Zero covariation returns

DOI10.1186/S41546-018-0031-1zbMATH Open1432.91106OpenAlexW2806592842WikidataQ129730023 ScholiaQ129730023MaRDI QIDQ2296115FDOQ2296115

Authors: Dilip B. Madan, Wim Schoutens 

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-018-0031-1

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zbMATH Keywords

distorted expectationminmaxvar distortionbilateral gamma processconic portfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Bilateral gamma distributions and processes in financial mathematics
• Title not available (Why is that?)
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• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• The Variance Gamma Process and Option Pricing
• Markets as a counterparty: an introduction to conic finance
• Uniqueness in law for pure jump Markov processes
• Option pricing and Esscher transform under regime switching
• Option pricing for pure jump processes with Markov switching compensators
• Theory of capacities
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Asset pricing theory for two price economies
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• A two price theory of financial equilibrium with risk management implications
• Multivariate time changes for Lévy asset models: characterization and calibration
• Applied conic finance
• Instantaneous portfolio theory
• High-frequency cross-correlation in a set of stocks
• Conic asset pricing and the costs of price fluctuations
• Conic portfolio theory
• Measuring and monitoring the efficiency of markets
• Measure distorted arrival rate risks and their rewards

Cited In (1)

• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

Uses Software

• Matlab
• GaussQR

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