This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. 2002 Published by Elsevier Science B.V. JEL classification: G11; G12; G13

Article history: We test 17 years of Super PR Received 2 February 2008 Received in revised form 13 January 2009 Accepted 22 January 2009 Available online xxxx JEL classification: G11

The negative relationship between market P/E ratios and government bond yields seems to have become conventional wisdom among practitioners. Both (limited) empirical evidence and a (misleading) suggestion that the model originated in the Fed are used to support the model’s plausibility. The evidence in this note, from 20 international markets, seriously questions the wide acceptance and use of ...

This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare optimal investment strategies maximizing the CRRA utility of terminal wealth with and without value at ri...

In this paper, we address the issue of determining the optimal contribution rate of a stochastic defined benefit pension fund. The affiliate’s mortality is modelled by a jump process and the benefits paid at retirement are function of the evolution of stochastic salaries. Assets of the fund are invested in cash, stocks and a rolling bond. Interest rates are driven by a Vasicek model. The object...

We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth– moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value– ...

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, we give an accuracy proof for the finite time optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in a time scale parameter and the small transaction cost. AMS subject classification 91G80, 60H30. JEL su...

this research aims to use var as a risk measure to find the optimum portfolio in tehran stock exchange. in this research var which is calculated with parametric method by using the 15 daily returns of 100 companies from march 21, 2001 to november 22, 2007 was added to the markowitz model of portfolio optimization as additional constraint. by changing the accepted var and accepted confidence lev...

abstract regarding the imprecise or fuzzy data on the agriculture activities, applying models based on fuzzy data may be useful. in line with this condition this study tries to compare the ability of possiblistic programming approach in developing optimal solution with fuzzy and deterministic programming. to get this objective a data set obtained from 90 farmers of kohgilooye region, gathered i...