We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the exposure is always correct at each price. For a rule that changes notional exposure linearly with price the error is linear in variance.
{"title":"Dynamic Asset Allocation With Options","authors":"Joseph Clark, R. Swan","doi":"10.2139/ssrn.3560661","DOIUrl":"https://doi.org/10.2139/ssrn.3560661","url":null,"abstract":"We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the exposure is always correct at each price. For a rule that changes notional exposure linearly with price the error is linear in variance.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121075095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
C. Ewald, Erik Haugom, Gudbrand Lien, S. Størdal, Pengcheng Song
Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously and the possibility of constructing a trading strategy that ultimately beats the markets. To do this, we first assess the risk premium and relevant Sharpe values for the two markets and observe significant differences. This is followed by a discussion as to how far the different risk premia and Sharpe values alone are evidence of arbitrage. The answer is, they are not. However, we then show that an intelligently chosen long-short strategy constructed in the Einar Aas spirit can generate a positive alpha in the CAPM sense, hence providing evidence of arbitrage.
{"title":"Riding the Nordic German Power-Spread: The Einar Aas Experiment","authors":"C. Ewald, Erik Haugom, Gudbrand Lien, S. Størdal, Pengcheng Song","doi":"10.2139/ssrn.3557286","DOIUrl":"https://doi.org/10.2139/ssrn.3557286","url":null,"abstract":"Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously and the possibility of constructing a trading strategy that ultimately beats the markets. To do this, we first assess the risk premium and relevant Sharpe values for the two markets and observe significant differences. This is followed by a discussion as to how far the different risk premia and Sharpe values alone are evidence of arbitrage. The answer is, they are not. However, we then show that an intelligently chosen long-short strategy constructed in the Einar Aas spirit can generate a positive alpha in the CAPM sense, hence providing evidence of arbitrage.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123849737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Indian gold derivatives market has a Century old history with the inception of the famous Bombay Bullion Association (BBA) in 1919 though subjected to ban subsequently similar to other commodities. Following their revival in the early 2000s, gold futures volumes have witnessed a healthy growth of about 115% on average during the first decade from 2003 to 2012 reaching an average daily turnover of more than Rs.12 thousand crore but fell steeply to about Rs. 4.6 thousand crore in 2014 with the levy of Commodity Transaction Tax (CTT) in July 2013 causing a sharp increase in impact cost of futures trading. Although gold futures volumes have recovered notably to around Rs. 5.7 thousand crore during 2019, they remained well below the pre-CTT era. Indian futures market is characterized by relatively high delivery ratio to volumes at about 0.35% on average during 2011 to 2019. The aggregate deliveries of gold on MCX accredited warehouses stood at 114 tonnes till December 2019 with a record delivery of about 5.16 tonnes of gold in the month of August 2019. In view of these significant deliveries in gold futures, an attempt is made to understand trading trends with particular reference to pattern of gold stocks as well as deliveries in futures market.
{"title":"Indian Gold Futures Market and Delivery Dynamics","authors":"T. Lingareddy","doi":"10.2139/ssrn.3573588","DOIUrl":"https://doi.org/10.2139/ssrn.3573588","url":null,"abstract":"Indian gold derivatives market has a Century old history with the inception of the famous Bombay Bullion Association (BBA) in 1919 though subjected to ban subsequently similar to other commodities. Following their revival in the early 2000s, gold futures volumes have witnessed a healthy growth of about 115% on average during the first decade from 2003 to 2012 reaching an average daily turnover of more than Rs.12 thousand crore but fell steeply to about Rs. 4.6 thousand crore in 2014 with the levy of Commodity Transaction Tax (CTT) in July 2013 causing a sharp increase in impact cost of futures trading. Although gold futures volumes have recovered notably to around Rs. 5.7 thousand crore during 2019, they remained well below the pre-CTT era. Indian futures market is characterized by relatively high delivery ratio to volumes at about 0.35% on average during 2011 to 2019. The aggregate deliveries of gold on MCX accredited warehouses stood at 114 tonnes till December 2019 with a record delivery of about 5.16 tonnes of gold in the month of August 2019. In view of these significant deliveries in gold futures, an attempt is made to understand trading trends with particular reference to pattern of gold stocks as well as deliveries in futures market.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123259267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper analyses the relative pricing between sovereign CDS spreads and sovereign bond yields, for European countries, during and after the sovereign debt crisis of 2010-2012. In particular, we focus on the cross-sectional relationship between CDS spreads and bond yields across the European countries, and we investigate whether the differences across countries in terms of default risk, priced in the CDS spreads, are consistently priced in the cross-section of the bond yields. We show that an inconsistent cross-sectional relationship between CDS spreads and bond yields emerges during the crisis period for all the European countries, while after the announcement of the Outright Monetary Transaction (OMT) Programme, by the European Central Bank, the consistent cross-sectional relationship between default risk and bond yields is restored for the Eurozone countries only.
{"title":"The Relative Pricing of Sovereign Credit Risk after the Eurozone Crisis","authors":"R. Corvino, F. Ruggiero","doi":"10.2139/ssrn.3028070","DOIUrl":"https://doi.org/10.2139/ssrn.3028070","url":null,"abstract":"The paper analyses the relative pricing between sovereign CDS spreads and sovereign bond yields, for European countries, during and after the sovereign debt crisis of 2010-2012. In particular, we focus on the cross-sectional relationship between CDS spreads and bond yields across the European countries, and we investigate whether the differences across countries in terms of default risk, priced in the CDS spreads, are consistently priced in the cross-section of the bond yields. We show that an inconsistent cross-sectional relationship between CDS spreads and bond yields emerges during the crisis period for all the European countries, while after the announcement of the Outright Monetary Transaction (OMT) Programme, by the European Central Bank, the consistent cross-sectional relationship between default risk and bond yields is restored for the Eurozone countries only.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125595091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A variable annuity (VA) is an equity-linked annuity that provides investment guarantees to its policyholder and its contributions are normally invested in multiple underlying assets (e.g., mutual funds), which exposes VA liability to significant market risks. Hedging the market risks is therefore crucial in risk managing a VA portfolio as the VA guarantees are long-dated liabilities that may span decades. In order to hedge the VA liability, the issuing insurance company would need to construct a hedging portfolio consisting of the underlying assets whose positions are often determined by the liability Greeks such as partial dollar Deltas. Usually, these quantities are calculated via nested simulation approach. For insurance companies that manage large VA portfolios (e.g., 100k+ policies), calculating those quantities is extremely time-consuming or even prohibitive due to the complexity of the guarantee payoffs and the stochastic-on-stochastic nature of the nested simulation algorithm. In this paper, we extend the surrogate model-assisted nest simulation approach in Lin and Yang [(2020) Insurance: Mathematics and Economics, 91, 85–103] to efficiently calculate the total VA liability and the partial dollar Deltas for large VA portfolios with multiple underlying assets. In our proposed algorithm, the nested simulation is run using small sets of selected representative policies and representative outer loops. As a result, the computing time is substantially reduced. The computational advantage of the proposed algorithm and the importance of dynamic hedging are further illustrated through a profit and loss (P&L) analysis for a large synthetic VA portfolio. Moreover, the robustness of the performance of the proposed algorithm is tested with multiple simulation runs. Numerical results show that the proposed algorithm is able to accurately approximate different quantities of interest and the performance is robust with respect to different sets of parameter inputs. Finally, we show how our approach could be extended to potentially incorporate stochastic interest rates and estimate other Greeks such as Rho.
可变年金是一种与股票挂钩的年金，为投保人提供投资保证，其供款通常投资于多种标的资产(例如共同基金)，这使可变年金的负债面临重大的市场风险。因此，对冲市场风险在风险管理中至关重要，因为风险投资担保是可能跨越数十年的长期负债。为了对冲VA负债，发行保险公司需要构建一个对冲投资组合，该组合由标的资产组成，其头寸通常由负债希腊人(如部分美元delta)决定。通常，这些数量是通过嵌套模拟方法计算的。对于管理大型VA投资组合(例如，100,000 +保单)的保险公司来说，由于保证收益的复杂性和嵌套模拟算法的随机特性，计算这些数量非常耗时甚至令人望而却步。在本文中，我们扩展了Lin和Yang [(2020) Insurance: Mathematics and Economics, 91, 85-103]中的代理模型辅助巢模拟方法，以有效地计算具有多个基础资产的大型VA投资组合的总VA负债和部分美元delta。在我们提出的算法中，嵌套模拟使用小组选定的代表性策略和代表性外循环来运行。因此，计算时间大大减少。通过对大型综合风险投资组合的损益分析，进一步说明了所提出算法的计算优势和动态套期保值的重要性。通过多次仿真验证了该算法的鲁棒性。数值结果表明，该算法能够准确地逼近不同的感兴趣量，并且对于不同的参数输入集具有良好的鲁棒性。最后，我们展示了如何将我们的方法扩展到潜在的随机利率，并估计其他希腊人，如Rho。
{"title":"Efficient Dynamic Hedging for Large Variable Annuity Portfolios with Multiple Underlying Assets","authors":"X. Lin, Shuai Yang","doi":"10.2139/ssrn.3550106","DOIUrl":"https://doi.org/10.2139/ssrn.3550106","url":null,"abstract":"A variable annuity (VA) is an equity-linked annuity that provides investment guarantees to its policyholder and its contributions are normally invested in multiple underlying assets (e.g., mutual funds), which exposes VA liability to significant market risks. Hedging the market risks is therefore crucial in risk managing a VA portfolio as the VA guarantees are long-dated liabilities that may span decades. In order to hedge the VA liability, the issuing insurance company would need to construct a hedging portfolio consisting of the underlying assets whose positions are often determined by the liability Greeks such as partial dollar Deltas. Usually, these quantities are calculated via nested simulation approach. For insurance companies that manage large VA portfolios (e.g., 100k+ policies), calculating those quantities is extremely time-consuming or even prohibitive due to the complexity of the guarantee payoffs and the stochastic-on-stochastic nature of the nested simulation algorithm. In this paper, we extend the surrogate model-assisted nest simulation approach in Lin and Yang [(2020) Insurance: Mathematics and Economics, 91, 85–103] to efficiently calculate the total VA liability and the partial dollar Deltas for large VA portfolios with multiple underlying assets. In our proposed algorithm, the nested simulation is run using small sets of selected representative policies and representative outer loops. As a result, the computing time is substantially reduced. The computational advantage of the proposed algorithm and the importance of dynamic hedging are further illustrated through a profit and loss (P&L) analysis for a large synthetic VA portfolio. Moreover, the robustness of the performance of the proposed algorithm is tested with multiple simulation runs. Numerical results show that the proposed algorithm is able to accurately approximate different quantities of interest and the performance is robust with respect to different sets of parameter inputs. Finally, we show how our approach could be extended to potentially incorporate stochastic interest rates and estimate other Greeks such as Rho.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131795629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper suggest a new approach to pricing barrier options under pure non-Gaussian Levy processes with jumps of finite variation. The key idea behind the method to represent the process under consideration as a difference between subordinators (increasing Levy processes). Such splitting rule applied to the process at exponentially distributed randomized time points gives us the possibility to find the option price by analytically solving a sequence of simple Wiener-Hopf equations.
{"title":"The Wiener-Hopf Factorization for Pricing Options Made Easy","authors":"O. Kudryavtsev, Praskoviya Luzhetskaya","doi":"10.2139/ssrn.3540466","DOIUrl":"https://doi.org/10.2139/ssrn.3540466","url":null,"abstract":"The paper suggest a new approach to pricing barrier options under pure non-Gaussian Levy processes with jumps of finite variation. The key idea behind the method to represent the process under consideration as a difference between subordinators (increasing Levy processes). Such splitting rule applied to the process at exponentially distributed randomized time points gives us the possibility to find the option price by analytically solving a sequence of simple Wiener-Hopf equations.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115935258","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have extremely rough sample paths. The drift function and the volatility function are assumed to be time-dependent and locally $omega$-continuous for some modulus of continuity $omega$. The main results obtained in the paper are sample path and small-noise large deviation principles for the log-price process in a Gaussian model under very mild restrictions. We use these results to study the asymptotic behavior of binary up-and-in barrier options and binary call options.
{"title":"Time-Inhomogeneous Gaussian Stochastic Volatility Models: Large Deviations and Super Roughness","authors":"Archil Gulisashvili","doi":"10.2139/ssrn.3574337","DOIUrl":"https://doi.org/10.2139/ssrn.3574337","url":null,"abstract":"We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have extremely rough sample paths. The drift function and the volatility function are assumed to be time-dependent and locally $omega$-continuous for some modulus of continuity $omega$. The main results obtained in the paper are sample path and small-noise large deviation principles for the log-price process in a Gaussian model under very mild restrictions. We use these results to study the asymptotic behavior of binary up-and-in barrier options and binary call options.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122639677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We show that the dynamics of Bitcoin (BTC) price are strongly influenced by the level of global geopolitical risk. Indeed, a number of well established stylized facts about BTC cease to be true when we condition the evolution of BTC returns on the GPR index. In particular, we find that when geopolitical risk is high, BTC is no longer a perfect portfolio diversifier as it correlates strongly with Gold, US treasury yields and negatively with EUR/USD. We also find that BTC price bubbles are much more likely to occur when geopolitical risk is high, i.e. when investors flock to BTC as a digital safe haven or to a lesser extent when geopolitical risk is low and the BTC market behavior is speculative. Conversely, when geopolitical risk is moderate we find that BTC returns are approximately normally distributed and therefore do not seem to foster asset pricing bubbles. These results suggest that investors should adjust their portfolio holdings of BTC while adequately taking into account the amount of geopolitical risk present in the economy. Last, we find that the efficiency (in its weak form) of the BTC market increases with the level of geopolitical risk and that in fact the BTC market is rather efficient for moderate and high GPR.
{"title":"Do Bitcoin Stylized Facts Depend on Geopolitical Risk?","authors":"Messaoud Chibane, Nathalie Janson","doi":"10.2139/ssrn.3530020","DOIUrl":"https://doi.org/10.2139/ssrn.3530020","url":null,"abstract":"We show that the dynamics of Bitcoin (BTC) price are strongly influenced by the level of global geopolitical risk. Indeed, a number of well established stylized facts about BTC cease to be true when we condition the evolution of BTC returns on the GPR index. In particular, we find that when geopolitical risk is high, BTC is no longer a perfect portfolio diversifier as it correlates strongly with Gold, US treasury yields and negatively with EUR/USD. We also find that BTC price bubbles are much more likely to occur when geopolitical risk is high, i.e. when investors flock to BTC as a digital safe haven or to a lesser extent when geopolitical risk is low and the BTC market behavior is speculative. Conversely, when geopolitical risk is moderate we find that BTC returns are approximately normally distributed and therefore do not seem to foster asset pricing bubbles. These results suggest that investors should adjust their portfolio holdings of BTC while adequately taking into account the amount of geopolitical risk present in the economy. Last, we find that the efficiency (in its weak form) of the BTC market increases with the level of geopolitical risk and that in fact the BTC market is rather efficient for moderate and high GPR.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133084210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We generalize the results of Bielecki and Rutkowski (2015) on funding and collateraliza- tion to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b). In doing this, we provide a complete study of absence of arbitrage in a multi-currency market where, in each single monetary area, multiple interest rates coexist. We first characterize absence of arbitrage in the case without collateral. After that we study collateralization schemes in a very general situation: the cash flows of the contingent claim and those associated to the collateral agreement can be specified in any currency. We study both segregation and rehypothecation and allow for cash and risky collateral in arbitrary currency specifications. Absence of arbitrage and pricing in the presence of collateral are discussed under all possible combinations of conventions. Our work provides a reference for the analysis of wealth dynamics, we also provide valuation formulas that are a useful foundation for cross-currency curve construction techniques. Our framework provides also a solid foundation for the construction of multi-currency simulation models for the generation of exposure profiles in the context of xVA calculations.
{"title":"Cross Currency Valuation and Hedging in the Multiple Curve Framework","authors":"Alessandro Gnoatto, N. Seiffert","doi":"10.2139/ssrn.3528307","DOIUrl":"https://doi.org/10.2139/ssrn.3528307","url":null,"abstract":"We generalize the results of Bielecki and Rutkowski (2015) on funding and collateraliza- tion to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b). In doing this, we provide a complete study of absence of arbitrage in a multi-currency market where, in each single monetary area, multiple interest rates coexist. We first characterize absence of arbitrage in the case without collateral. After that we study collateralization schemes in a very general situation: the cash flows of the contingent claim and those associated to the collateral agreement can be specified in any currency. We study both segregation and rehypothecation and allow for cash and risky collateral in arbitrary currency specifications. Absence of arbitrage and pricing in the presence of collateral are discussed under all possible combinations of conventions. Our work provides a reference for the analysis of wealth dynamics, we also provide valuation formulas that are a useful foundation for cross-currency curve construction techniques. Our framework provides also a solid foundation for the construction of multi-currency simulation models for the generation of exposure profiles in the context of xVA calculations.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122637712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
These lecture notes cover old and new investment methods, regulatory and legal developments and the role of technology as a game changer in asset management. The discussion gives the same weight to the theoretical and practical aspects of asset management. The focus is on portfolio constructions, asset pricing on the theoretical side. The applied chapters contain an asset management industry overview, introduce to data analytics, blockchain and crypto-currency, demographics and technology.
{"title":"Asset Management","authors":"P. Vanini","doi":"10.2139/ssrn.2710123","DOIUrl":"https://doi.org/10.2139/ssrn.2710123","url":null,"abstract":"These lecture notes cover old and new investment methods, regulatory and legal developments and the role of technology as a game changer in asset management. The discussion gives the same weight to the theoretical and practical aspects of asset management. The focus is on portfolio constructions, asset pricing on the theoretical side. The applied chapters contain an asset management industry overview, introduce to data analytics, blockchain and crypto-currency, demographics and technology.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130747572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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