Results 231 to 240 of about 35,071 (244)

EDA with Switching Distributions for Long-Short Portfolio Replication Problems

2013 IEEE International Conference on Systems, Man, and Cybernetics, 2013
It is desired to replicate the benchmark portfolio when it has delivered good performances. In this paper, our focus is on the portfolio replication problem that the total return of the benchmark portfolio is opened to the public but the proportion-weighted combination is closed to the public.
Shunsuke Shibata, Yukiko Orito, Yoshiko Hanada, Hisashi Yamamoto   +3 more
openaire   +1 more source

Theory and Validation of Replicating Portfolios in Insurance Risk Management

SSRN Electronic Journal, 2016
The Solvency II framework challenges insurers to evaluate and manage their embedded balance sheet risks appropriately. However, insurances hold balance sheet items, for which closed-form solutions and market prices are not available. Pure Monte Carlo valuation requires nested simulations, which are too time-intensive.
Eric Beutner, Antoon Pelsser, Janina Schweizer   +2 more
openaire   +1 more source

The Effects of Volatility Misestimation on Option-Replication Portfolio Insurance

Financial Analysts Journal, 1990
(1990). The Effects of Volatility Misestimation on Option-Replication Portfolio Insurance. Financial Analysts Journal: Vol. 46, No. 3, pp. 61-70.
Richard J. Rendleman, Thomas J. O'Brien
openaire   +1 more source

Replicating Portfolios

2022
Elisa Alòs, Raúl Merino, Frido Rolloos
openaire   +1 more source

Replicating Financial Anomalies in Portfolio Selection

Wilmott
Financial anomalies have been studied in the US for over 90 years. Recent evidence suggests that financial anomalies have diminished in the US and possibly in non-US portfolios. Have the anomalies changed and are they persistent? Have historical and earnings forecasting data been a consistent, and highly statistically significant, source of excess ...
openaire   +1 more source

Equity portfolio insurance against a benchmark: Setting, replication and optimality

Economic Modelling, 2013
This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework.
openaire   +2 more sources

On the steady state of the replicating portfolio: accounting for a growth rate

OR Spectrum, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +3 more sources

Fair valuation of universal life policies via a replicating portfolio

Journal of Applied Analysis, 2010
Summary: In this paper we develop a new method for valuing universal life policies via a zero-coupon bond replicating portfolio. The method combines the idea of replicating portfolio with that of a fixed point. In addition, we accompany the proposed method with an equation relating account value, reserve and present value of future profits.
openaire   +1 more source

Minimum deviation enhanced portfolio replication with expectiles

2020
This work addresses the problem of enhanced portfolio replication, proposing a strategy based on the minimization of a novel deviation strategies based on expectiles. This measure allows to account asymmetrically for the differences between the portfolio and the benchmark, favouring positive deviations compared to negative ones.
openaire   +1 more source

Dynamic Portfolio Replication Using Stochastic Programming

2002
M.A.H. Dempster, G.W.P. Thompson
openaire   +1 more source