Conic portfolio theory

DOI10.1142/S0219024916500199zbMATH Open1403.91318OpenAlexW3125733482MaRDI QIDQ2806366FDOQ2806366

Authors: Dilip B. Madan 

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500199

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zbMATH Keywords

long horizon returnsvariance gamma modelacceptable risksdistorted expectation

Mathematics Subject Classification ID

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

Cites Work

• Maxmin expected utility with non-unique prior
• The Variance Gamma Process and Option Pricing
• Markets as a counterparty: an introduction to conic finance
• Two price economies in continuous time
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
• Tenor specific pricing
• Structured products equilibria in conic two price markets
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• The economics of insurance: a review and some recent developments
• TWO PROCESSES FOR TWO PRICES

Cited In (16)

• CONIC FINANCE AND THE CORPORATE BALANCE SHEET
• On distortion functionals
• Implied liquidity risk premia in option markets
• Adapted hedging
• Measuring dependence in a set of asset returns
• Instantaneous portfolio theory
• CONIC CVA AND DVA FOR OPTION PORTFOLIOS
• Two sided efficient frontiers at multiple time horizons
• Maximally acceptable portfolios
• Efficient portfolio valuation incorporating liquidity risk
• Estimation of ask and bid prices for geometric Asian options
• Now decision theory
• Portfolio theory for squared returns correlated across time
• Zero covariation returns
• Hedging insurance books
• Pricing American options by a Fourier transform multinomial tree in a conic market

Uses Software

• FastICA

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