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This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness … efficient trade-off between skewness and semivariance. Due to the endogeneity of the cosemivariance matrix, the biobjective … of the skewness/semivariance model was assessed by choosing three portfolios (the portfolio that maximizes a skewness per …
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We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...
Persistent link: https://www.econbiz.de/10008504200
In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options …
Persistent link: https://www.econbiz.de/10005701215
We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...
Persistent link: https://www.econbiz.de/10010304611
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10011340970
data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes …
Persistent link: https://www.econbiz.de/10011381002