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Ensaios em finanças quantitativas: apreçamento de derivativos multidimensionais via processos de Lévy, e topologia e propagação do risco sistêmico; Essays in quantitative finance: multidimensional derivative pricing via Lévy processes, and systemic risk topology na risk propagation

Santos, Edson Bastos e
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 24/03/2010 Português
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Este estudo contempla dois ensaios em finanças quantitativas, relacionados, respectivamente, a modelos de apreçamento e risco sistêmico. No Capitulo 1, e apresentado uma alternativa para modelar opções multidimensionais, cujas estruturas de ganhos e perdas dependam das trajetórias dos processos dos preços dos ativos objetos. A modelagem sugerida considera os processos de Levy, uma classe de processos estocásticos bastante ampla, que permite a existência de saltos (descontinuidades) no processo dos preços dos ativos financeiros, e tem como caso particular o movimento Browniano. Para escrever a dependência entre os processos, os conceitos estáticos de copulas ordinárias são estendidos para o contexto dos processos de Levy, levando em consideração a medida de Levy, que caracteriza o comportamento dos saltos. São realizados estudos comparativos entre as copulas dinâmicas de Clayton e de Frank, no apreçamento dos contratos derivativos do tipo asiático, utilizando-se processos gama e técnicas de simulação de Monte Carlo. No Capitulo 2, a estrutura e dinâmica interbancária das exposições mutuas entre as instituições financeiras no Brasil e explorada bem como o capital destas reservas, utilizando um conjunto de dados únicos que considera vários períodos entre 2007 e 2008. Para isto e mostrado que a rede de exposições pode ser modelada adequadamente como um gráfico estocástico dirigido de escala - livre (ponderada) seguindo distribuições que apresentam caudas grossas. A relação entre as conexões das instituições financeiras e seu colchão-de-capital também são investigados neste estudo. Finalmente...

Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

Miranda, Domingos Lopes de
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //1995 Português
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O objectivo desta investigação empírica consiste em examinar vários testes multivariados do Capital Asset Pricing Model (CAPM) Condicional desenvolvido por Ng (1989 e 1991), com diferentes representações do modelo Multivariate Simultaneous Generalized Autoregressive Conditional Heteroscedasticity In Mean (GARCH-M) e diferentes técnicas de construção de portfólios, baseadas no beta de mercado, na dimensão da empresa e no sector da actividade, para todas as empresas que mantiveram as suas acções listadas na Bolsa de Valores de Lisboa durante o período de Janeiro de 1988 a Agosto de 1995. Os testes multivariados do CAPM Condicional que permitem a variabilidade dos prémios de risco esperados ao longo do tempo e do risco, dado pela covariância condicional que assume um processo GARCH Multivariado, representada pelo operador VECH [Bollerslev, Engle e Wooldridge, 1988] ou pela representação BEKK [Engle e Kroner, 1995], incorporam a correlação Cross- Sectional contemporânea dos erros de previsão do prémio de risco e permitem a eficiência total com a estimação multivariada simultânea. Por outro lado, os testes são realizados com base nas variações temporais e nas variações Cross-Sectional dos prémios de risco esperados e risco das acções. Esta técnica aumenta o poder dos testes...

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, Paskalis
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
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This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, P.
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica
Publicado em //2009 Português
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This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama–French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CAPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CAPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. Ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.; Paskalis Glabadanidis

Heterogeneous Beliefs, Wealth Accumulation and Asset Price Dynamics

Cabrales, Antonio; Hoshi, Takeo
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //1996 Português
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This paper develops and analyzes a models of asset markets with two types of investors. We study the stochastic processes for the distribution of wealth between the two types of investors and for the equilibrium asset returns. The relationship between this model and some econometric models with time varying parameter, such as the ARCH(Autoregressive Conditional Heteroskedasticity) model, as well as the relationship between the volume of trade and volatility, are examined. The dynamic properties of another model, regarding investors who use strategies that are a bit more complex, are also analyzed.

On the Measurement of financial market integration

Balbás, Alejandro
Fonte: Real Academia de Ciencias Exactas, Físicas y Naturales Publicador: Real Academia de Ciencias Exactas, Físicas y Naturales
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em //1998 Português
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The paper presents sorne vector optimization problems to measure arbitrage and integration of financial markets. This new approach may be applied under static or dynamic asset pricing assumptions and leads to both, numerical and stochastic integration measures. Thus, the paper provides a new methodology in a very general setting, allowing many instruments in each market to test optimal arbitrage portfolios depending on the state of nature and the date. Markets with frictions are also analyzed, and sorne empirical results are presented.; El artículo aplica la optimización vectorial para introducir nuevos procedimientos que miden el nivel de arbitraje e integración de mercados financieros. Las técnicas son aplicables tanto bajo supuestos estáticos, como bajo supuestos dinámicos de valoración de activos. Por consiguiente el nivel de generalidad es alto, y se proporcionan instrumentos que permiten determinar estrategias de arbitraje óptimas de carácter dinámico y estocástico. Finalmente, también se analizan los mercados con fricciones y se presentan los resultados de algunas contrastaciones empíricas.

The consumption/wealth and book/market ratios in a dynamic asset pricing contex

Rodríguez López, Rosa; Nieto, Belén
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em /09/2006 Português
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This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model.

Gomes, Luís Miguel Pereira
Fonte: Universidade Portucalense Publicador: Universidade Portucalense
Tipo: Tese de Doutorado
Publicado em /12/2012 Português
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Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar...

How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders

Walker, Todd B.
Fonte: Universidade de Indiana Publicador: Universidade de Indiana
Tipo: Trabalho em Andamento Formato: 351497 bytes; application/pdf
Português
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Accommodating asymmetric information in a dynamic asset pricing model is technically challenging due to the problems associated with higher-order expectations. That is, rational investors are forced into a situation where they must forecast the forecasts of other agents. In a dynamic setting, this problem telescopes into the infinite future and the dimension of the relevant state space approaches infinity. By using the frequency domain approach of Whiteman (1983) and Kasa (2000), this paper demonstrates how information structures previously believed to preserve asymmetric information in equilibrium, converge to a symmetric information, rational expectations equilibrium. The revealing aspect of the price process lies in the invertibility of the observed state space, which makes it possible for agents to infer the economically fundamental shocks and thus eliminating the need to forecast the forecasts of others.

Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded

BROGUEIRA, João; SCHÜTZE, Fabian
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf
Português
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This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the coefficient of relative risk aversion, the discount factor and the conditional variance of the consumption process that ensure existence of a unique equilibrium.

Latent Variable Models for Stochastic Discount Factors.

GARCIA, René; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 712174 bytes; application/pdf
Português
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Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure...

Asymmetric Smiles, Leverage Effects and Structural Parameters.

GARCIA, René; LUGER, Richard; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 9569067 bytes; application/pdf
Português
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In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.; Dans cet article...

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Gomes, Luís Pereira
Fonte: Universidade Portucalense Publicador: Universidade Portucalense
Tipo: Tese de Doutorado
Publicado em //2012 Português
Relevância na Pesquisa
69.33195%
Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar...

General Theory of Geometric L\'evy Models for Dynamic Asset Pricing

Brody, Dorje C.; Hughston, Lane P.; Mackie, Ewan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying L\'evy process has been specified, the GLM has four parameters: the initial price, the interest rate, the volatility, and the risk aversion. The pricing kernel is the product of a discount factor and a risk aversion martingale. For GBM, the risk aversion parameter is the market price of risk. For a GLM, this interpretation is not valid: the excess rate of return is a nonlinear function of the volatility and the risk aversion. It is shown that for positive volatility and risk aversion the excess rate of return above the interest rate is positive, and is increasing with respect to these variables. In the case of foreign exchange, Siegel's paradox implies that one can construct foreign exchange models for which the excess rate of return is positive both for the exchange rate and the inverse exchange rate. This condition is shown to hold for any geometric L\'evy model for foreign exchange in which volatility exceeds risk aversion.; Comment: 20 pages, version to appear in Proceedings of the Royal Society London A

An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications

Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 14/07/2008 Português
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A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more independent random variables called market factors or "X-factors". Each X-factor is associated with a "market information process", the values of which become available to market participants. In addition to true information about the X-factor, the information process contains an independent "noise" term modelled here by a Brownian bridge. The information process thus gives partial information about the X-factor, and the value of the market factor is only revealed at the termination of the process. The market filtration is assumed to be generated by the information processes associated with the X-factors. The price of an asset is given by the risk-neutral expectation of the sum of the discounted cash flows, conditional on the information available from the filtration. The theory is developed in some detail, with a variety of applications to credit risk management, share prices, interest rates, and inflation. A number of new exactly solvable models are obtained for the price processes of various types of assets and derivative securities; and a novel mechanism is proposed to account for the dynamics of stochastic volatility and dynamic correlation. A discrete-time version of the information-based framework is also developed...

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty

Bayraktar, Erhan; Zhang, Yuchong
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly non-dominated. Using a backward-forward scheme, we show that when the market consists of a money market account and a single stock, no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of consistent price systems. We also show that when the market consists of multiple dynamically traded assets and satisfies \emph{efficient friction}, strict no-arbitrage in a quasi-sure sense is equivalent to the existence of a suitable family of strictly consistent price systems.; Comment: Final version. To appear in Mathematics of Operations Research

Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling

Ormos, Mihaly; Timotity, Dusan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/12/2015 Português
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We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the one hand, our proposed risk measure uses a nonparametric approach that allows us to get rid of any assumption on the distribution of returns. On the other hand, our asset pricing model is based on loss-averse investors of Prospect Theory, through which we implement the risk-seeking behaviour of investors in a dynamic setting. By including EDR in our proposed model unrealistic assumptions of commonly used equilibrium models - such as the exclusion of risk-seeking or price-maker investors and the assumption of unlimited leverage opportunity for a unique interest rate - can be omitted. Therefore, we argue that based on more realistic assumptions our model is able to describe equilibrium expected returns with higher accuracy, which we support by empirical evidence as well.; Comment: 55 pages, 15 figures, 1 table, 3 appandices, Econ. Model. (2015)

Efficient price dynamics in a limit order market: an utility indifference approach

Fukasawa, Masaaki
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 29/10/2014 Português
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We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the efficient price, that is, the asset price when a representative liquidity demander follows an optimal strategy. We show that a Pareto efficient allocation is achieved under a completeness condi- tion. We give an explicit representation of the efficient price for several examples. In particular, we observe that the volatility of the asset depends on the convexity of an initial endowment. Further, we observe that an asset price crash is invoked by an endowment shock. We establish a dynamic programming principle under an incomplete framework.

Essays on empirical asset pricing

Zhang, X.
Fonte: [Barcelona] : Universitat Autònoma de Barcelona, Publicador: [Barcelona] : Universitat Autònoma de Barcelona,
Tipo: Tesis i dissertacions electròniques; info:eu-repo/semantics/doctoralThesis Formato: application/pdf
Publicado em //2013 Português
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Descripció del recurs: 16 de gener de 2014; This thesis consists of three essays on empirical asset pricing around three themes: evaluating linear factor asset pricing models by comparing their misspecified measures, understanding the long-run risk on consumption-leisure to investigate their pricing performances on cross-sectional returns, and evaluating conditional asset pricing models by using the methodology of dynamic cross-sectional regressions. The first chapter is ``Comparing Asset Pricing Models: What does the Hansen-Jagannathan Distance Tell Us?''. It compares the relative performance of some important linear asset pricing models based on the Hansen-Jagannathan (HJ) distance using data over a long sample period from 1952-2011 based on U.S. market. The main results are as follows: first, among return-based linear models, the Fama-French (1993) five-factor model performs best in terms of the normalized pricing errors, compared with the other candidates. On the other hand, the macro-factor model of Chen, Roll, and Ross (1986) five-factor is not able to explain industry portfolios: its performance is even worse than that of the classical CAPM. Second, the Yogo (2006) non-durable and durable consumption model is the least misspecified...

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy
Fonte: London School of Economics and Political Science Publicador: London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em 15/03/2010 Português
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We evaluate the impact of portfolio constraints on financial markets in a dynamic equilibrium pure exchange economy with one consumption good and two CRRA investors that may differ in risk aversions, beliefs regarding the dividend process and portfolio constraints. Despite numerous applications, portfolio constraints are notoriously difficult to incorporate into dynamic equilibrium analysis without the restrictive assumption of logarithmic preferences. We provide a tractable solution method that yields new insights on the asset pricing implications of portfolio constraints such as limited stock market participation, margin requirements and short sales prohibition without restricting risk aversion parameters. We demonstrate that in a setting where one investor is unconstrained while the other faces an upper bound constraint on the proportion of wealth that can be invested in stocks the model generates countercyclical market prices of risk and stock return volatilities, procyclical price-dividend ratios, excess volatility and other patterns consistent with empirical findings. In a setting with margin requirements we demonstrate that under plausible parameters tighter constraints decrease stock return volatilities during the times when the constraints are likely to bind.