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[published papers |
working papers |
miscellaneous]
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Gordana Dmitrasinovic-Vidovic and Tony Ware
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2005
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Asymptotic behaviour of mean-quantile efficient portfolios
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[pdf]
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Yellow Series #846.
Submitted for publication.
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Abstract
In this paper we investigate portfolio optimization in a Black-Scholes
continuous-time setting under
quantile based risk measures: value at risk, capital at risk
and relative value at risk. We show that the optimization results are
consistent with Merton's Two-Fund Separation Theorem, i.e., that every
optimal strategy is a
weighted average of the bond and Merton's portfolio. We present optimization
results obtained under constrained versions of the above risk measures,
including the fact that under value at risk,
in better markets
and during longer time horizons, it is optimal to
invest less into the risky assets.
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Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani and Xun Li
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2004
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Continuous time portfolio selection under conditional Capital at Risk
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[pdf]
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Submitted for publication.
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Abstract
Portfolio optimization with respect to a risk measure that is
coherent, easy to evaluate on large portfolios, and only penalizes low
returns is of great value to practitioners
and academics. One such measure, given by the notion of conditional Capital at Risk,
was introduced in the working paper of Emmer et al., 2000. In this paper we inves-
tigate the optimal strategies under conditional Capital at Risk, in the Black-Scholes
continuous time setting, with time dependent coecients. We extend the method to
the case where short selling is not allowed.
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Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li, and Tony Ware
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2003
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Dynamic portfolio selection under Capital-at-Risk.
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[pdf]
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Submitted to Mathematical Finance
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Abstract
Portfolio optimization under downside risk while preserving the upside is of
crucial importance to asset managers. In the Black-Scholes setting, we
consider one such particular measure given by the notion of capital-at-risk.
This paper generalizes the work of Emmer et al., 2001, to the case of time
dependent parameters and investment strategies, i.e., continuous-time
portfolio optimization, and considers furthermore, the additional constraint
of no-short-selling. Analytical formulae are derived for the optimal
strategies, and numerical examples are presented.
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Y. Kazmerchuk, A Swishchuk and J. Wu.
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2002
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| The option pricing
formula for security markets with delayed response
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[pdf]
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Submitted to Mathematical Finance.
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Abstract
In this paper, the analogue of Black and Scholes formula for a vanilla call
option price in conditions of security markets with delayed response is
derived. A special case of continuous version of GARCH is considered. The
results are compared with the original results of Black and Scholes.
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Y. Kazmerchuk, A Swishchuk and J. Wu.
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2002
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A continuous-time GARCH
model for stochastic volatility with delay
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[postscript]
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Submitted to European Journal
of Applied Mathematics, under review |
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Abstract
In this paper we consider a securities market with a standard riskless asset
and a risky asset with stochastic volatility, depending on time and the past
stock price path. The stock price process satisfies some stochastic delay
differential equation. A continuous-time analogue of the GARCH(1,1) model for
stochastic volatility is proposed. We propose numerical and estimation
procedures for the above model and show the comparison of numerical results.
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