کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053528 1371454 2016 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal positioning in financial derivatives under mixture distributions
ترجمه فارسی عنوان
موقعیت مطلوب در مشتقات مالی تحت توزیع مخلوط
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper, we study and extend the optimal portfolio positioning problem introduced by Brennan and Solanki (1981) and by Leland (1980). For that purpose, we introduce mixtures of probability distributions to model the log returns of financial assets. In this framework, we provide and analyze the general solution for log return with mixture distributions, in particular for the mixture Gaussian case. Our solution is characterized for arbitrary utility functions and for any risk neutral probability. Moreover, we illustrate the solution for a CRRA utility and for the minimal risk-neutral probability. Lastly, we compare our solution with the optimal portfolio within ambiguity. Our results have significant implications to improve the management of structured financial portfolios.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 52, Part A, January 2016, Pages 115-124
نویسندگان
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