کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6895750 1445980 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
چکیده انگلیسی
We present numerical approximations of optimal portfolios in mispriced Lévy markets under asymmetric information for informed and uninformed investors having logarithmic preference. We apply our numerical scheme to Kou (2002) jump-diffusion markets by deriving analytic formulas for the first two derivatives of the underlying portfolio objective function which depend only on the Lévy measure of the jump-generating process. Optimal portfolios are then simulated using the Box-Muller algorithm, Newton's method and incomplete Beta functions. Convergence dynamics and trajectories of sample paths of optimal portfolios for both investors are presented at different levels of information asymmetry, mispricing, horizon, asymmetry in the Kou density, jump intensity, volatility, mean-reversion speed, and Sharpe ratios. We also apply the proposed Newton's algorithm to compute optimal portfolios for investors in Variance Gamma markets via instantaneous centralized moments of returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 252, Issue 2, 16 July 2016, Pages 676-686
نویسندگان
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