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Relative asset price bubbles
Springer Science and Business Media LLC - Tập 12 - Trang 135-160 - 2016
In models of financial bubbles, the price of a stock is typically unbounded, and this plays a fundamental role in the analysis of finite horizon local martingale bubbles. It would seem that price bubbles do not apply to a priori bounded risky asset prices, such as bond prices. To avoid this limitation, to characterize, and to identify bond price mispricings consistent with an absence of arbitrage,...... hiện toàn bộ
Optimization of relative arbitrage
Springer Science and Business Media LLC - - 2015
In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market or a buy-and-hold portfolio, functionally generated portfolios introduced by Fernholz provide a systematic way of constructing relative arbitrages. In this pap...... hiện toàn bộ
Implied cost of capital investment strategies: evidence from international stock markets
Springer Science and Business Media LLC - Tập 10 - Trang 171-195 - 2013
Investors can generate excess returns by implementing trading strategies based on publicly available equity analyst forecasts. This paper captures the information provided by analysts by the implied cost of capital (ICC), the internal rate of return that equates a firm’s share price to the present value of analysts’ earnings forecasts. We find that U.S. stocks with a high ICC outperform low ICC st...... hiện toàn bộ
A computational study on general equilibrium pricing of derivative securities
Springer Science and Business Media LLC - Tập 4 - Trang 505-523 - 2007
This paper analyses the accuracy of replicating portfolio methods in predicting asset prices. In a two-period, general equilibrium model with incomplete financial markets and heterogeneous agents, a computational study is conducted under various distributional assumptions. The focus is on the price of a call option on an underlying risky asset. There is evidence that the value of the (approximate)...... hiện toàn bộ
An evolutionary CAPM under heterogeneous beliefs
Springer Science and Business Media LLC - Tập 9 - Trang 185-215 - 2012
Heterogeneity and evolutionary behaviour of investors are two of the most important characteristics of financial markets. This paper incorporates the adaptive behaviour of agents with heterogeneous beliefs and establishes an evolutionary capital asset pricing model (ECAPM) within the mean-variance framework. We show that the rational behaviour of agents switching to better-performing trading strat...... hiện toàn bộ
Mutual fund performance: false discoveries, bias, and power
Springer Science and Business Media LLC - - 2011
Credit risk and contagion via self-exciting default intensity
Springer Science and Business Media LLC - Tập 11 - Trang 319-344 - 2015
Recent empirical evidences indicate that default rates are influenced not only by the observable or latent risk factors, but also depend on the history of past defaults. Motivated by this empirical finding, we consider in this paper a reduced-form, intensity-based credit risk model, which allows for both frailty and default contagion, using a so-called “self-exciting” intensity, in the sense that ...... hiện toàn bộ
Quadratic minimization with portfolio and terminal wealth constraints
Springer Science and Business Media LLC - Tập 11 Số 2 - Trang 243-282 - 2015
Option pricing and Esscher transform under regime switching
Springer Science and Business Media LLC - Tập 1 - Trang 423-432 - 2005
We consider the option pricing problem when the risky underlying assets are driven by Markov-modulated Geometric Brownian Motion (GBM). That is, the market parameters, for instance, the market interest rate, the appreciation rate and the volatility of the underlying risky asset, depend on unobservable states of the economy which are modelled by a continuous-time Hidden Markov process. The market d...... hiện toàn bộ
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