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Some Financial Problems in the Light of EMM Results:asset pricing and Efficient Portfolio Allocation

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Management Studies 2022年第5期10卷 294-324页

作者： Valery V.Shemetov 不详

Discussing results in asset pricing and efficient portfolio allocation,we show that mixed success and errors in these results often follow from a lack of information about the asset return distribution and wrong assumptions about its properties.Some mistakes in asset pricing come from the assumption of symmetry in return distributions.Some errors in efficient portfolio allocation follow from Markowitz’s approach when applying it to portfolio optimization of skewed asset returns.The Extended Merton model(EMM),generating skewed return distributions,demonstrates that(i)in skewed asset returns,the variance is not an adequate measure of risks and(ii)positive skewness in the asset returns comes together with a high default probability.Thus,the maximization of the mean portfolio returns and skewness with controlled variance used in mainstream papers can critically increase portfolio risks.We present the new settings of the optimal portfolio allocation problem leading to less risky efficient portfolios than the solutions suggested in all previous papers.

关键词： asset pricing efficient portfolio allocation skewed returns default probability Extended Merton model

The term structure of Sharpe ratios and arbitragefree asset pricing in continuous time

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Probability, Uncertainty and Quantitative Risk 2021年第1期6卷 23-52页

作者： Patrick Beißner Emanuela Rosazza Gianin Research School of Economics The Australian National UniversityCanberraAustralia Department of Statistics and Quantitative Methods University of Milano-Bicocca20126 MilanoItaly

Motivated by financial and empirical arguments and in order to introduce a more flexible methodology of pricing,we provide a new approach to asset pricing based on Backward Volterra equations.The approach relies on an arbitrage-free and incomplete market setting in continuous time by choosing non-unique pricing measures depending either on the time of evaluation or on the maturity of payoffs.We show that in the latter case the dynamics can be captured by a time-delayed backward stochastic Volterra integral equation here introduced which,to the best of our knowledge,has not yet been studied.We then prove an existence and uniqueness result for time-delayed backward stochastic Volterra integral equations.Finally,we present a Lucas-type consumption-based asset pricing model that justifies the emergence of stochastic discount factors matching the term structure of Sharpe ratios.

关键词： Volterra equations BSDEs asset pricing Time inconsistency Arbitrage-free Incomplete markets Term structures Sharpe ratio

Investors’ Social Network and Return

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Journal of Social Computing 2022年第3期3卷 231-249页

作者： Yu He Rong Lu Xiao Han Department of Finance Shanghai University of Finance and EconomicsShanghai 200433China Department of Investment Zhejiang University of Finance and EconomicsHangzhou 310018China School of Information Management&Engineering Shanghai University of Finance and EconomicsShanghai 200433China.

Restricted by the availability of investors’account data,existing studies know little about the reasons for differences in investors’return in financial markets.Given this,this paper,based on the unique account data,reveals that the differences in investors’return are correlated to their locations in the social network.Conclusions are as follows.(1)Investors’social network constructed based on the submission time of completed orders describes the information diffusion process of financial markets.Information diffuses from the center of the network to the edge,and investors’return depends on their position in the network.(2)Investors’social network affects their return through the positive spillover mechanism of their behavior.Wealthy investors are in the center of the social network,the stronger the information sharing,the higher the status in the network,the higher the return;while retail investors are on the edge of the social network,and when their network centrality is certain,they even suffer return penalty for information sharing.(3)The speed of information diffusion in investors’social network has an important impact on asset pricing.Stocks’volatility,return,and liquidity are high in financial markets with an intermediate level of information diffusion speed.This paper puts forward new reasons for differences in investors’return from the perspective of investors’social network,and holds that big data in the capital market deserve further exploration with the social network method.

关键词： social networks investor networks investors’return asset pricing information diffusion

Contingent convertible lease modeling and credit risk management

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Financial Innovation 2022年第1期8卷 2382-2410页

作者： Ons Triki Fathi Abid Faculty of Economic and Management Sciences Probability and Statistics LaboratoryUniversity of SfaxAirport Road Km 43018 SfaxTunisia

The main objective of this study is to determine a lease agreement to finance an investment project and a solution for managing credit risk.This study investigates three types of contingent leases to reduce the costs associated with bankruptcy and compensate for the lessor’s position.A leasing defaultable contract allows the lessor to obtain the rent that will be recovered if the lessee defaults.A leasing convertible contract can be automatically converted into shares when certain default conditions related to the cash flows generated by the firm are met.These conditions are triggered by the ratio of the firm’s value and leasing payments.A Defaultable-Convertible-Leasing contract with a payback option grants the lessor the right but not the obligation to convert the remaining lease payments into stocks or to break up the contract and pick up the rented equipment when the firm reaches the default threshold.These contracts are motivated by contributing to the range of risk-management strategies by adding more flexibility to standard leasing contracts and contingent rents.Closed-form securities pricing solutions are set forward in a dynamic model for firms with existing assets and a growth option financed by shares and a contingent lease.Risk-neutral pricing theory and the backward induction method are used to determine the pricing of corporate securities.Numerical analysis shows that leasing convertible contracts and defaultable-convertible contracts with payback options impact the service value of the leased asset,maturity,and inefficiencies resulting from insolvency and asset substitution.An optimal conversion rate reduces inefficiencies,thus making the leasing convertible contract and defaultable-convertible-leasing contract with payback option a reliable solution to ensure business continuity and loss coverage of the leasers upon default.

关键词： Contingent convertible lease Growth option Risk of default asset pricing Stochastic process

Overconfidence,Excess Entry and asset pricing

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Overconfidence,Excess Entry and Asset Pricing

Information Disclosure,Heterogeneous Beliefs and asset pricing

中国运筹学会第七届学术交流会

作者： Wu Weixing Liang Hengyi School of Finance and Banking, UIBE Institute of Applied Mathematics, AMSS, CAS

When limited market participation arises endogenous in the presence ofmodel uncertainty,the overconfident investors will take part in stock market moreradically than rational investors. The model in this paper generat... 详细信息

关键词： Overconfidence Excess Entry asset pricing Limited Participation

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Information Disclosure,Heterogeneous Beliefs and Asset Prici...

Analysis of High Frequency Data in Finance:A Survey

第三届教学管理与课程建设学术会议

作者： Yang Xu 1 , Shancun Liu 1 1 School of Economics and Management, Beihang University, Beijing 100191, China

Is the stock market investors’ heterogeneous beliefs a determinant of asset pricing? Does the information disclosure mechanism can reduce the capital cost by reducing the information asymmetry or by increasing the heterogeneous beliefs? This paper incorporates the two sources of opinion differences—one is due to information asymmetry and another is due to heterogeneous belief on the information symmetry—into a uniform rational expectation model. The effects of information disclosure on investors’ heterogeneous beliefs are investigated through the analysis of rational expectation model. Then an asset pricing equilibrium model based on information disclosure and heterogeneous beliefs is established. Theoretical researches have been done to prove the public information and the market volatility impacting asset pricing and it make an explanation for some financial market anomalies and puzzles.

关键词： Information Disclosure Heterogeneous beliefs asset pricing

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Frontiers of Economics in China-Selected Publications from Chinese Universities 2020年第2期15卷 141-166页

作者： George J.Jiang Guanzhong Pan Department of Finance and Management Science College of BusinessWashington State UniversityPullmanWA 99164USA School of Finance Yunnan University of Finance and EconomicsKunming 650221China

This study examines the use of high frequency data in finance,including volatility estimation and jump tests.High frequency data allows the construction of model-free volatility measures for asset returns.Realized variance is a consistent estimator of quadratic variation under mild regularity conditions.Other variation concepts,such as power variation and bipower variation,are useful and important for analyzing high frequency data when jumps are present.High frequency data can also be used to test jumps in asset prices.We discuss three jump tests:bipower variation test,power variation test,and variance swap test in this study.The presence of market microstructure noise complicates the analysis of high frequency data.The survey introduces several robust methods of volatility estimation and jump tests in the presence of market microstructure noise.Finally,some applications of jump tests in asset pricing are discussed in this article.

关键词： high frequency data quadratic variation(QV) realized variance(RV) power variation(PV) bipower variation jump tests market microstructure noise asset pricing

Implications of Fama-French Models and Critical Evaluation of Cost of Equity Approach in Explanation of Variations in Expected Stock Returns

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Journal of Finance Research 2020年第1期4卷 63-68页

作者： Bingjing Gao Coventry University CoventryCV15FBUnited Kingdom

CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.

关键词： CAPM Fama-French Models Cost of equity Portfolio theory asset pricing

金融期权定价中的随机方法—若干分析、几何和方程的应用

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金融期权定价中的随机方法—若干分析、几何和方程的应用

作者：郭邦石复旦大学

学位级别：硕士

本文第一部分首先介绍了期权定价中相关的基本概念,思想,引论,定理,方法与应用。诸如随机过程,随机积分,一维及多维Ito过程,Ito引理,及包含它们的随即微分方程(SDE).鞅与局部鞅,资产定价基本定理以及Fac-Feymen定理和Girsanov定理将在... 详细信息

本文第一部分首先介绍了期权定价中相关的基本概念,思想,引论,定理,方法与应用。诸如随机过程,随机积分,一维及多维Ito过程,Ito引理,及包含它们的随即微分方程(SDE).鞅与局部鞅,资产定价基本定理以及Fac-Feymen定理和Girsanov定理将在其后一一加以讲解。文章的一个创新是通过测度变换及向前向后量度的引入来完成汇率计价。第二部分是对一维Ito过程相关的几种模式下SDE求解及应用的一种解读。在风险中性,完备市场和自金融策略的帮助下给出第二资产定价理论,这进一步引导出金融市场实践中几种最常见产品的定价与计算,常数或者隐含波动率及它们在不同测度下的变换将成为若干公式与引理交叉构成的主线。第三部分引进了斯梅尔动力方程,借助微分动力系统及随机微分方程的一些已知结果来进一步说明若干金融衍生品的数学表达。而除了常见的诸如基金,股票,债券,远期等衍生品的介绍,若干不常见到的诸如Napolean期权,CMS期权等产品也会有相应的表达。不过那里可能要借用一些几何分析中的概念,或者准确一点说是数学物理中关于相对论几何表达的一次简单应用,那将是本文的难点与结尾。

关键词： Black-Scholes Model Kolmogorov-Black-Scholes EquationIto过程 Ito引理 Smile Dynamics Feyman-Kac定理 asset pricing