Portfolio optimization in the case of an exponential utility function and in...
We study an optimization problem for a portfolio with a risk-free, a liquid risky, and an illiquid asset which is sold in an exogenous random moment of time with a prescribed liquidation time...
View ArticleWeighted Monte Carlo with least squares and randomized extended Kaczmarz for...
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines...
View ArticleStochastic Orderings of Multivariate Elliptical Distributions....
Let ${bf X}$ and ${bf X}$ be two $n$-dimensional elliptical random vectors, we establish an identity for $E[f({bf Y})]-E[f({bf X})]$, where $f: Bbb{R}^n rightarrow Bbb{R}$ fulfilling some regularity...
View ArticleQuantpedia Premium Update – 16th October 2019
Four new strategies have been added: #449 - Flight to Quality Factor in Fixed Income #450 - Unemployment Gap Factor in Fixed Income #451 - Growth Gap Factor in Fixed Income #452 - Reversal - Yield...
View ArticleA study on window-size selection for threshold and bootstrap value-at-risk...
This paper investigates the effects of window-size selection on various models for value-at-risk (VaR) forecasting using high-performance computing.
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Paul Samuelson’s Three Flavors of Randomness
Implications of the Efficient-Market HypothesisContinue reading on Cantor’s Paradise »
View ArticleCommodity Futures Risk Premium – Historical Analysis
We at Quantpedia absolutely love longitudinal studies, and academic research paper written by Bhardwaj, Janardanan, and Rouwenhorst is really exceptional. There are a lot of studies covering a long...
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