Showing 51 - 60 of 5,761
This paper studies the utility maximization problem on consumption with addictive habit formation in the market with proportional transaction costs and unbounded random endowment. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At...
Persistent link: https://www.econbiz.de/10010886003
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting...
Persistent link: https://www.econbiz.de/10010886749
We present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems, and use it to develop a novel algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on...
Persistent link: https://www.econbiz.de/10010886750
The hybrid Monte Carlo algorithm (HMCA) is applied for Bayesian parameter estimation of the realized stochastic volatility (RSV) model. Using the 2nd order minimum norm integrator (2MNI) for the molecular dynamics (MD) simulation in the HMCA, we find that the 2MNI is more efficient than the...
Persistent link: https://www.econbiz.de/10010886751
Financial portfolios are often optimized for maximum profit while subject to a constraint formulated in terms of the Conditional Value-at-Risk (CVaR). This amounts to solving a linear problem. However, in its original formulation this linear problem has a very large number of linear constraints,...
Persistent link: https://www.econbiz.de/10010886752
The purpose of this paper is to identify a relevant statistical correlation between rate of default, RD, and loss given default, LGD, in a major Brazilian financial institution Retail Home Equity exposure rated using the IRB approach, so that we may find a causal relationship between the two...
Persistent link: https://www.econbiz.de/10010886753
Central Counterparties (CCPs) are widely promoted as a requirement for safe banking with little dissent except on technical grounds (such as proliferation of CCPs). Whilst CCPs can have major operational positives, we argue that CCPs have many of the business characteristics of Rating Agencies,...
Persistent link: https://www.econbiz.de/10010886754
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always yield easily interpretable results. In this study, we...
Persistent link: https://www.econbiz.de/10010886755
We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and...
Persistent link: https://www.econbiz.de/10010886756
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Capital requirements are costly because derivatives desks are risky businesses; funding is costly in part because regulations increase the minimum funding tenor. Idiosyncratic costs mean no single measure makes...
Persistent link: https://www.econbiz.de/10010886757