Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Florent Gallien"'
Publikováno v:
Risks, Vol 6, Iss 4, p 112 (2018)
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to r
Externí odkaz:
https://doaj.org/article/ea2db1936ddb429784fab5bbf0c5504d
Publikováno v:
Mathematics and Financial Economics. 14:121-138
We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our explicit solution accommodates inventory shocks following an arbitrary compound Poisson process, and allo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::230d8b3f76e5cd58013068774a979198
https://doi.org/10.1007/s11579-019-00248-8
https://doi.org/10.1007/s11579-019-00248-8
Publikováno v:
SSRN Electronic Journal.
Foreign exchange operates as a two-tiered over-the-counter (OTC) market dominated by large, strategic dealers. Using proprietary high frequency data on quotes by the largest foreign exchange dealer banks in the dealer-to-customer (D2C) market, we fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea7abf671766e79f0222526940b91520
https://doi.org/10.2139/ssrn.3234406
https://doi.org/10.2139/ssrn.3234406
Publikováno v:
SSRN Electronic Journal.
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the tota
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ab538745fe222d66e979bf84a4f8031
https://doi.org/10.2139/ssrn.3230622
https://doi.org/10.2139/ssrn.3230622
Publikováno v:
Risks
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 112 (2018)
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 112 (2018)
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be73a3af74f1cadd7be3bbb0e5eb7969
https://doi.org/10.3390/risks6040112
https://doi.org/10.3390/risks6040112