Search result
Author(s): Ales Cerny, Cass Business School, Fabio Maccheroni, Università Bocconi Istituto di Metodi Quantitativi, Massimo Marinacci, University of Turin, Aldo Rustichini, University of Minnesota, Twin Cities
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 65
Author(s): Ales Cerny, Cass Business School, Chris Brooks, University of Reading, Joelle Miffre, EDHEC Business School
This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 84
Author(s): Ales Cerny, Cass Business School, Jan Kallsen, Munich University of Technology
This paper solves the mean-variance hedging problem in Heston's model with a stochastic opportunity set moving systematically with the volatility of stock returns.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 120
Author(s): Ales Cerny, Cass Business School, Sara Biagini, University of Pisa
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last 20 years.
Updated: 08/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 99
Author(s): Ales Cerny, Ioannis Kyriakou, Cass Business School
We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying.
Updated: 10/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 111
