Dynamic option-based strategies under downside loss aversion

被引：4
|
作者：
Jalal, Amine [1 ,2 ]
机构：
[1] Qatar Holding LLC, Doha, Qatar
[2] Qatar Investment Author, Doha, Qatar
来源：
JOURNAL OF RISK | 2013年 / 15卷 / 03期
关键词：
POLICIES;
D O I：
10.21314/JOR.2013.259
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall is used for illustration purposes and the role of each relevant derivative security is analyzed.
引用
收藏
页码：69 / 85
页数：17
相关论文
共 50 条
  • [31] The Strategy in Intertemporal Choice: Option-based or Dimension-based
    Jiang, Duo
    He, Guibing
    INTERNATIONAL JOURNAL OF PSYCHOLOGY, 2016, 51 : 343 - 343
  • [32] On revision of the option-based approach to modeling mortgage securities
    Goncharov, Y
    COMPUTATIONAL FINANCE AND ITS APPLICATIONS, 2004, : 97 - 105
  • [33] RELIABILITY OF SOYBEAN AND CORN OPTION-BASED PROBABILITY ASSESSMENTS
    SILVA, EMD
    KAHL, KH
    JOURNAL OF FUTURES MARKETS, 1993, 13 (07) : 765 - 779
  • [34] Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk
    Christoffersen, Peter
    Fournier, Mathieu
    Jacobs, Kris
    Karoui, Mehdi
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2021, 56 (01) : 65 - 91
  • [35] Do firms understate stock option-based compensation expense disclosed under SFAS 123?
    Aboody, David
    Barth, Mary E.
    Kasznik, Ron
    REVIEW OF ACCOUNTING STUDIES, 2006, 11 (04) : 429 - 461
  • [36] A real option-based model for promoting sustainable energy projects under the clean development mechanism
    Lee, Hyounkyu
    Park, Taeil
    Kim, Byungil
    Kim, Kyeongseok
    Kim, Hyoungkwan
    ENERGY POLICY, 2013, 54 : 360 - 368
  • [37] Information content of option prices: Comparing analyst forecasts to option-based forecasts
    Sanford, Anthony
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2024, 73
  • [38] RELIABILITY OF SOYBEAN AND CORN OPTION-BASED PROBABILITY ASSESSMENTS AS OPTION MARKETS MATURE
    SILVA, E
    KAHL, KH
    AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1991, 73 (05) : 1532 - 1532
  • [39] Technical note: Option-based costing and the volatility portfolio
    de Treville, Suzanne
    Cattani, Kyle
    Saarinen, Lauri
    JOURNAL OF OPERATIONS MANAGEMENT, 2017, 49-51 : 77 - 81
  • [40] AN OPTION-BASED OPERATIONAL RISK MANAGEMENT MODEL FOR PANDEMICS
    Chen, Hua
    Cox, Samuel
    NORTH AMERICAN ACTUARIAL JOURNAL, 2009, 13 (01) : 54 - 76
12345