We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (cf. [LN00]), Leippold, Trojani and Vanini (cf. [LTV04], [LTV03]) about the equivalence of the...

We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (2000), Leippold, Trojani and Vanini (2004, 2003) about the equivalence of the original...

A quantization procedure for the Yang-Mills equations for the Minkowski space R 1,3 is carried out in such a way that fi eld maps satisfying Wightman axioms of Constructive Quantum Field Theory can be obtained. Moreover, by removing the infrared and ultraviolet cutoff s, the spectrum of the...

Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized shape parameter from the skew‐normal...

Geometric Arbitrage Theory, where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit markets to model default risk and recovery, leading to closed form no arbitrage characterizations for corporate bonds.

In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge...

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the...