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8,197
Insurance a Good Deal?
, 2006
"... We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction ..."
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We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit. The remaining liquid wealth (stocks and bonds) is used to hedge labor income risk during work life, to earn the equity premium, and to ensure estate for the heirs. Furthermore, we assess the importance of common explanations for
Good Deals and Margin Calls
, 2008
"... We provide evidence that trading frictions have an economically important impact on the execution and the profitability of option strategies that involve writing out-of-the money put options. Margin requirements, in particular, limit the notional amount of capital that can be invested in the strateg ..."
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We provide evidence that trading frictions have an economically important impact on the execution and the profitability of option strategies that involve writing out-of-the money put options. Margin requirements, in particular, limit the notional amount of capital that can be invested in the strategies and force investors to close down positions and realize losses. The economic effect of frictions is stronger when the investor seeks to write options more aggressively. Although margins are effective in reducing counterparty default risk, they also impose a friction that limits investors from supplying liquidity to the option market.
Good deal bounds induced by shortfall risk
, 802
"... We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed by conv ..."
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Cited by 7 (2 self)
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We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed
The Theory of Good-Deal Pricing in Financial Markets
"... The term ‘no-good-deal pricing ’ in this paper encompasses pricing techniques based on the absence of attractive investment opportunities – good deals – in equilibrium. We borrowed the term from [8] who pioneered the calculation of price bands conditional on the absence of high Sharpe Ratios. Altern ..."
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The term ‘no-good-deal pricing ’ in this paper encompasses pricing techniques based on the absence of attractive investment opportunities – good deals – in equilibrium. We borrowed the term from [8] who pioneered the calculation of price bands conditional on the absence of high Sharpe Ratios
Dynamic utility-based good deal bounds
"... Abstract: We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels and the ..."
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Cited by 1 (0 self)
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Abstract: We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels
Dynamic utility-based good deal bounds
- Statistics and Decisions
"... Abstract: We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels and th ..."
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Cited by 2 (0 self)
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Abstract: We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels
Two for One Is Not Always a Good Deal
"... The online version of this article, along with updated information and services, is located on the ..."
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The online version of this article, along with updated information and services, is located on the
Towards a general theory of good deal bounds. Working Paper
, 2005
"... Preliminary and incomplete version. Please do not cite. We consider a Markovian factor model consisting of a vector price process for traded assets as well as a multidimensional random process for non traded factors. All processes are allowed to be driven by a general marked point process (represent ..."
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Cited by 24 (1 self)
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(representing discrete jump events) as well as by a standard multidimensional standard Wiener process. Within this framework we provide the following results. • We extend the Hansen-Jagannathan bounds [3] for the Sharpe Ratio to the point process setting. • We study arbitrage free good deal pricing bounds
Results 1 - 10
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8,197