Results 1 to 10 of about 35,071 (244)
Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio. [PDF]
PLoS ONE, 2021 In this paper, we make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model.
An-Sing Chen, Che-Ming Yang
doaj +2 more sources
The difference between LSMC and replicating portfolio in insurance liability modeling. [PDF]
Eur Actuar J, 2016 Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This involves the valuation of the balance sheet in 1 year's time. As for insurance liabilities, closed-form solutions to their value are generally not available, insurers turn to estimation procedures. While pure Monte Carlo simulation set-ups are theoretically
Pelsser A, Schweizer J.
europepmc +5 more sources
Modeling Stylized Facts in FX Markets with FINGAN-BiLSTM: A Deep Learning Approach to Financial Time Series [PDF]
EntropyWe propose the financial generative adversarial network–bidirectional long short-term memory (FINGAN-BiLSTM) model to accurately reproduce the complex statistical properties and stylized facts, namely, heavy-tailed behavior, volatility clustering, and ...
Dong-Jun Kim +2 more
doaj +2 more sources
"A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio" [PDF]
Global Journal of Business Research, 2010 This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions.
Akihiko Takahashi, Kyo Yamamoto
core +3 more sources
Real option analysis in a replicating portfolio perspective [PDF]
, 2013 In the last decades, a vast body of literature has arisen on real option analysis (ROA). The use of di¤erent approaches and the often implicit adoption of major assumptions may cause confusion on what ROA precisely entails, or in which situations it may ...
Bos, Christian +3 more
core +4 more sources
Portfolio performance under tracking error and benchmark volatility constraints [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose - Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV ...
Jan Frederick Hausner, Gary van Vuuren
doaj +1 more source
Entropy, 2021 A function which transforms a continuous random variable such that it has a specified distribution is called a replicating function. We suppose that functions may be assigned a price, and study an optimization problem in which the cheapest approximation ...
Brendan K. Beare
doaj +1 more source
Innovar: Revista de Ciencias Administrativas y Sociales, 2023 One of the problems investors often face is deciding on the stocks to include in an investment portfolio. Hence, this article seeks to select investment portfolios considering the 30 leading companies listed on the New York Stock Exchange (NYSE) of the ...
Pavel Anselmo Alvarez Carrillo +3 more
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Risk minimization through portfolio replication [PDF]
The European Physical Journal B, 2007 12 pages, APFA5 ...
Ciliberti, Stefano, Mezard, Marc
openaire +3 more sources
Global Optimization for Automatic Model Points Selection in Life Insurance Portfolios
Mathematics, 2021 Starting from an original portfolio of life insurance policies, in this article we propose a methodology to select model points portfolios that reproduce the original one, preserving its market risk under a certain measure. In order to achieve this goal,
Ana M. Ferreiro +3 more
doaj +1 more source