Pricing of options on stocks that are driven by multi-dimensional coupled price-temporal infinitely divisible fluctuations. We model the price of a stock via a Langévin equation with multi-dimensional fluctuations coupled both in the price in time. We generalise previous models in that we assume that the fluctuations conditioned on the time step are assumed to be compound Poisson processes with...

portfolio theory assumes that investors accept risk. this means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...

The de nition of universal portfolio was introduced in the nancial literature in order to describe the class of portfolios which are constructed directly from the available observations of the stocks behavior without any assumptions about their statistical properties. Cover [6] has shown that one can construct such portfolio using only observations of the past stock prices which generates the s...

This study tests whether Fidelity Management and Research Company possesses private information when it makes large trades. We use a conditional performance measure inspired by Admati and Ross (1985) and by Grinblatt and Titman (1993) that does not require a benchmark used in risk-adjusted measures. It conditions the performance of each trade on public information, measured by the market price ...

There have been several efforts in the literature to extract as much information as possible from the financial networks. Most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. This paper proposes a stock market filtering model using the correlation - ba...

Economic shocks can have diverse effects on financial market dynamics at different time horizons, yet traditional portfolio management tools do not distinguish between shortand long-term components in alpha, beta, and covariance estimators. In this paper, we apply spectral analysis techniques to quantify stock-return dynamics across multiple time horizons. Using the Fourier transform, we decomp...

In practice, most investing is done assuming a probabilistic model of stock price returns known as the Geometric Brownian Motion (GBM). While often an acceptable approximation, the GBM model is not always valid empirically. This motivates a worst-case approach to investing, called universal portfolio management, where the objective is to maximize wealth relative to the wealth earned by the best...

the present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. cross-efficiency evaluation is an effective way of ranking decisionmaking units (dmus) in data envelopment analysis (dea). conventional dea models assume nonnegativevalues for inputs and outputs. however, we know that unlike return and skewness, varianceis the on...

This paper constructs a model in which the currency composition of national portfolios is an essential element in facilitating capital ‡ows between countries. In a two country environment, each country chooses optimal nominal bond portfolios in face of real and nominal risk. Current account de…cits are …nanced by increases in domestic currency debt, but balanced by increases in foreign currency...

Australian stock market has lower market capitalization compared to that of many other OECD countries and Australian investors can reduce their overall portfolio risk by diversifying into equities from other markets. Choosing stock markets with low correlations with the domestic market can increase the portfolio diversification benefits. For Australian investors, East European stock markets are...