Search results for "Mutual fund separation theorem"
showing 2 items of 2 documents
Equilibrium open interest
2010
Abstract This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically, we find that portfolio holdings boil down to a three-fund separation theorem that includes a so-called skewness portfolio that agents like to attain. Our analysis indicates also, however, that the common risk-sharing setup used for option demand and pricing is incompatible with a stylized fact about open interest across strikes.
Analog Multiple Description Joint Source-Channel Coding Based on Lattice Scaling
2015
Joint source-channel coding schemes based on analog mappings for point-to-point channels have recently gained attention for their simplicity and low delay. In this paper, these schemes are extended either to scenarios with or without side information at the decoders to transmit multiple descriptions of a Gaussian source over independent parallel channels. They are based on a lattice scaling approach together with bandwidth reduction analog mappings adapted for this multiple description scenario. The rationale behind lattice scaling is to improve performance through bandwidth expansion. Another important contribution of this paper is the proof of the separation theorem for the communication …