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Permutation-weighted portfolios and the efficiency of commodity futures markets 置换加权投资组合与商品期货市场的效率
IF 1
Annals of Finance Pub Date : 2022-01-03 DOI: 10.1007/s10436-021-00401-8
Ricardo T. Fernholz, Robert Fernholz
{"title":"Permutation-weighted portfolios and the efficiency of commodity futures markets","authors":"Ricardo T. Fernholz,&nbsp;Robert Fernholz","doi":"10.1007/s10436-021-00401-8","DOIUrl":"10.1007/s10436-021-00401-8","url":null,"abstract":"<div><p>We study the behavior of <i>permutation-weighted portfolios,</i> portfolios with weights that are proportional to a permutation of the current market weights. For markets with more than two assets, these portfolios are not functionally generated (except for the identity permutation), so we use rank-based methods to analyze their behavior. The <i>reverse-wighted portfolio</i> is the permutation-weighted portfolio with weights proportional to the market weights, but reversed by rank. We show that in a market represented by a first-order model with rank-symmetric variance parameters, the reverse-weighted portfolio will outperform the market portfolio over the long term. This result carries over to a commodity futures market with rank-based parameters similar to those of such a first-order model. In this market we find that the reverse-weighted portfolio outperforms the price-weighted market portfolio from 1977–2018.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"81 - 108"},"PeriodicalIF":1.0,"publicationDate":"2022-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50445341","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
Permutation-weighted portfolios and the efficiency of commodity futures markets 排列加权投资组合与商品期货市场效率
IF 1
Annals of Finance Pub Date : 2022-01-03 DOI: 10.1007/s10436-021-00401-8
Ricardo T. Fernholz, R. Fernholz
{"title":"Permutation-weighted portfolios and the efficiency of commodity futures markets","authors":"Ricardo T. Fernholz, R. Fernholz","doi":"10.1007/s10436-021-00401-8","DOIUrl":"https://doi.org/10.1007/s10436-021-00401-8","url":null,"abstract":"","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"81 - 108"},"PeriodicalIF":1.0,"publicationDate":"2022-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52108645","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
Constrained dynamic futures portfolios with stochastic basis 随机基约束动态期货投资组合
IF 1
Annals of Finance Pub Date : 2021-11-07 DOI: 10.1007/s10436-021-00398-0
Xiaodong Chen, Tim Leung, Yang Zhou
{"title":"Constrained dynamic futures portfolios with stochastic basis","authors":"Xiaodong Chen,&nbsp;Tim Leung,&nbsp;Yang Zhou","doi":"10.1007/s10436-021-00398-0","DOIUrl":"10.1007/s10436-021-00398-0","url":null,"abstract":"<div><p>We study the problem of dynamically trading multiple futures contracts on different underlying assets subject to portfolio constraints. The spreads between futures and spot prices are modeled by a multidimensional scaled Brownian bridge to account for their convergence at maturity. Under this stochastic basis model, we apply the stochastic control approach to rigorously derive the optimal trading strategies via utility maximization. This leads to the analysis of the associated system of Hamilton-Jacobi-Bellman equations, which are reduced to a system of ODEs. A series of numerical examples are provided to illustrate the optimal strategies and wealth distributions under different portfolio constraints.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"1 - 33"},"PeriodicalIF":1.0,"publicationDate":"2021-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-021-00398-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44002332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors Bootstrap滚动窗口动量和情绪之间的Granger因果关系动态：对投资者的启示
IF 1
Annals of Finance Pub Date : 2021-10-26 DOI: 10.1007/s10436-021-00399-z
Mohamed Sahbi Nakhli, Abderrazak Dhaoui, Julien Chevallier
{"title":"Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors","authors":"Mohamed Sahbi Nakhli,&nbsp;Abderrazak Dhaoui,&nbsp;Julien Chevallier","doi":"10.1007/s10436-021-00399-z","DOIUrl":"10.1007/s10436-021-00399-z","url":null,"abstract":"<div><p>This paper seeks to examine the unidirectional versus bidirectional Granger causality between investors’ sentiment and momentum strategies. It is based on the full sample Granger causality test and the recent rolling-window bootstrap approach. We also applied a probit model to the extent to which the probability that investors’ sentiment and momentum strategies influence each other. Our results suggest bidirectional Granger causality between investor sentiment and momentum strategy with unstable causality dynamics over time. We find that ADS and VIX positively affect the likelihood that investor sentiment Granger causes momentum strategy and negatively impact the probability that momentum strategy Granger causes investor sentiment. Gold harms the likelihood that investors’ sentiment and momentum strategies affect each other. The research design is unique to combine bootstrap rolling-window Granger causality tests between Sentiment and Momentum to assess investors’ implications in terms of confidence, uncertainty, aggressiveness, or optimism versus Pessimism.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 2","pages":"267 - 283"},"PeriodicalIF":1.0,"publicationDate":"2021-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48041346","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: 6
Bank business models, negative policy rates, and prudential regulation 银行业务模式、负政策利率和审慎监管
IF 1
Annals of Finance Pub Date : 2021-10-13 DOI: 10.1007/s10436-021-00397-1
Roberto Savona
{"title":"Bank business models, negative policy rates, and prudential regulation","authors":"Roberto Savona","doi":"10.1007/s10436-021-00397-1","DOIUrl":"10.1007/s10436-021-00397-1","url":null,"abstract":"<div><p>Using data from Italian banks over the period 2011–2017, we study how negative interest rate policy and prudential regulation impact on bank business models. We report four key findings. First, banks shifted into retail- and market-oriented business models. Second, high- and low-deposit banks reduced loans and increased security/liquid assets; only market-oriented banks expanded lending. Third, interest rate income compression induced by negative rates has been substantial for the Italian banking system as a whole, although retail banks seem to have suffered less. Fourth, non-interest incomes played a compensatory effect. The portfolio reshuffling, as we observed for wholesale and retail banks (less lending and more securities/liquid assets), is related to the goal of reducing risk exposures and, in turn, the connected capital absorption required by prudential regulation.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 3","pages":"355 - 392"},"PeriodicalIF":1.0,"publicationDate":"2021-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-021-00397-1.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50479113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Welfare implications of mitigating investment uncertainty 减轻投资不确定性对福利的影响
IF 1
Annals of Finance Pub Date : 2021-09-15 DOI: 10.1007/s10436-021-00395-3
Takayuki Ogawa, Jun Sakamoto
{"title":"Welfare implications of mitigating investment uncertainty","authors":"Takayuki Ogawa,&nbsp;Jun Sakamoto","doi":"10.1007/s10436-021-00395-3","DOIUrl":"10.1007/s10436-021-00395-3","url":null,"abstract":"<div><p>This study explores the welfare implications of mitigating investment uncertainty in the context of Easley and O’Hara (Rev Financ Stud 22:1817–1843, 2009) While one may expect welfare gains by encouraging participation in financial markets by ambiguity-averse investors, we formally show that it hurts other investors and thus is not Pareto-improving without appropriate income transfers. We also examine the welfare effects of income redistribution among heterogeneous investors and government spending on investor education.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"559 - 582"},"PeriodicalIF":1.0,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-021-00395-3.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41394387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Performance of advanced stock price models when it becomes exotic: an empirical study 先进股票价格模型在变得奇异时的表现：一项实证研究
IF 1
Annals of Finance Pub Date : 2021-08-28 DOI: 10.1007/s10436-021-00396-2
Gero Junike, Wim Schoutens, Hauke Stier
{"title":"Performance of advanced stock price models when it becomes exotic: an empirical study","authors":"Gero Junike,&nbsp;Wim Schoutens,&nbsp;Hauke Stier","doi":"10.1007/s10436-021-00396-2","DOIUrl":"10.1007/s10436-021-00396-2","url":null,"abstract":"<div><p>We calibrate several advanced stock price models to a time series of real market data of European options on the DAX. Via a Monte Carlo simulation, we price barrier down-and-out call options for all models and compare the modeled prices to given real market data of the barrier options. The Bates model reproduces barrier option prices very well. The BNS model overvalues and Lévy models with stochastic time-change and leverage undervalue the exotic options. The Heston model and a local volatility model undervalue the barrier option prices by about 5–6%. A heuristic analysis suggests that the different degree of fluctuation of the random paths of the models are responsible of producing different prices for the barrier options. Higher margins or additional risks like liquidity, calibration or model risk might economically explain why many advanced models undervalue barrier options.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 1","pages":"109 - 119"},"PeriodicalIF":1.0,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00396-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50519468","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: 2
Deposit insurance and reinsurance 存款保险和再保险
IF 1
Annals of Finance Pub Date : 2021-07-29 DOI: 10.1007/s10436-021-00387-3
Volker Britz, Hans Gersbach, Hans Haller
{"title":"Deposit insurance and reinsurance","authors":"Volker Britz,&nbsp;Hans Gersbach,&nbsp;Hans Haller","doi":"10.1007/s10436-021-00387-3","DOIUrl":"10.1007/s10436-021-00387-3","url":null,"abstract":"<div><p>We study the consequences and optimal design of bank deposit insurance and reinsurance in a general equilibrium setting. The model involves two production sectors, financed by bonds and bank loans, respectively. Financial intermediation by banks is required in the model as we assume that one of the production sectors is risky and requires monitoring by banks. Households fund banks through deposits and equity. Deposits are explicitly insured and banks pay a premium per unit of deposits. Any remaining shortfall is implicitly guaranteed by the government. Two types of equilibria emerge: One type of equilibria supports the Pareto optimal allocation. In the other type, bank lending and the default risk are excessively large. The intuition is as follows: the combination of financial intermediation by banks, limited liability of bank shareholders, and deposit insurance makes deposits risk-free from the individual households’ perspective, although they involve risk from the societal point of view. This distorts investment choices and the resulting input allocation to production sectors. We show, however, that a judicious combination of deposit insurance and reinsurance eliminates all non-optimal equilibrium allocations. Our paper thus may provide a benchmark result for policy proposals advocating deposit insurance cum reinsurance.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"425 - 470"},"PeriodicalIF":1.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00387-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47949434","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: 2
On the money creation approach to banking 论银行业的货币创造方法
IF 1
Annals of Finance Pub Date : 2021-07-27 DOI: 10.1007/s10436-021-00385-5
Salomon Faure, Hans Gersbach
{"title":"On the money creation approach to banking","authors":"Salomon Faure,&nbsp;Hans Gersbach","doi":"10.1007/s10436-021-00385-5","DOIUrl":"10.1007/s10436-021-00385-5","url":null,"abstract":"<div><p>We study today’s two-tier money creation and destruction system: Commercial banks create bank deposits (privately created money) through loans to firms or asset purchases from the private sector. Bank deposits are destroyed when households buy bank equity or when firms repay loans. Central banks create electronic central bank money (publicly created money or reserves) through loans to commercial banks. In a simple general equilibrium setting, we show that symmetric equilibria yield the first-best level of money creation and lending when prices are flexible, regardless of monetary policy and capital regulation. When prices are rigid, we identify the circumstances in which money creation is excessive or breaks down and the ones in which an adequate combination of monetary policy and capital regulation can restore efficiency. Finally, we provide a series of extensions and generalizations of the results.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 3","pages":"265 - 318"},"PeriodicalIF":1.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00385-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50517911","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: 7
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging 分数Barndorf-Nielsen和Shephard模型：在方差和波动率互换以及套期保值中的应用
IF 1
Annals of Finance Pub Date : 2021-07-13 DOI: 10.1007/s10436-021-00394-4
Nicholas Salmon, Indranil SenGupta
{"title":"Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging","authors":"Nicholas Salmon,&nbsp;Indranil SenGupta","doi":"10.1007/s10436-021-00394-4","DOIUrl":"10.1007/s10436-021-00394-4","url":null,"abstract":"<div><p>In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties of the long-term variance process suggested by the empirical data: long-term memory and jumps. The proposed model incorporates the long-term memory and positive autocorrelation properties of fractional Brownian motion with <span>(H&gt;1/2)</span>, and the jump properties of the BN-S model. We find arbitrage-free prices for variance and volatility swaps for this new model. Because fractional Brownian motion is still a Gaussian process, we derive some new expressions for the distributions of integrals of continuous Gaussian processes as we work towards an analytic expression for the prices of these swaps. The model is analyzed in connection to the quadratic hedging problem and some related analytical results are developed. The amount of derivatives required to minimize a quadratic hedging error is obtained. Finally, we provide some numerical analysis based on the VIX data. Numerical results show the efficiency of the proposed model compared to the Heston model and the classical BN-S model.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"17 4","pages":"529 - 558"},"PeriodicalIF":1.0,"publicationDate":"2021-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00394-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44863681","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: 19
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