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Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Le, Truc; Platen, Eckhard - Finance Discipline Group, Business School - 2006

This paper constructs and compares various total return world stock indices based on daily data. Due to diversification these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. The paper constructs a...

Persistent link: https://www.econbiz.de/10005041731

Investments for the Short and Long Run

Platen, Eckhard - Finance Discipline Group, Business School - 2005

aversion of the investor at a given time determines the volatility of her or his optimal portfolio. It is pointed out that it …

Persistent link: https://www.econbiz.de/10005041748

Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2003

minimal market model with lognormal scaling produces the type of implied volatility term structures for European call nd put …

Persistent link: https://www.econbiz.de/10005041749

The numeraire portfolio for unbounded semimartingales

Becherer, Dirk - In: Finance and Stochastics 5 (2001) 3, pp. 327-341

Asset prices discounted by a tradable numeraire N should be (local) martingales under some measure Q that is equivalent to the original probability measure P. Instead of studying the set of equivalent martingale measures with respect to a prespecified numeraire, we will look for a tradable...

Persistent link: https://www.econbiz.de/10005613459

Net buying pressure and informed trading in the options market : evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

Persistent link: https://www.econbiz.de/10012818141

Net buying pressure and informed trading in the options market: Evidence from earnings announcements

Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013201357

The impact of H-share derivatives on the underlying equity market

Wang, Steven Shuye; Li, Wei; Cheng, Louis T. W. - In: Review of quantitative finance and accounting 32 (2009) 3, pp. 235-267

Persistent link: https://www.econbiz.de/10003846977

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Explaining time-varying risk of electricity forwards : trading activity and news announcements

Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

Persistent link: https://www.econbiz.de/10008989697

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876