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Decisions in Economics and Finance最新文献

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Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed 当资产收益呈方差伽马分布时，利润分享型人寿保险保单的利润测试
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-03-26 DOI: 10.1007/s10203-024-00440-6
Olivier Le Courtois, Li Shen
{"title":"Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed","authors":"Olivier Le Courtois, Li Shen","doi":"10.1007/s10203-024-00440-6","DOIUrl":"https://doi.org/10.1007/s10203-024-00440-6","url":null,"abstract":"<p>This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A universal life policies, and variable annuities with guaranteed minimum maturity and death benefits, when investment returns are stochastic and modeled by normal or variance gamma distributions. We rely on the stochastic profit testing techniques introduced in Dickson et al. (Actuarial mathematics for life contingent risks, 2nd edn, Cambridge University Press, Cambridge, 2013) to examine the influence of the models’ parameters and of the models themselves on the profit testing indicators. We show that the variance gamma model results in more conservative predictions than the normal model for most cases.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"428 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140323673","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
Multivariate risk attitude: a comparison of alternative approaches in sustainability policies 多变量风险态度：可持续性政策中替代方法的比较
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-03-21 DOI: 10.1007/s10203-024-00441-5
Francesca Beccacece
{"title":"Multivariate risk attitude: a comparison of alternative approaches in sustainability policies","authors":"Francesca Beccacece","doi":"10.1007/s10203-024-00441-5","DOIUrl":"https://doi.org/10.1007/s10203-024-00441-5","url":null,"abstract":"<p>Risk aversion has an unambiguous meaning in the univariate context: But, what does it mean to be risk averse in the multivariate case? Concave Risk Aversion (CRA) and Multivariate Risk Aversion (MRA) are relevant extensions of the risk aversion concept used in the univariate case to the multivariate case, corresponding to concave and ultramodular utility classes, respectively. Although CRA and MRA can coexist, they are dramatically different in some ways, leading to opposite preferences under some circumstances, as in the face of irreversible risks. We introduce the notions of purely concave and purely multivariate risk aversion, related to disjoint utility classes. We apply the purely risk aversion notions to the field of sustainability, where catastrophic and irreversible outcomes can be faced, in order to highlight and compare the consequences of the two approaches on sustainability policies. In this respect, we provide three main results. First, the kind of risk aversion determines the pursued goal. Second, the principle of “rejecting any fair bet” is not always preserved. Third, sustainability policies induced by different risk aversions, if repeated, produce final states in which mean-variance criterion holds.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"17 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140204242","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
Optimal liquidation with high risk aversion and small linear price impact 高风险规避和小线性价格影响下的最优清算
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-03-13 DOI: 10.1007/s10203-024-00435-3
Leonid Dolinskyi, Yan Dolinsky
{"title":"Optimal liquidation with high risk aversion and small linear price impact","authors":"Leonid Dolinskyi, Yan Dolinsky","doi":"10.1007/s10203-024-00435-3","DOIUrl":"https://doi.org/10.1007/s10203-024-00435-3","url":null,"abstract":"<p>We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. We compute the limit of the corresponding utility indifference prices and find explicitly a family of portfolios which are asymptotically optimal.\u0000</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"12 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140116243","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
Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space 多资产设置和有限概率空间中固定成本和比例成本下的资产定价基本定理
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-03-12 DOI: 10.1007/s10203-024-00439-z
Tomasz Zastawniak
{"title":"Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space","authors":"Tomasz Zastawniak","doi":"10.1007/s10203-024-00439-z","DOIUrl":"https://doi.org/10.1007/s10203-024-00439-z","url":null,"abstract":"<p>The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale with respect to such a family.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"108 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140116240","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
The power of derivatives in portfolio optimization under affine GARCH models 仿 GARCH 模型下衍生工具在投资组合优化中的作用
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-03-01 DOI: 10.1007/s10203-024-00433-5
Marcos Escobar-Anel, Eric Molter, Rudi Zagst
{"title":"The power of derivatives in portfolio optimization under affine GARCH models","authors":"Marcos Escobar-Anel, Eric Molter, Rudi Zagst","doi":"10.1007/s10203-024-00433-5","DOIUrl":"https://doi.org/10.1007/s10203-024-00433-5","url":null,"abstract":"<p>This paper demonstrates the benefits, from an expected utility perspective, of including a derivative into the universe of tradeable assets under the affine GARCH model proposed by Heston and Nandi (Rev Financ Stud 13(3):585–625, 2000. https://doi.org/10.1093/rfs/13.3.585). For this purpose, we first introduce a Power Option into the market, derive its value and moment generating function thanks to the affine GARCH structure. We then expand on the results presented by Escobar-Anel et al. (Oper Res Perspect 9:100216, 2022) by solving for the optimal investment allocations into the stock, a cash account and the option. We show that investors who are able to include a derivative indeed outperform those who only invest into the stock and the bank account. In this spirit, investors who fail to include, even a low level of exposure to the derivative, could see up to 7% annual wealth-equivalent losses. This confirms findings in continuous-time models dating to Liu and Pan (J Financ Econ 69(3):401–430, 2003). An empirical analysis on the S &amp;P500 confirms the superiority in terms of Sharpe ratio, and maximum drawdown of portfolios with options, in-sample and out-of-sample.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"108 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140017510","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
Disposition effect and its outcome on endogenous price fluctuations 处置效应及其对内生价格波动的影响
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-01-28 DOI: 10.1007/s10203-023-00431-z
Alessia Cafferata, Marco Patacca, Fabio Tramontana
{"title":"Disposition effect and its outcome on endogenous price fluctuations","authors":"Alessia Cafferata, Marco Patacca, Fabio Tramontana","doi":"10.1007/s10203-023-00431-z","DOIUrl":"https://doi.org/10.1007/s10203-023-00431-z","url":null,"abstract":"<p>We have developed a financial market model that incorporates the Disposition Effect, which refers to traders’ tendency to avoid realizing losses. Specifically, our model replicates several stylized facts commonly observed in financial markets, such as fat tails and volatility clustering. These market characteristics can be attributed to the Disposition Effect, especially when the trading behavior of agents aligns with the findings of Ben-David and Hirshleifer (Rev Financ Stud 25(8):2485–2532, 2012). To demonstrate this, we examine two versions of the model: one where a class of agents exhibits a high degree of Disposition Effect and another where traders are not influenced by it. By comparing the simulated time series generated by both versions, we find that the one with agents affected by the Disposition Effect better replicates the features observed in real financial markets. This holds true for both the deterministic and stochastic versions of the model.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"7 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585695","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
On entropy martingale optimal transport theory 论熵马丁格尔最优传输理论
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-01-26 DOI: 10.1007/s10203-023-00432-y
{"title":"On entropy martingale optimal transport theory","authors":"","doi":"10.1007/s10203-023-00432-y","DOIUrl":"https://doi.org/10.1007/s10203-023-00432-y","url":null,"abstract":"<h3>Abstract</h3> <p>In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we here establish a duality result between a convex optimal transport and a utility maximization problem. Differently from Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we provide here an alternative proof that is based on a compactness assumption. Subhedging and superhedging can be obtained as applications of the duality discussed above. Furthermore, we provide a dual representation of the generalized optimized certainty equivalent associated with indirect utility.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"33 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585637","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
Modeling financial leasing by optimal stopping approach 用最优停止法建立融资租赁模型
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-01-22 DOI: 10.1007/s10203-023-00429-7
Luigi De Cesare, Lucianna Cananà, Tiziana Ciano, Massimiliano Ferrara
{"title":"Modeling financial leasing by optimal stopping approach","authors":"Luigi De Cesare, Lucianna Cananà, Tiziana Ciano, Massimiliano Ferrara","doi":"10.1007/s10203-023-00429-7","DOIUrl":"https://doi.org/10.1007/s10203-023-00429-7","url":null,"abstract":"<p>Leasing valuation is a topic that has aroused considerable interest in business circles. This paper examines leasing from the point of view of the lessor who can decide to leave the contract due to default. We analyze in introducing a model in which the lessor decides whether or not to terminate the contract at a given point in time, comparing it with the cost of capital of alternative investments. The proposed model is stochastic, and it is strongly based on correlated random walks, making it more adaptable to real-world circumstances. Furthermore, we propose a recombinant binomial tree based on correlated random walks, performing numerical simulations starting from CIR and Vasicek models. We will point out that as the rate of cost of capital of an alternative investment increases, the optimal boundary curve decreases, so the lessor leaves, while as the past interest rates increases, the curve rises and the lessor will have a concrete interest in maintaining the contract.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"11 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139560287","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
Mortgages with non-random time-varying interest rates 利率非随机时变的抵押贷款
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-01-18 DOI: 10.1007/s10203-023-00423-z
Laura Ziani
{"title":"Mortgages with non-random time-varying interest rates","authors":"Laura Ziani","doi":"10.1007/s10203-023-00423-z","DOIUrl":"https://doi.org/10.1007/s10203-023-00423-z","url":null,"abstract":"<p>Here we introduce an “alternative” version of the standard traditional amortization plan, where sequences of non-random time-varying periodic interest rates replace the usual constant periodic effective rate, while preserving all the other classical rules. In particular, we use two of these sequences coherently generated by two different specific hyperbolic instantaneous intensity functions. We found that the two standard amortization plans obtained through this approach match perfectly with the two main amortization plans recently proposed under the simple capitalization law. This matching provides thus a clear link between the traditional scheme and the new wave of proposals in simple regime.</p>","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"115 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139499478","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
Input/output-style approach to standardized traditional amortization plans 标准化传统摊销计划的投入/产出式方法
IF 1.1
Decisions in Economics and Finance Pub Date : 2024-01-12 DOI: 10.1007/s10203-023-00428-8
F. Pressacco, Laura Ziani
{"title":"Input/output-style approach to standardized traditional amortization plans","authors":"F. Pressacco, Laura Ziani","doi":"10.1007/s10203-023-00428-8","DOIUrl":"https://doi.org/10.1007/s10203-023-00428-8","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"12 5","pages":"1-23"},"PeriodicalIF":1.1,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139437741","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
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