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Random Matrix Theory and Fund of Funds Portfolio Optimisation
Random Matrix Theory Hedge Funds Fund of Funds Correlation
2010/10/20
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio re...
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Levy Random Bridges and the Modelling of Financial Information
Levy Random Bridges Modelling of Financial Information
2010/11/3
The information-based asset-pricing framework of Brody, Hughston and Mac-rina (BHM) is extended to include a wider class of models for market information.In the BHM framework, each asset is associated...
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit wh...
Mutual Fund Theorem for continuous time markets with random coefficients
optimal portfolio Mutual Fund Theorem continuous time market models
2010/11/2
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are ass...
Dual Quantization for random walks with application to credit derivatives
Quantization Backward Dynamic programming Random Walks
2010/11/2
We propose a new Quantization algorithm for the approximation of inhomogeneous random walks, which are the key terms for the valuation of CDO-tranches in latent factor models. This approach is based o...
A general "bang-bang" principle for predicting the maximum of a random walk
Bernoulli random walk Brownian motion optimal prediction ultimate maximum stopping time convex function
2010/11/2
Let (Bt)0tT be either a Bernoulli random walk or a Brownian motion with drift, and let Mt := max{Bs : 0 s t}, 0 t T. This paper solves the general optimal prediction problem sup 0 T E[f(MT...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Spectral densities Analytical results Monte Carlo validation
2010/10/29
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, ...
BSDEs with random default time and their applications to default risk
Backward stochastic differential equation Random default time Comparison theorem Zero-sum stochastic differential game
2010/11/2
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...
Financial Applications of Random Matrix Theory: a short review
Financial Applications Random Matrix Theory short review
2010/11/2
The Marˇcenko-Pastur 1967 paper [1] on the spectrum of empirical correlation matrices is both remarkable and precocious. It turned out to be useful in many, very different contexts (neural networks, i...
A duality approach to the worst case value at risk for a sum of dependent random variables with known covariances
aggregation of risks Value at Risk dependent risks risk management
2010/11/3
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...
Hidden Noise Structure and Random Matrix Models of Stock Correlations
Hidden Noise Structure Random Matrix Models Stock Correlations
2010/11/2
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, a...
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...
Fractional derivatives of random walks: Time series with long-time memory
Fractional derivatives random walks Time series long-time memory
2010/12/20
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochas...