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pro vyhledávání: '"Sayit, Hasanjan"'
Autor:
Sayit, Hasanjan
We prove that weak convergence within generalized gamma convolution (GGC) distributions implies convergence in the mean value. We use this fact to show the robustness of the expected utility maximizing optimal portfolio under exponential utility func
Externí odkaz:
http://arxiv.org/abs/2407.15105
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets. The paper [5] gives a closed form approximation formula for pricin
Externí odkaz:
http://arxiv.org/abs/2302.08041
Autor:
Rásonyi, Miklós, Sayit, Hasanjan
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note, we give closed form expressions, in markets based on finitely many ass
Externí odkaz:
http://arxiv.org/abs/2208.06549
Autor:
Sayit, Hasanjan
The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques. For general mean-risk models such closed form optimal portfolios are difficult to
Externí odkaz:
http://arxiv.org/abs/2202.02488
Publikováno v:
In North American Journal of Economics and Finance September 2024 74
Autor:
Abudurexiti, Nuerxiati, He, Kai, Hu, Dongdong, Rachev, Svetlozar T., Sayit, Hasanjan, Sun, Ruoyu
The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimization problems under which closed form solutions can be found. In this n
Externí odkaz:
http://arxiv.org/abs/2111.04311
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this paper, we give an alternative closed form formula for the price of spr
Externí odkaz:
http://arxiv.org/abs/2109.05431
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also use moment matching method to obtain semi-closed form formulas for the p
Externí odkaz:
http://arxiv.org/abs/2109.02872
Autor:
Rásonyi, Miklós, Sayit, Hasanjan
We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close to $S$ in
Externí odkaz:
http://arxiv.org/abs/1509.08280
Autor:
Abudurexiti, Nuerxiati, He, Kai, Hu, Dongdong, Rachev, Svetlozar T., Sayit, Hasanjan, Sun, Ruoyu
Publikováno v:
Annals of Operations Research; May2024, Vol. 336 Issue 1/2, p945-966, 22p