Results 21 to 30 of about 35,071 (244)
Trajectorial asset models with operational assumptions
Quantitative Finance and Economics, 2019 The paper addresses the problem of providing a framework and an algorithm to evaluate super and sub replicating prices, for European options, having interesting risk-reward characteristics.
Sebastian Ferrando +3 more
doaj +1 more source
Efficient option pricing with transaction costs [PDF]
, 2002 A fast numerical algorithm is developed to price European options with proportional transaction costs using the utility-maximization framework of Davis (1997).
Monoyios, Michael
core +3 more sources
Improving Optimal Terminal Value Replicating Portfolios [PDF]
, 2015 Currently, several large life insurance companies apply the replicating portfolio technique for valuation and risk management of their liabilities. In [7], the two most common approaches, cash-flow matching and terminal value matching, have been investigated from a theoretical perspective and it has been shown that optimal terminal value replicating ...
Natolski, Jan, Werner, Ralf
openaire +2 more sources
A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
Risks, 2019 This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53 ...
Stanislaus Maier-Paape +2 more
doaj +1 more source
Deep Replication of a Runoff Portfolio
, 2020 To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. This article presents the key notions of Deep Asset Liability Management (Deep~ALM) for a technological transformation in the management of assets and liabilities along a whole term structure. The approach
Krabichler, Thomas, Teichmann, Josef
openaire +2 more sources
Penalized enhanced portfolio replication with asymmetric deviation measures
Annals of Operations Research, 2023 AbstractPassive investment strategies, such as those implemented by Exchange Traded Funds (ETFs), have gained increasing popularity among investors. In this context, smart beta products promise to deliver improved performance or lower risk through the implementation of systematic investing strategies, and they are also typically more cost-effective ...
Gabriele Torri +2 more
openaire +5 more sources
Optimal composition of hybrid/blended real estate portfolios [PDF]
, 2019 Purpose: The purpose of this paper is to establish an optimum mix of liquid, publicly traded assets that may be added to a real estate portfolio, such as those held by open-ended funds, to provide the liquidity required by institutional investors such as
Ametefe, Frank Kwakutse +2 more
core +1 more source
Portfolio optimization in the illiquid market using the empirical distribution
Results in Applied MathematicsThis paper focuses on the portfolio optimization problem in the presence of the European options in the illiquid market. To do this, we extract the features of the market data using the statistical test to design a general financial model.
Pouya Fakhraeipour +2 more
doaj +1 more source
Disaggregated ESG Risk in European Asset Pricing Based on ESG Leaders Data [PDF]
ACTA VŠFSBackground: This study investigates the conditional pricing of environmental, social, governance (ESG)-related risk exposures – specifically ESG, carbon intensity, and controversy – using portfolio-level data from firms in the Morgan Stanley Capital ...
Salzmann, Eleonora
doaj +1 more source
Rara Avis Vineyards: Has This Bird Flown?
Wine Business Journal, 2018 Preston “Press” McLean (name disguised at his request) was a successful serial entrepreneur who created an investor group in 2006 to take over a troubled premium winery in Sonoma County.
Sergio Canavati +2 more
doaj +1 more source