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Option pricing when underlying stock returns are discontinuous

by Robert C. Merton - Journal of Financial Economics , 1976
"... The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
Abstract - Cited by 1001 (3 self) - Add to MetaCart
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying

The performance of mutual funds in the period 1945-1964

by Michael C. Jensen - JOURNAL OF FINANCE , 1968
"... In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1 ..."
Abstract - Cited by 615 (1 self) - Add to MetaCart
In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe

Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach

by Kenneth A. Froot, Jeremy C. Stein, Anthony M. Santomero , 1996
"... : We develop a framework for analyzing the capital allocation and capital structure decisions facing financial institutions such as banks. Our model incorporates two key features: i) value-maximizing banks have a well-founded concern with risk management; and ii) not all the risks they face can be ..."
Abstract - Cited by 240 (7 self) - Add to MetaCart
of unhedgeable derivatives portfolios. I. Introduction One of the fundamental roles of banks and other financial intermediaries is to invest in illiquid financial assets--assets which, because of their information-intensive nature, cannot be frictionlessly traded in the capital markets. The standard example

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
at both the individual firm level (see, for example, Kwan (1996)) and portfolio level (see, for example, Blume, Keim and Patel (1991), and Cornell and Green (1991)). These studies focus on corporate bond returns, or yield changes. The main conclusions of these papers are: (1) high-grade bonds behave

A Test of the Efficiency of a Given Portfolio

by R. Gibbons, Tephena Ross, Jay Shanken - In Econometrica , 1989
"... A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex pos ..."
Abstract - Cited by 331 (14 self) - Add to MetaCart
A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex

Conditional value-at-risk for general loss distributions

by R. Tyrrell Rockafellar, Stanislav Uryasev - Journal of Banking and Finance , 2002
"... Abstract. Fundamental properties of conditional value-at-risk, as a measure of risk with significant advantages over value-at-risk, are derived for loss distributions in finance that can involve discreetness. Such distributions are of particular importance in applications because of the prevalence o ..."
Abstract - Cited by 386 (28 self) - Add to MetaCart
Abstract. Fundamental properties of conditional value-at-risk, as a measure of risk with significant advantages over value-at-risk, are derived for loss distributions in finance that can involve discreetness. Such distributions are of particular importance in applications because of the prevalence

Dynamic Nonmyopic Portfolio Behavior

by Tong Suk Kim, Edward Omberg - Review of Financial Studies , 1996
"... The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or speculate ..."
Abstract - Cited by 190 (3 self) - Add to MetaCart
The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against

An Analytic Derivation of the Efficient Portfolio Frontier.

by Robert C Merton - Journal of Financial and Quantitative Analysis, , 1972
"... JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about J ..."
Abstract - Cited by 87 (1 self) - Add to MetaCart
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. University of Washington School of Business Administration is collaborating with JSTOR to digitize, preserve and extend access to The Journal of Financial and Quantitative Analysis.

Logarithmic regret algorithms for online convex optimization

by Elad Hazan, Adam Kalai, Satyen Kale, Amit Agarwal - In 19’th COLT , 2006
"... Abstract. In an online convex optimization problem a decision-maker makes a sequence of decisions, i.e., choose a sequence of points in Euclidean space, from a fixed feasible set. After each point is chosen, it encounters an sequence of (possibly unrelated) convex cost functions. Zinkevich [Zin03] i ..."
Abstract - Cited by 210 (35 self) - Add to MetaCart
] introduced this framework, which models many natural repeated decision-making problems and generalizes many existing problems such as Prediction from Expert Advice and Cover’s Universal Portfolios. Zinkevich showed that a simple online gradient descent algorithm achieves additive regret O ( √ T

1Currency Risk Premia and Unhedged, Foreign-Currency Borrowing in Emerging Markets

by Sajjid Z. Chinoy, Sajjid Z. Chinoy , 2001
"... This paper develops an analytical framework to jointly rationalize two important unresolved puzzles in international economics: the generation of currency risk premia in the interest rates of many emerging markets, and the desire of firms in these environments to expose themselves to currency risk b ..."
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by denominating their debt, unhedged, in foreign-currency. In contrast to the extant theoretical literature, we focus on the asymmetry of national monies to demonstrate how foreign-currency assets can often serve as consumption hedges to households in emerging markets, who then demand a risk-premium to hold
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