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Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
Inf-convolution of g_\Gamma-solution and its applications
CBSDE convex risk measure inf-convolution g -solution optimal investment
2011/3/31
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case.
This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is the well posedness of ...
Measuring Portfolio Diversification
diversification portfolio asset Gaussian assets the measure
2011/3/23
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences.
Portfolio Insurance under a risk-measure constraint
Portfolio insurance Utility maximization Convex risk measures CVaR entropic risk measure
2011/3/23
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold.
我国商业银行开展投行业务的风险控制研究
商业银行 投资银行业务 混业经营 风险控制
2011/8/22
随着国际金融环境的变化，商业银行与投行业务之间的界限越来越模糊。但由于我国金融宏观环境发展还未成熟，商业银行内部经营管理能力不强，法人治理结构和风险内控体系也不完善，这使得我国商业银行开展投行业务会面临很大的风险。本文分析了商业银行开展投行业务的风险分类及产生风险的原因，提出具有现实可操作性的我国商业银行开展投行业务的风险控制措施。
Applying hedging strategies to estimate model risk and provision calculation
model risk uncertainty of volatility risk measure
2011/3/23
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different pro...
Pricing and Hedging in Affine Models with Possibility of Default
Pricing Hedging in Affine Models Possibility of Default
2011/1/4
We propose a general class of models for the simultaneous treatment of equity, corporate bonds, government bonds and derivatives. The noise is generated by a general affine Markov process. The framewo...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence
Asymptotics kernel smoothing local time of an Ornstein-Uhlenbeck fractional Brownian motion nonlinearity nonstationary covariates unit root
2011/4/2
We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA mode...
股权分置改革前后股票市场与经济增长关系的实证研究
股权分置改革 经济增长 Ｊｏｈａｎｓｅｎ协整检验
2011/5/23
利用Ｊｏｈａｎｓｅｎ协整模型，对股权分置改革前后我国股票市场与经济增长的关系进行检验，实证检验结果显示，股权分置改革前后股票市场与经济增长均存在某种长期均衡关系。对比分析发现，股权分置改革后股票市场与经济增长的相关性更为明显，即股权分置改革作为政策变迁因素显著地提高了股票市场对经济增长的影响。
基于需求理论的个人理财目标分析
理财目标 生命周期 需求理论
2011/9/1
本文从个人理财的目标应具备的功能与特征出发，分析了基于生命周期理论划分个人理财目标的不妥之处，并结合马斯洛的需求理论，提出应该以个人和家庭的资产基础、收入状况等情况综合评价后进行家庭分类，在此基础上设定不同的理财目标。
The Financial Bubble Experiment: Advanced Diagnostics and Forecasts of Bubble Terminations Volume II-Master Document
Experiment Advanced Diagnostics Forecasts Bubble Terminations Volume II-Master Document
2010/10/20
This is the second installment of the Financial Bubble Experiment. Here we provide the digital fingerprint of an electronic document in which we identify 7 bubbles in 7 different global assets; for 4 ...
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its...
Schizophrenic Representative Investors
complexity representative investor deterministic behavioural
2010/10/20
Representative investors whose behaviour is modelled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correlation when the rule ...