VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Exotic, bespoke and long-dated options require careful model selection, calibration and pricing. Local Volatility models struggle to fit the smile and skew observed in financial markets and smile tends to flatten for long-dated maturities. Stochastic Volatility (SV) models such as the Heston...

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these...

We develop a model of dealer intermediation in bond markets that takes account of how changing regulatory requirements for banks since the financial crisis, in particular, the introduction of minimum leverage ratio requirements, affect the cost and ability of dealer banks to provide...

Purpose- Aim of this study is to make the determinations related to the problems mentioned in the REIT sector in Turkey, to offer a solution for this issue, and to ensure the classification in the sector by adhering to the financial data of the REITs.Methodology- Financial data set of the REITs...

We study a concept of dynamic leverage which is a risk measure generalizing traditional value at risk type measures. This measure is suited for hedge funds and can be applied to quantify risk in a fund of hedge funds. Dynamic leverage depends on the level of fund volatility, time horizon and...

We show that abnormal returns to analysts' recommendations stem from both the ratings levels assigned as well as the changes in those ratings. Conditional on the ratings change, buy and strong buy recommendations have greater returns than do holds, sells, and strong sells. Conditional on the...