CONIC PORTFOLIO THEORY

DOI10.1142/S0219024916500199zbMath1403.91318OpenAlexW3125733482MaRDI QIDQ2806366

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

zbMATH Keywords

variance gamma modellong horizon returnsacceptable risksdistorted expectation

Mathematics Subject Classification ID

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

Related Items (11)

Instantaneous portfolio theory ⋮ Adapted hedging ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Measuring dependence in a set of asset returns ⋮ Now decision theory ⋮ Implied liquidity risk premia in option markets ⋮ Hedging insurance books ⋮ Portfolio theory for squared returns correlated across time ⋮ Zero covariation returns ⋮ Estimation of ask and bid prices for geometric Asian options ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

Uses Software

• FastICA

Cites Work

• Unnamed Item
• Two price economies in continuous time
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Maxmin expected utility with non-unique prior
• Structured products equilibria in conic two price markets
• MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
• HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
• TENOR SPECIFIC PRICING
• DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
• The Variance Gamma Process and Option Pricing
• TWO PROCESSES FOR TWO PRICES

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