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A Malliavin Calculus Approach to Minimal Variance Hedging

Hess, Markus - 2021

In this paper, we investigate the following problem: How can a financial institution, which has sold an option to a client, optimally hedge the payoff of this option by investing into a stock and into the option itself? Optimality is measured in terms of minimal variance and the associated...

Persistent link: https://www.econbiz.de/10013234161

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Optimal consumption and investment under relative performance citeria with Epstein-Zin utility

Dianetti, Jodi; Riedel, Frank; Stanza, Lorenzo - 2024

We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of...

Persistent link: https://www.econbiz.de/10014473535

Finding a maximum skewness portfolio

Athayde, Gustavo; Flores, Renato - Society for Computational Economics - SCE - 2001

Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take …

Persistent link: https://www.econbiz.de/10005345587

Portfolio selection models based on characteristics of return distributions

Lipinski, Paweł Wnuk - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2013

criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi …

Persistent link: https://www.econbiz.de/10010667202

Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances

Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 1-16

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …

Persistent link: https://www.econbiz.de/10012229194

Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances

Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN journal of applied statistics 9 (2018) 2, pp. 1-16

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …

Persistent link: https://www.econbiz.de/10012031052

Prospect Theory and Higher Moments

Ågren, Martin - 2006

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

Persistent link: https://www.econbiz.de/10010321576

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7

following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness … and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …

Persistent link: https://www.econbiz.de/10011559141

Skewness and kurtosis ratio tests: With applications to multiperiod tail risk analysis

Wong, Woon K. - 2016

This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The …

Persistent link: https://www.econbiz.de/10011787151