Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Borjana Racheva-Iotova"'
Publikováno v:
SSRN Electronic Journal.
In this paper, we explain main concepts of Prospect Theory and Cumulative Prospect Theory within the rational dynamic asset pricing framework. We derive option pricing formulas when asset returns are altered by a generalized Prospect Theory value fun
Publikováno v:
Annals of Operations Research. 176:293-309
Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how thes
Publikováno v:
Applied Financial Economics. 16:1085-1094
The study investigates whether the stable Paretian hypothesis is more adequate to explain the returns of US agency mortgage pass-through securities than the traditional normal distribution assumption. The daily returns of six representative index gen
Publikováno v:
Mathematical Methods of Operations Research (ZOR). 55:247-263
Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We
Publikováno v:
Handbook of Portfolio Construction ISBN: 9780387774381
We describe a framework for risk estimation and portfolio optimization based on stable distributions and the average value-at-risk risk measure. In contrast to normal distributions, stable distributions capture the fat tails and the asymmetric nature
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c7e10f28543432e2fd67bdd7f055430
https://doi.org/10.1007/978-0-387-77439-8_17
https://doi.org/10.1007/978-0-387-77439-8_17
Publikováno v:
Handbook on Information Technology in Finance ISBN: 9783540494867
The search for alpha is the major challenge for both traditional equity managers and hedge funds. The assets under management only in hedge fund industry rose from about $500 billion to over 1 trillion for the period 2001−2005 and are expected to g
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4eb398980f6c03a9bdc9deba37c05deb
https://doi.org/10.1007/978-3-540-49487-4_25
https://doi.org/10.1007/978-3-540-49487-4_25
The notion of long range dependence has traditionally been defined through a slow decay of correlations. This approach may be completely inappropriate in the case of a stochastic process with heavy tails. Yet long memory has been reported to be found
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d56a6b09080b54a8560dc5f2d7a4c096
https://doi.org/10.1016/b978-044450896-6.50018-2
https://doi.org/10.1016/b978-044450896-6.50018-2