Forecasting Long-Horizon Factor Volatility
Zeissler, Tom Oskar Karl - 2022
term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …
Persistent link: https://www.econbiz.de/10013289776
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New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting
Hansen, Peter - 2021
I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler’s maxmin expected utility as well as variational formulations of ambiguity aversion. The impact of...
Persistent link: https://www.econbiz.de/10013212448
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
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Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices
Colwell, David B. - 2016
minimizing, locally risk minimizing, and variance minimizing strategies in tracking stock indices are investigated using both …
Persistent link: https://www.econbiz.de/10012998064
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Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model
He, Xue Dong; Jiang, Zhao Li - 2020
Fractional Kelly portfolios are popular investment strategies in the market. In this paper, we improve the mean-variance efficiency of a fractional Kelly portfolio by minimizing the variance of the return of a portfolio subject to the constraint that the expected return rate of the portfolio is...
Persistent link: https://www.econbiz.de/10014094617