Annals of Finance最新文献_第5页

A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology 基于层次分析法的跨期选择不一致行为研究

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Annals of Finance Pub Date : 2022-12-05 DOI: 10.1007/s10436-022-00419-6

Viviana Ventre, Cruz Rambaud Salvador, Roberta Martino, Fabrizio Maturo

引用次数: 2

Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? 将市场条件纳入小额信贷利率的监管决策:竞争重要吗?

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Annals of Finance Pub Date : 2022-11-21 DOI: 10.1007/s10436-022-00417-8

Tristan Caballero-Montes

引用次数: 0

Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks 银行间网络的连通性、集中化和“稳健但脆弱”

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Annals of Finance Pub Date : 2022-11-15 DOI: 10.1007/s10436-022-00416-9

Mario Eboli, Bulent Ozel, Andrea Teglio, Andrea Toto

{"title":"Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks","authors":"Mario Eboli, Bulent Ozel, Andrea Teglio, Andrea Toto","doi":"10.1007/s10436-022-00416-9","DOIUrl":"10.1007/s10436-022-00416-9","url":null,"abstract":"<div><p>This paper studies the effects that connectivity and centralisation have on the response of interbank networks to external shocks that generate phenomena of default contagion. We run numerical simulations of contagion processes on randomly generated networks, characterised by different degrees of density and centralisation. Our main findings show that the degree of robustness-yet-fragility of a network grows progressively with both its degree of density or centralisation, although at different paces. We also find that sparse and decentralised interbank networks are generally resilient to small shocks, contrary to what so far believed. The degree of robustness-yet-fragility of an interbank network determines its propensity to generate a too-many-to-fail problem. We argue that medium levels of density and high levels of centralisation prevent the emergence of a too-many-to-fail issue for small and medium shocks whilst drastically creating the problem in the case of large shocks. Finally, our results shed some light on the actual robustness-yet-fragility of the observed core-periphery national interbank networks, highlighting the existing risk of systemic crises.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"19 2","pages":"169 - 200"},"PeriodicalIF":1.0,"publicationDate":"2022-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00416-9.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43950331","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

Delta-hedging in fractional volatility models 分数波动率模型中的Delta套期保值

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Annals of Finance Pub Date : 2022-11-09 DOI: 10.1007/s10436-022-00415-w

Qi Zhao, Alexandra Chronopoulou

引用次数: 0

Bargaining power and renegotiation of small private debt contracts 小额私人债务合同的议价能力和重新谈判

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Annals of Finance Pub Date : 2022-09-14 DOI: 10.1007/s10436-022-00413-y

José Valente, Mário Augusto, José Murteira

引用次数: 0

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate 随机波动率和随机利率下的动态最优均值方差投资组合选择

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Annals of Finance Pub Date : 2022-09-01 DOI: 10.1007/s10436-022-00414-x

Yumo Zhang

{"title":"Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate","authors":"Yumo Zhang","doi":"10.1007/s10436-022-00414-x","DOIUrl":"10.1007/s10436-022-00414-x","url":null,"abstract":"<div><p>This paper studies optimal portfolio selection problems in the presence of stochastic volatility and stochastic interest rate under the mean-variance criterion. The financial market consists of a risk-free asset (cash), a zero-coupon bond (roll-over bond), and a risky asset (stock). Specifically, we assume that the interest rate follows the Vasicek model, and the risky asset’s return rate not only depends on a Cox-Ingersoll-Ross (CIR) process but also has stochastic covariance with the interest rate, which embraces the family of the state-of-the-art 4/2 stochastic volatility models as an exceptional case. By adopting a backward stochastic differential equation (BSDE) approach and solving two related BSDEs, we derive, in closed form, the static optimal (time-inconsistent) strategy and optimal value function. Given the time inconsistency of the mean-variance criterion, a dynamic formulation of the problem is further investigated and the explicit expression for the dynamic optimal (time-consistent) strategy is derived. In addition, analytical solutions to some special cases of our model are provided. Finally, the impact of the model parameters on the efficient frontier and the behavior of the static and dynamic optimal asset allocations is illustrated with numerical examples.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 4","pages":"511 - 544"},"PeriodicalIF":1.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46088806","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

Some properties of portfolios constructed from principal components of asset returns 由资产回报的主要组成部分构建的投资组合的一些性质

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Annals of Finance Pub Date : 2022-07-30 DOI: 10.1007/s10436-022-00412-z

Thomas A. Severini

引用次数: 0

Two sided efficient frontiers at multiple time horizons 在多个时间范围内的双边有效边界

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Annals of Finance Pub Date : 2022-06-06 DOI: 10.1007/s10436-022-00411-0

Dilip B. Madan, King Wang

{"title":"Two sided efficient frontiers at multiple time horizons","authors":"Dilip B. Madan, King Wang","doi":"10.1007/s10436-022-00411-0","DOIUrl":"10.1007/s10436-022-00411-0","url":null,"abstract":"<div><p>Two price economy principles motivate measuring risk by the cost of acquiring the opposite of the centered or pure risk position at its upper price. Asymmetry in returns leads to differences in risk charges for short and long positions. Short risk charges dominate long ones when the upper tail dominates the comparable lower tail for charges based on distorted expectations. Positive mean return targets acquire long positions with negative mean return targets taking short positions. In each case the appropriate risk charge is minimized to construct two frontiers, one for the positive, and the other for negative, mean return targets. Multivariate return distributions reflect limit laws given by Q self-decomposable laws displaying decay rates in skewness and excess kurtosis slower than those for processes of independent and identically distributed returns. Frontiers at longer horizons display greater efficiency reflected by lower risk charges for comparable mean return targets. The short side frontiers also display greater risk charges than their long side counterparts. All efficient portfolios deliver asset pricing equations whereby required returns in excess of a reference rate are a market price of risk times a risk gradient evaluated at the efficient portfolio. Variations in frontiers and points on the frontier induce differences in reference rates, risk gradients, and the market prices of risk that can yet lead to comparable required returns.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 3","pages":"327 - 353"},"PeriodicalIF":1.0,"publicationDate":"2022-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46369022","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

Dynamic optimal hedge ratio design when price and production are stochastic with jump 价格和产量随机跳跃时的动态最优对冲比率设计

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Annals of Finance Pub Date : 2022-05-02 DOI: 10.1007/s10436-022-00410-1

Nyassoke Titi Gaston Clément, Sadefo Kamdem Jules, Fono Louis Aimé

引用次数: 0

Derivatives-based portfolio decisions: an expected utility insight 基于衍生品的投资组合决策：预期效用洞察

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Annals of Finance Pub Date : 2022-04-28 DOI: 10.1007/s10436-022-00409-8

Marcos Escobar-Anel, Matt Davison, Yichen Zhu

{"title":"Derivatives-based portfolio decisions: an expected utility insight","authors":"Marcos Escobar-Anel, Matt Davison, Yichen Zhu","doi":"10.1007/s10436-022-00409-8","DOIUrl":"10.1007/s10436-022-00409-8","url":null,"abstract":"<div><p>This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our results are obtained under the assumptions of the Black–Scholes–Merton setting, uncovering a hidden benefit of derivatives that complements their well-known gains for hedging, risk management, and to increase utility in market incompleteness. The new insights are also transferable to more advanced stochastic settings. The analysis relies on the infinite number of optimal choices of derivatives for a maximized expected utility theory agent; we propose risk exposure minimization as an additional optimization criterion inspired by regulations. Working with two assets, for simplicity, we demonstrate that only two derivatives are needed to maximize utility while minimizing risky exposure. In a comparison among one-asset options, e.g. American, European, Asian, Calls and Puts, we demonstrate that the deepest out-of-the-money Asian products available are the best choices to minimize exposure. We also explore optimal selections among straddles, which are better practical choice than out-of-the-money Calls and Puts due to liquidity and rebalancing needs. The optimality of multi-asset derivatives is also considered, establishing that a basket option could be a better choice than one-asset Asian call/put in many realistic situations.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"18 2","pages":"217 - 246"},"PeriodicalIF":1.0,"publicationDate":"2022-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00409-8.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42846027","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