Search results for "Folio"
showing 10 items of 319 documents
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
2008
In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…
The introduction of the Euro and its effects on portfolio decisions
2010
Abstract Examining investment behavior related to the Euro introduction, we address the relevance of different investment determinants. With the advent of the currency union two potential sources of portfolio reallocation can be distinguished: First, the diminishment of exchange rate risk and transaction costs within the EMU. Second, the increase of correlation of EMU returns so that diversification benefits decreased. We test for structural breaks in the holdings of German investors and estimate a market model to account for the two effects. A significant decrease in national and an increase in EMU and rest-of-the-world investments can be observed. Comparing the observed holdings with benc…
Optimal Hedging of Option Portfolios with Transaction Costs
2006
One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
TBVAC2020: Advancing Tuberculosis Vaccines from Discovery to Clinical Development
2017
International audience; TBVAC2020 is a research project supported by the Horizon 2020 program of the European Commission (EC). It aims at the discovery and development of novel tuberculosis (TB) vaccines from preclinical research projects to early clinical assessment. The project builds on previous collaborations from 1998 onwards funded through the EC framework programs FP5, FP6, and FP7. It has succeeded in attracting new partners from outstanding laboratories from all over the world, now totaling 40 institutions. Next to the development of novel vaccines, TB biomarker development is also considered an important asset to facilitate rational vaccine selection and development. In addition, …
Lietotāja pieredzes (UX) un lietotāja saskarnes (UI) ietekme vizuālās identitātes veidošanā
2021
Diplomdarba tēma ir lietotāja saskarnes (UI) un lietotāja pieredzes (UX) dizaina ietekme vizuālās identitātes veidošanā. Diplomdarba mērķis ir balstoties uz teorētiskajā daļā iegūtajām zināšanām un pētnieciskajā daļā iegūtajiem rezultātiem, izveidot savu personīgo virtuālo portfolio un zīmola grāmatu. Lai veiksmīgi izveidotu savu personalizēto portfolio, tika apkopota teorija par UI un UX dizaina principiem un izanalizēti citu dizaineru portfolio. Pētījuma rezultātā tika secināts, ka vadoties pēc UI un UX dizaina principiem ir iespējams izveidot savu vizuālo identitāti – portfolio, zīmola grāmatu. UI un UX dizainam ir redzama ietekme uz mūsdienu vizuālās identitātes veidošanu. Radošajā daļā…
A new project management approach for R&D software projects in the automotive industry - continuous V-model
2017
Most current work activities in R&D centres are innovative and dynamic, with project management acting as the discipline that governs them. The improvement of PM methods has become a necessity due to the following main factors: classical methodologies are increasingly difficult to apply, cutbacks in project duration are requested by organisations and customers, demands for product quality are continuously expanding. The paper examines how PM concepts are used in developed R&D projects, based on the V-model approach. It also introduces an enhanced new approach called Continuous V-model - CVM, based on agile concepts. The model has been applied on a real automotive R&D project and the resulte…
Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
2012
Published version of an article from the journal: Mathematical Problems in Engineering. Also available from the publisher:http://dx.doi.org/10.1155/2012/628295 This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Fi…
Reaccionan Completamente los Precios ante un Anuncio de Adquisiciin? Evidencia en el Mercado de Control de Empresas Espaaol (Do Prices Fully React to…
2013
This note examines whether prices fully reflect value creation or destruction at the time of the acquisition announcement when samples are split into listed and unlisted target firms as previous international results are ambiguous about this subject. We find that the Spanish market fully react to the acquisition announcement (showing value creation only for unlisted target firms acquisitions), except for the smallest bidders of public targets since we find significant positive abnormal returns for a 24-month post-acquisition window when event portfolio returns are computed equally-weighted but insignificant abnormal returns when value-weighted returns are computed. This evidence is consiste…
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
2017
We argue that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitious, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the proposed models.