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Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities.
Apreda, Rodolfo - Universidad del CEMA - 2003
This paper seeks to provide a framework for separation portfolios when they are used not only as synthetics of a …, synthetics are defined by means of a vectorial framework that maps portfolios onto their risk-return profiles. Separation … synthetics. Next, a distinction is brought about between plain separation portfolios (which are located on the Capital Market …
Persistent link: https://www.econbiz.de/10005668667
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An empirical analysis of marginal conditional stochastic dominance
Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of Banking & Finance 36 (2012) 4, pp. 1144-1151
–variance analysis. However, when applied to portfolios of assets, stochastic dominance rules become too complicated for meaningful …
Persistent link: https://www.econbiz.de/10010577960
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Trend Following, Risk Parity and Momentum in Commodity Futures
Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Department of Economics and Related Studies, University … - 2012
We show that combining momentum and trend following strategies for individual commodity futures can lead to portfolios …
Persistent link: https://www.econbiz.de/10010630696
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Recent Developments in Quantitative Finance: An Overview
Chang, Chia-Lin; Hu, Shing-Yang; Yu, Shih-Ti - Volkswirtschaftliche Fakultät, … - 2014
Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on “Recent developments in quantitative finance” is to...
Persistent link: https://www.econbiz.de/10011113634
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
portfolios and of default rates, as well as the required economic capital will vary significantly over the business cycle. …
Persistent link: https://www.econbiz.de/10010301737
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Multiplicative models of financial returns and what we fail to get when they are disregarded
Apreda, Rodolfo - 2011
This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...
Persistent link: https://www.econbiz.de/10010323109
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Factoring governance risk into investor's expected rates of return by means of a weighted average governance index
Apreda, Rodolfo - 2007
Although global investors have been paying more heed than ever to Corporate Governance for the last decade, the evolving premium risk stemming from variegated governance issues has not been factored yet into the expected return of any investor's portfolio. From a theoretical standpoint, this...
Persistent link: https://www.econbiz.de/10010323295
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10010324569
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965