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Found 8 papers, 0 papers with code
Gamma Hedging and Rough Paths
We show that if a trader knows that the market price of a set of European options will be given by a diffusive pricing model, then the discrete-time gamma-hedging strategy will enable them to replicate other European options so long as the underlying pricing signal is sufficiently regular.
The importance of dynamic risk constraints for limited liability operators
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation.
Stochastic modeling of assets and liabilities with mortality risk
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer.
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors.
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences
We also compute the optimal strategy for an infinite fund of investors, and prove the convergence of the optimal strategy as $n\to \infty$.
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors.
Collectivised Post-Retirement Investment
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors.
The ineffectiveness of coherent risk measures
We show that coherent risk measures are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking behaviour if the market admits statistical arbitrage opportunities which we term $\rho$-arbitrage for a risk measure $\rho$.
