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1.
Convex measures of risk and trading constraints   总被引:27,自引:0,他引:27  
2.
On dynamic measures of risk   总被引:10,自引:0,他引:10  
3.
Stochastic Interest Rates and the Bond-Stock Mix   总被引:8,自引:0,他引:8  
The optimal bond-stock mix is examined in light of an apparent inconsistency between the Tobin Separation Theorem and the advice of popular investment advisors which has beenpointed out by Canner et al. (1997). It is shown that the apparent inconsistency is largely explicable in terms of the hedging demands of optimising long-term investors in an environment in which the investment opportunity set is subject to stochastic shocks. The analysis points to the importance of considering investors' time horizons in analyzing optimal portfolio policies.  相似文献
4.
Option Pricing for Pure Jump Processes with Markov Switching Compensators   总被引:5,自引:0,他引:5  
This paper proposes a model for asset prices which is the exponential of a pure jump process with an N-state Markov switching compensator. We argue that such a process has a good chance of capturing all the empirical stylized regularities of stock price dynamics and we provide a closed form representation of its characteristic function. We also provide a parsimonious representation of the (not necessarily unique) risk neutral density and show how to price and hedge a large class of options on assets whose prices follow this process.  相似文献
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6.
Dynamic programming and mean-variance hedging   总被引:4,自引:0,他引:4  
7.
Quantile hedging   总被引:4,自引:0,他引:4  
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9.
Mean-variance hedging for continuous processes: New proofs and examples   总被引:4,自引:0,他引:4  
Let be a special semimartingale of the form and denote by the mean-variance tradeoff process of . Let be the space of predictable processes for which the stochastic integral is a square-integrable semimartingale. For a given constant and a given square-integrable random variable , the mean-variance optimal hedging strategy by definition minimizes the distance in between and the space . In financial terms, provides an approximation of the contingent claim by means of a self-financing trading strategy with minimal global risk. Assuming that is bounded and continuous, we first give a simple new proof of the closedness of in and of the existence of the F?llmer-Schweizer decomposition. If moreover is continuous and satisfies an additional condition, we can describe the mean-variance optimal strategy in feedback form, and we provide several examples where it can be computed explicitly. The additional condition states that the minimal and the variance-optimal martingale measures for should coincide. We provide examples where this assumption is satisfied, but we also show that it will typically fail if is not deterministic and includes exogenous randomness which is not induced by .  相似文献
10.
Efficient hedging: Cost versus shortfall risk   总被引:4,自引:0,他引:4  
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