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Cvitanić, Jakša; Malamud, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10003979998

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Ambiguous Information, Portfolio Inertia, and Excess Volatility

Illeditsch, Philipp K. - 2011

ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react … volatility …

Persistent link: https://www.econbiz.de/10013133587

Portfolio Constraints and Contagion in Emerging Markets

Ilyina, A. - 2013

to a “volatility shock” in one of the asset markets, under sufficiently realistic assumptions about the fund manager … volatility in emerging markets …

Persistent link: https://www.econbiz.de/10013075518

Shifts in Sectoral Wealth Shares and Risk Premia : What Explains Them?

Bansal, Ravi - 2017

We empirically show across several broad asset classes that sectoral wealth shares do not positively correlate with their risk premia---a first-order prediction of canonical equilibrium models. We then analyze the roles mean-variance and hedging demand play in accounting for sectoral shifts...

Persistent link: https://www.econbiz.de/10012957172

Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios

Liu, Zhenya - 2017

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

Persistent link: https://www.econbiz.de/10012960889

Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Charles-Cadogan, G. - 2018

Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly...

Persistent link: https://www.econbiz.de/10012937216

Challenges of Indexation in S&P 500 Index Volatility Investment Strategies

Sundberg, Margaret - 2019

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

Persistent link: https://www.econbiz.de/10012865881

Quantile Hedging in a Semi-Static Market with Model Uncertainty

Bayraktar, Erhan - 2017

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...

Persistent link: https://www.econbiz.de/10012972859

Downside Volatility-Managed Portfolios

Qiao, Xiao - 2020

Downside volatility and volatility typically comove but are not highly correlated during the most volatile times. We … show that portfolios scaled by downside volatility expand the ex post mean-variance frontiers constructed using the … original portfolios and volatility-managed portfolios of Moreira and Muir (2017), and improve the Sharpe ratios of the ex post …

Persistent link: https://www.econbiz.de/10012851535