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International Journal of Theoretical and Applied Finance最新文献

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The Low-volatility Anomaly and the Adaptive Multi-Factor Model 低波动异常与自适应多因子模型
International Journal of Theoretical and Applied Finance Pub Date : 2023-11-01 DOI: 10.1142/s0219024923500206
Robert A. Jarrow, Rinald Murataj, Martin T. Wells, Liao Zhu
{"title":"The Low-volatility Anomaly and the Adaptive Multi-Factor Model","authors":"Robert A. Jarrow, Rinald Murataj, Martin T. Wells, Liao Zhu","doi":"10.1142/s0219024923500206","DOIUrl":"https://doi.org/10.1142/s0219024923500206","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"80 8","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135221255","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
Is decarbonization priced in? - Evidence on the carbon risk hypothesis from the European Green Deal leakage shock 脱碳的价格算进去了吗?-来自欧洲绿色协议泄漏冲击的碳风险假说的证据
International Journal of Theoretical and Applied Finance Pub Date : 2023-10-20 DOI: 10.1142/s0219024923500188
Lukas Mueller, Dirk Schiereck, Marc Ringel
{"title":"Is decarbonization priced in? - Evidence on the carbon risk hypothesis from the European Green Deal leakage shock","authors":"Lukas Mueller, Dirk Schiereck, Marc Ringel","doi":"10.1142/s0219024923500188","DOIUrl":"https://doi.org/10.1142/s0219024923500188","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135567743","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
State Space Decomposition and Classification of Term Structure Shapes in the Two-Factor Vasicek Model 双因素Vasicek模型的状态空间分解与期限结构形状分类
International Journal of Theoretical and Applied Finance Pub Date : 2023-10-20 DOI: 10.1142/s0219024923500139
Martin Keller-Ressel, Felix Sachse
{"title":"State Space Decomposition and Classification of Term Structure Shapes in the Two-Factor Vasicek Model","authors":"Martin Keller-Ressel, Felix Sachse","doi":"10.1142/s0219024923500139","DOIUrl":"https://doi.org/10.1142/s0219024923500139","url":null,"abstract":"In this paper, we analyze the shapes of forward curves and yield curves that can be attained in the two-factor Vasicek model. We show how to partition the state space of the model, such that each partition is associated to a particular shape (normal, inverse, humped, etc.). The partitions and the corresponding shapes are determined by the winding number of a single curve with possible singularities and self-intersections, which can be constructed as the envelope of a family of lines. Building on these results, we classify possible transitions between term structure shapes, give results on attainability of shapes conditional on the level of the short rate, and propose a simple method to determine the relative frequency of different shapes of the forward curve and the yield curve.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"92 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135513522","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
Model-free weak no-arbitrage and superhedging under transaction costs beyond efficient friction 交易成本超过有效摩擦的无模型弱无套利和超对冲
International Journal of Theoretical and Applied Finance Pub Date : 2023-10-06 DOI: 10.1142/s0219024923500164
Songchol Ryom, Inchol Ri
{"title":"Model-free weak no-arbitrage and superhedging under transaction costs beyond efficient friction","authors":"Songchol Ryom, Inchol Ri","doi":"10.1142/s0219024923500164","DOIUrl":"https://doi.org/10.1142/s0219024923500164","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135350526","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
A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION 均值-方差优化的线性规划组合优化器
International Journal of Theoretical and Applied Finance Pub Date : 2023-10-06 DOI: 10.1142/s0219024923500127
Xiaoyue Liu, Zhenzhong Huang, Biwei Song, Zhen Zhang
{"title":"A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION","authors":"Xiaoyue Liu, Zhenzhong Huang, Biwei Song, Zhen Zhang","doi":"10.1142/s0219024923500127","DOIUrl":"https://doi.org/10.1142/s0219024923500127","url":null,"abstract":"In the Markowitz mean–variance portfolio optimization problem, the estimation of the inverse covariance matrix is not trivial and can even be intractable, especially when the dimension is very high. In this paper, we propose a linear-programming portfolio optimizer (LPO) to solve the Markowitz optimization problem in both low-dimensional and high-dimensional settings. Instead of directly estimating the inverse covariance matrix [Formula: see text], the LPO method estimates the portfolio weights [Formula: see text] through solving an [Formula: see text]-constrained optimization problem. Moreover, we further prove that the LPO estimator asymptotically yields the maximum expected return while preserving the risk constraint. To offer a practical insight into the LPO approach, we provide a comprehensive implementation procedure of estimating portfolio weights via the Dantzig selector with sequential optimization (DASSO) algorithm and selecting the sparsity parameter through cross-validation. Simulations on both synthetic data and empirical data from Fama–French and the Center for Research in Security Prices (CRSP) databases validate the performance of the proposed method in comparison with other existing proposals.","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135302905","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
VIX Modeling for a Market Insider 市场内部人士的VIX模型
International Journal of Theoretical and Applied Finance Pub Date : 2023-09-29 DOI: 10.1142/s0219024923500152
Markus Hess
{"title":"VIX Modeling for a Market Insider","authors":"Markus Hess","doi":"10.1142/s0219024923500152","DOIUrl":"https://doi.org/10.1142/s0219024923500152","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135132711","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
Beating a constant weight benchmark: easier done than said 打破恒定体重基准：做起来容易说起来难
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-07-04 DOI: 10.1142/s0219024923500115
P. Forsyth, Pieter M. van Staden, Yuying Li
{"title":"Beating a constant weight benchmark: easier done than said","authors":"P. Forsyth, Pieter M. van Staden, Yuying Li","doi":"10.1142/s0219024923500115","DOIUrl":"https://doi.org/10.1142/s0219024923500115","url":null,"abstract":"1 We determine a simple dynamic benchmark for asset allocation by solving an optimal stochas- 2 tic control problem for outperforming the traditional constant proportion benchmark. An ob- 3 jective function based on a time averaged quadratic deviation from an elevated benchmark is 4 proposed. We argue that this objective function combines the best features of tracking error and 5 tracking difference. Assuming parametric models of the stock and bond processes, a closed form 6 solution for the optimal control is obtained. The closed form optimal control is then clipped to 7 prevent use of excessive leverage, and to prevent trading if insolvent. Monte Carlo computations 8 using this clipped control are presented which show that for modest levels of outperformance 9 (i.e. 80-170 bps per year), this easily implementable strategy outperforms the traditional con- 10 stant proportion benchmark with high probability. We advocate this clipped optimal strategy 11 as a suitable benchmark for active asset allocation. 12","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45328186","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
Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles 具有随机相关的马尔可夫随机波动率:SPX/VIX短期限微笑的联合校准与一致性
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-05-19 DOI: 10.1142/s0219024923500073
M. Forde, Benjamin S. Smith
{"title":"Markovian stochastic volatility with stochastic correlation : joint calibration and consistency of SPX/VIX short-maturity smiles","authors":"M. Forde, Benjamin S. Smith","doi":"10.1142/s0219024923500073","DOIUrl":"https://doi.org/10.1142/s0219024923500073","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43785612","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
Subleading Correction to the Asian Options Volatility in the Black-Scholes Model Black-Scholes模型对亚洲期权波动率的次领先修正
IF 0.5
International Journal of Theoretical and Applied Finance Pub Date : 2023-02-18 DOI: 10.1142/s021902492350005x
D. Pirjol
{"title":"Subleading Correction to the Asian Options Volatility in the Black-Scholes Model","authors":"D. Pirjol","doi":"10.1142/s021902492350005x","DOIUrl":"https://doi.org/10.1142/s021902492350005x","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":" ","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47401951","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
Approximating option prices under large changes of underlying asset prices 在标的资产价格大幅变动的情况下，逼近期权价格
International Journal of Theoretical and Applied Finance Pub Date : 2023-02-10 DOI: 10.1142/s0219024923500048
Jae-Yun Jun, Yves Rakotondratsimba
{"title":"Approximating option prices under large changes of underlying asset prices","authors":"Jae-Yun Jun, Yves Rakotondratsimba","doi":"10.1142/s0219024923500048","DOIUrl":"https://doi.org/10.1142/s0219024923500048","url":null,"abstract":"","PeriodicalId":47022,"journal":{"name":"International Journal of Theoretical and Applied Finance","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136092258","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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