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In standard portfolio theories such as Mean-Variance optimization, Expected Utility Theory, Rank Dependent Utility Theory, Yaari's Dual Theory and Cumulative Prospect Theory, the worst outcomes for optimal strategies occur when the market declines (e.g, during crises), which is at odds with the...
Persistent link: https://www.econbiz.de/10013073500
Nelsen et al. (2004) find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov (2011) generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula when its values on a compact subset of...
Persistent link: https://www.econbiz.de/10013075032
In stochastic volatility models based on time-homogeneous diff usions, we provide a simple necessary and suffi cient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It extends Theorem 3.8 of Jarrow, Kchia, Larsson and...
Persistent link: https://www.econbiz.de/10013062702
We study the impact of dependence uncertainty on E(X_1X_2 · · · X_d) when X_i ∼ F_i for all i. Under some conditions on the Fi, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the F_i. The results are applied to assess the...
Persistent link: https://www.econbiz.de/10014355537
When entering into a tontine, the value of the tontine for the participant highly depends on its composition. However, participants typically subscribe to the scheme without any knowledge of either the composition of the tontine, or even its exact payout scheme. Herein, we quantify the value of...
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Tankov (2011) improves the Fréchet bounds for a bivariate copula when its values on a compact subset of the unit square are given. He shows that the best possible bounds are quasi-copulas and gives a sufficient condition for these bounds to be copulas. In this note we give weaker sufficient...
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