Practical Application最新文献

Practical Applications of Joanne Hill – Conversation with Frank Fabozzi 乔安妮·希尔的实际应用-与弗兰克·法博齐对话

Practical Application Pub Date : 2021-08-11 DOI: 10.3905/pa.9.2.451

F. Fabozzi

引用次数: 0

Practical Applications of The Life Journey of Wealthy Women: Evolving Experiences Around Money, Work, Family, and Life Choices of Ultrawealthy Women 《富有女性人生之旅的实际应用:超级富有女性在金钱、工作、家庭和生活选择方面的演变经验》

Practical Application Pub Date : 2021-08-04 DOI: 10.3905/pa.9.2.450

Fredda Herz Brown, D. Jaffe

引用次数: 0

Practical Applications of Sales Dispersion: A Robust Factor to Consider to Achieve Alpha 销售离散度的实际应用:实现Alpha的稳健因素

Practical Application Pub Date : 2021-07-28 DOI: 10.3905/pa.9.2.445

Andrew H. Cohen, Feng Dong

引用次数: 0

Practical Applications of The Free Boundary of the American Put 美国土地自由边界的实际应用

Practical Application Pub Date : 2021-07-21 DOI: 10.3905/pa.9.2.444

T. Little

{"title":"Practical Applications of The Free Boundary of the American Put","authors":"T. Little","doi":"10.3905/pa.9.2.444","DOIUrl":"https://doi.org/10.3905/pa.9.2.444","url":null,"abstract":"Has one of the most vexing problems of mathematical finance been solved? In The Free Boundary of the American Put, from the Winter 2020 issue of The Journal of Derivatives, author Thomas Little (of Hard Analytics in Houston) says he has done exactly that, presenting an analytic formula to determine the early expiry boundary curve for American put options more quickly and accurately than has been possible in the past. Unlike European-style put options, which may be exercised only on or near their expiration dates, American puts may be exercised at any time prior to expiration. Most American puts are, in fact, held until expiration, but traders may exercise a put early for any of a number of reasons. If the early expiry boundary curve could be accurately calculated, thus determining the critical asset price at or below which a put should be exercised to avoid arbitrage, traders could more confidently make early expiry decisions and time their trades. Little says that his formula provides that curve accurately along the full time line of the option. The next step will be to back test a portfolio of American put options during several market cycles to see whether the use of Little’s formula would have produced better outcomes than those achieved with current practices. TOPICS: Options, fundamental equity analysis, statistical methods","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"216 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116287950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of The Evolution of Private Equity Fund Value 私募股权基金价值演变的实际应用

Practical Application Pub Date : 2021-07-20 DOI: 10.3905/pa.9.2.448

Gregory W. Brown, Hu Wendy Y., Jian Zhang

引用次数: 0

Practical Applications of The Bitcoin VIX and Its Variance Risk Premium 比特币波动率及其方差风险溢价的实际应用

Practical Application Pub Date : 2021-07-20 DOI: 10.3905/pa.9.2.447

C. Alexander, Arben Imeraj

{"title":"Practical Applications of The Bitcoin VIX and Its Variance Risk Premium","authors":"C. Alexander, Arben Imeraj","doi":"10.3905/pa.9.2.447","DOIUrl":"https://doi.org/10.3905/pa.9.2.447","url":null,"abstract":"In The Bitcoin VIX and Its Variance Risk Premium, published in the Spring 2021 issue of The Journal of Alternative Investments, Carol Alexander and Arben Imeraj (both of the University of Sussex) introduce the bitcoin volatility index. CryptoCompare now streams this index every 15 seconds, under the ticker BVIN. Alexander and Imeraj are the first to investigate the bitcoin variance risk premiums and the behavior of the term structure of fair-value variance swap rates. The authors collect price data on bitcoin derivatives traded on the Deribit exchange via its application programming interface. They construct a family of indexes for different maturities using the same methodology used by CBOE’s equity volatility index, the VIX. They describe the methodology, noting that it accounts for information in volatility skews but assumes no jumps in prices. They also compare the indexes with those created with an alternative technique that does not rely on the no-jump assumption. In addition, they explore the diversification potential of bitcoin variance through correlation matrixes with other assets’ volatility indexes, realized volatilities, and other variance risk premiums. TOPICS: Currency, mutual funds/passive investing/indexing, statistical methods, performance measurement","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125096311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Practical Applications of LBO and VC Investments in Recent Crises 杠杆收购和风险投资在近期危机中的实际应用

Practical Application Pub Date : 2021-07-20 DOI: 10.3905/pa.9.2.446

Marcel Stark, Rainer Lauterbach

引用次数: 0

Practical Applications of Should Endowments Continue to Commit to Private Investments? 捐赠基金是否应该继续致力于私人投资的实际应用?

Practical Application Pub Date : 2021-07-14 DOI: 10.3905/pa.9.2.443

Dennis R. Hammond

{"title":"Practical Applications of Should Endowments Continue to Commit to Private Investments?","authors":"Dennis R. Hammond","doi":"10.3905/pa.9.2.443","DOIUrl":"https://doi.org/10.3905/pa.9.2.443","url":null,"abstract":"In Should Endowments Continue to Commit to Private Investments?, from the December 2020 issue of The Journal of Investing, author Dennis Hammond (of Veriti Management in Boston) analyzes whether private equity, venture capital, and private real estate provide superior investment returns for nonprofit endowment funds. Endowments have increasingly allocated assets to private investments, due to their superior historical returns. However, these returns have slowed over the past 10 years–leading the author to question whether private investments are still worth it. Hammond uses publicly available data to calculate whether endowments have earned higher net returns from private or public investments–and whether private investments held by large or average endowments (those with more or less than $1 billion) have done better or worse. He finds that large endowments’ private investments have outperformed those of average endowments and have outperformed the S&P 500 stock index, while average-size endowments’ private investments have underperformed the S&P 500. He says this difference stems from the fact that only large endowments can afford to hire the best private investment managers. He says average-size endowments therefore should consider reallocating assets to publicly traded investments–and offers reasons why large endowments might do the same. TOPICS: Private equity, equity portfolio management, foundations & endowments, volatility measures, fundamental equity analysis, real estate, manager selection","PeriodicalId":179835,"journal":{"name":"Practical Application","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125168581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

EU Paris-Aligned and Climate Transition Benchmarks: A Case Study 欧盟《巴黎协定》和气候转型基准:案例研究

Practical Application Pub Date : 2021-07-09 DOI: 10.3905/pa.9.2.449

Yang Wang, Y. Peter, Harris-Birtill David

引用次数: 0

Practical Applications of The Sustainability Conundrum 可持续发展难题的实际应用

Practical Application Pub Date : 2021-07-07 DOI: 10.3905/pa.9.2.442

M. Anson, D. Spalding, Kristofer Kwait, J. Delano

引用次数: 0