Annals of Finance最新文献_第7页

On the money creation approach to banking 论银行业的货币创造方法

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Annals of Finance Pub Date : 2021-07-27 DOI: 10.1007/s10436-021-00385-5

Salomon Faure, Hans Gersbach

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

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Annals of Finance Pub Date : 2021-07-13 DOI: 10.1007/s10436-021-00394-4

Nicholas Salmon, Indranil SenGupta

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引用次数: 19

Model uncertainty on commodity portfolios, the role of convenience yield 模型不确定性对商品投资组合、便利收益的作用

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Annals of Finance Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00393-5

Junhe Chen, Marcos Escobar-Anel

{"title":"Model uncertainty on commodity portfolios, the role of convenience yield","authors":"Junhe Chen, Marcos Escobar-Anel","doi":"10.1007/s10436-021-00393-5","DOIUrl":"10.1007/s10436-021-00393-5","url":null,"abstract":"<div><p>This paper investigates the effect of model uncertainty on the performance of commodity-based portfolios. We consider a constant relative risk aversion (CRRA) utility maximizer investor in a complete market, with independent ambiguity-aversion levels for the three factors explaining the term structure of future prices, namely, spot prices, convenience yield (CY) and interest rates (IRs), as proposed in the seminal work of Schwartz (J Finance 52(3): 923–973, 1997). This generic investor is interested in the speculative component of the investment rather than possessing/consuming the physical commodity. We obtain closed-form solutions for optimal investments, optimal perturbations (alternative model) and value functions in line with the robust portfolio setting of Maenhout (Rev Financial Stud 17(4): 951–983, 2004). Our main focus is on the effect of convenience yield’s uncertainty on the optimal analysis. We estimate the model by applying a combination of maximum likelihood estimation (MLE) and Kalman Filter (KF) techniques, to two commodities: West Texas Intermediate (WTI) and copper future prices. The analysis demonstrates that uncertainty on the CY factor could be the largest contributor to the under-performance of a commodities portfolio, with wealth equivalent losses (WELs) in the ranges of 33% to 88% (WTI), and 7% to 31% (copper). Moreover, small variations, of up 25%, on CY’s covariance parameters could lead to a WEL of up to 40% (WTI, lesser volatility of CY).</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00393-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41848419","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

Systemic risk measurement: bucketing global systemically important banks 系统性风险测量:对全球系统重要性银行进行分类

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Annals of Finance Pub Date : 2021-07-07 DOI: 10.1007/s10436-021-00391-7

Marina Brogi, Valentina Lagasio, Luca Riccetti

引用次数: 5

Birds of a feather: separating spillovers from shocks in sovereign default 物以类聚：主权违约中溢出效应与冲击的分离

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Annals of Finance Pub Date : 2021-06-23 DOI: 10.1007/s10436-021-00392-6

Ryan Rudderham

引用次数: 0

Economic profitability and (non)additivity of residual income 经济盈利能力和(非)剩余收益的可加性

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Annals of Finance Pub Date : 2021-06-18 DOI: 10.1007/s10436-021-00388-2

Carlo Alberto Magni

{"title":"Economic profitability and (non)additivity of residual income","authors":"Carlo Alberto Magni","doi":"10.1007/s10436-021-00388-2","DOIUrl":"10.1007/s10436-021-00388-2","url":null,"abstract":"<div><p>We show that the standard notion of residual income (RI) does not fulfill additive coherence. This gives rise to ambiguities and inconsistencies. The pitfall resides in the capital charge, which blends a non-market value with a market rate. We solve the problem by using a capital charge based on economic return, obtained as the product of a market value and a market rate. The resultant <i>economic RI</i> enjoys additivity. The economic RI is naturally associated to the average Return on Investment (ratio of total income to total invested capital). Subtracting the respective cost of capital (ratio of total economic return to total invested capital) the marginal economic efficiency of the capital is correctly captured. Economic RI guarantees consistency among the various sets of incomes, book values, economic values, accounting rates, and costs of capital, under an investment perspective as well as a financing one, both at a period level and at an aggregate level, either assuming time-invariant or time-varying costs of capital. Therefore, the economic RI offers a coherent tool for the assessment of a project’s or firm’s economic efficiency.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s10436-021-00388-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48920379","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

A stock market model based on CAPM and market size 基于CAPM和市场规模的股票市场模型

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Annals of Finance Pub Date : 2021-05-31 DOI: 10.1007/s10436-021-00390-8

Brandon Flores, Blessing Ofori-Atta, Andrey Sarantsev

引用次数: 1

Valuation of R&D compound option using Markov chain approach 基于Markov链方法的R&D复合期权定价

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Annals of Finance Pub Date : 2021-05-31 DOI: 10.1007/s10436-021-00389-1

Guglielmo D’Amico, Giovanni Villani

引用次数: 3

Blind portfolios’ auctions in two-rounds 两轮盲投资组合拍卖