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553
Optimal mean-variance robust hedging under asset price model misspecification
- Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robu ..."
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Cited by 1 (1 self)
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Abstract. The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance
Mean–variance optimal adaptive execution
- Applied Mathematical Finance
, 2011
"... Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do not modi ..."
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Cited by 11 (1 self)
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Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do
Optimal robust mean-variance hedging in incomplete financial markets
- Journal of Mathematical Sciences
"... Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial mar ..."
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Cited by 3 (1 self)
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Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial
Common Persistence in Conditional Variances
- ECONOMETRIC REVIEWS
, 1993
"... Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approxima ..."
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Cited by 347 (20 self)
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to the conditional variance are persistent, in the sense that they remain important for forecasts of all horizons. This idea is readily extended to a multivariate framework. Even though many time series may exhibit persistence in variance, it is likely that several different variables share the same common long
Mean-Variance Portfolio Rebalancing with Transaction Costs.” Mimeo
, 2005
"... Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, ..."
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Cited by 4 (0 self)
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Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs
Mean-Variance Hedging for Continuous Processes: New Proofs and Examples
, 1996
"... Let X be a special semimartingale of the form X = X 0 + M + R d#M# b #, denote by b K = R b # tr d#M# b # the mean-variance tradeoff process of X and by # the space of predictable processes # for which the stochastic integral G(#) = R #dX is a square-integrable semimartingale. For a given constant c ..."
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Cited by 36 (0 self)
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c # IR and a given square-integrable random variable H, the mean-variance optimal hedging strategy # (c) minimizes the distance in L 2 between H - c and the space G T (#). In financial terms, # (c) provides an approximation of the contingent claim H by means of a self-financing trading strategy
How Useful are Mean-Variance Considerations in Stock Trading via Feedback Control?
"... Abstract — In classical finance, when a stochastic investment outcome is characterized in terms of its mean and variance, it is implicitly understood that the underlying probability distribution is not heavily skewed. For example, in the “perfect” case when outcomes are normally distributed, mean-va ..."
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to increment or decrement one’s stock position, we see that the resulting skewness measure S(K) for the trading gains or losses can easily become dangerously large. Hence, we argue in this paper that the selection of this gain K based on a classical mean-variance based utility function can lead to a distorted
Mean-Variance Hedging with Uncertain Trade Execution (Master Thesis)
"... Školiteľ: prof. Ing. Aleš Černý, PhD. Bratislava, 2009I declare this thesis was written on my own, with the only help provided by my supervisor and the referred-to literature and sources..................................Acknowledgement I would like to express thanks to my supervisor Dr. Aleˇs Čern´y ..."
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´y, PhD. for all of the support and guidance he offered throughout the elaboration of this thesis. I warmly thank my family for support and love. My special thanks goes to Lukáˇs The purpose of mean-variance hedging is to find a dynamic hedging strategy minimizing the unconditional squared hedging error
continuous-time mean-variance portfolio selection with bankruptcy prohibition.
- Mathematical Finance,
, 2005
"... A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar am ..."
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Cited by 28 (5 self)
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A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar
The Immunization Performance of Traditional and Stochastic Durations: A Mean-Variance Analysis∗
, 2008
"... This paper provides a mean-variance analysis of immunization strategies that trade off coupon reinvestment risk with resale price risk. For static im-munization strategies, neither traditional nor stochastic durations fall in the set of efficient horizons. This finding is robust across various inter ..."
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This paper provides a mean-variance analysis of immunization strategies that trade off coupon reinvestment risk with resale price risk. For static im-munization strategies, neither traditional nor stochastic durations fall in the set of efficient horizons. This finding is robust across various
Results 1 - 10
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553
