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1.
THE NUMÉRAIRE PROPERTY AND LONG‐TERM GROWTH OPTIMALITY FOR DRAWDOWN‐CONSTRAINED INVESTMENTS
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We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative return and prove that drawdown‐constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time‐horizon becomes distant, the drawdown‐constrained numéraire portfolio is given explicitly through a model‐independent transformation of the unconstrained numéraire portfolio. The asymptotically growth‐optimal strategy is obtained as limit of numéraire strategies on finite horizons. 相似文献
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Arbitrage and investment opportunities 总被引:1,自引:0,他引:1
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We propose an approach to find an approximate price of a swaption in affine term structure models. Our approach is based on the derivation of approximate swap rate dynamics in which the volatility of the forward swap rate is itself an affine function of the factors. Hence, we remain in the affine framework and well-known results on transforms and transform inversion can be used to obtain swaption prices in similar fashion to zero bond options (i.e., caplets). The method can easily be generalized to price options on coupon bonds. Computational times compare favorably with other approximation methods. Numerical results on the quality of the approximation are excellent. Our results show that in affine models, analogously to the LIBOR market model, LIBOR and swap rates are driven by approximately the same type of (in this case affine) dynamics. 相似文献
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The mutual fund theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. The main results are:
Financial support from the Austrian Science Fund (FWF) under the grant P19456, from Vienna Science and Technology Fund (WWTF)
under Grant MA13 and by the Christian Doppler Research Association (CDG) is gratefully acknowledged by the first author. The
research of the second author was partially supported by the National Science Foundation under Grant DMS-0604643. 相似文献
(i) | Let N be the wealth process of the numéraire portfolio (i.e., the optimal portfolio for the log utility). If any path-independent option with maturity T written on the numéraire portfolio can be replicated by trading only in N and the risk-free asset, then the MFT holds true for general utility functions, and the numéraire portfolio may serve as mutual fund. This generalizes Merton’s classical result on Black–Merton–Scholes markets as well as the work of Chamberlain in the framework of Brownian filtrations (Chamberlain in Econometrica 56:1283–1300, 1988). Conversely, under a supplementary weak completeness assumption, we show that the validity of the MFT for general utility functions implies the replicability property for options on the numéraire portfolio described above. |
(ii) | If for a given class of utility functions (i.e., investors) the MFT holds true in all complete Brownian financial markets S, then all investors use the same utility function U, which must be of HARA type. This is a result in the spirit of the classical work by Cass and Stiglitz. |
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Martin Herdegen 《Mathematical Finance》2017,27(2):568-603
The classic approach to modeling financial markets consists of four steps. First, one fixes a currency unit. Second, one describes in that unit the evolution of financial assets by a stochastic process. Third, one chooses in that unit a numéraire, usually the price process of a positive asset. Fourth, one divides the original price process by the numéraire and considers the class of admissible strategies for trading. This approach has one fundamental drawback: Almost all concepts, definitions, and results, including no‐arbitrage conditions like NA, NFLVR, and NUPBR depend by their very definition, at least formally, on initial choices of a currency unit and a numéraire. In this paper, we develop a new framework for modeling financial markets, which is not based on ex‐ante choices of a currency unit and a numéraire. In particular, we introduce a “numéraire‐independent” notion of no‐arbitrage and derive its dual characterization. This yields a numéraire‐independent version of the fundamental theorem of asset pricing (FTAP). We also explain how the classic approach and other recent approaches to modeling financial markets and studying no‐arbitrage can be embedded in our framework. 相似文献
7.
Habits of thought and cultural tourism 总被引:1,自引:0,他引:1
Alf H Walle 《Annals of Tourism Research》1996,23(4):874-890
The way cultural tourists think about the people they visit impacts upon their travel experiences. Cultural tourism professionals can benefit by understanding this diversity of thought. By examining four travelogs concerning Native American cultures in the 19th century, the value of new research techniques from consumer behavior which employ methods paralleling literary criticism are demonstrated and related to the empirical evidence at hand. In particular, the works of Sir Richard Burton, Francis Parkman, Washington Irving, and Louis Henry Morgan are compared and juxtaposed. It is hoped that this combining of tourism theory with mythological theory will help the field to mesh with similar developments taking place in marketing and consumer behavior. 相似文献
8.
We consider an international financial market model that consists ofN currencies. The purpose is to derive a no arbitrage condition which is not affected by the choice of numéraire between theN currencies. As a result, we show that a finiteness condition for an arbitrary chosen currency and the no arbitrage condition
for the basket currency are necessary and sufficient for the no arbitrage property of all theN currencies.
Research supported in part by Nomura Foundation for Social Science and by the European Community Stimulation Plan for Economic
Science contract Number SPES-CT91-0089. The authors thank an anonymous FEJM referee for helpful comments. 相似文献
9.
We study the existence of the numéraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numéraire portfolio generates
a wealth process, with respect to which the relative wealth processes of all other portfolios are supermartingales. Necessary
and sufficient conditions for the existence of the numéraire portfolio are obtained in terms of the triplet of predictable
characteristics of the asset price process. This characterization is then used to obtain further necessary and sufficient
conditions, in terms of a no-free-lunch-type notion. In particular, the full strength of the “No Free Lunch with Vanishing
Risk” (NFLVR) condition is not needed, only the weaker “No Unbounded Profit with Bounded Risk” (NUPBR) condition that involves
the boundedness in probability of the terminal values of wealth processes. We show that this notion is the minimal a-priori
assumption required in order to proceed with utility optimization. The fact that it is expressed entirely in terms of predictable
characteristics makes it easy to check, something that the stronger NFLVR condition lacks.
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10.
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on nondevaluation, each asset can serve as proper numéraire and classical valuation rules can be formulated. It is shown when and how these local valuation rules can be aggregated to obtain global arbitrage‐free valuation formulas. 相似文献