Abstract Portfolio management involves position sizing and resource allocation. Traditional generic portfolio strategies require forecasting of future stock prices as model inputs, which is not a trivial task since those values are difficult to obtain in the real-world applications. To overcome above limitations provide better solution for management, we developed Management System (PMS) using ...

The stock markets are sentiment driven markets. Human psychology plays an important part in deciding the market movements. Usually three types of sentiments are seen in the stock markets, namely bullish, neutral and bearish. The Bullish sentiment indicates that the buyers are more than sellers and the buyers are confident about the market, so they outnumber sellers causing the market prices to ...

by Mordecai Kurz and Maurizio Motolese A very preliminary draft: February 2, 2010 Summary: Why do risk premia vary over time? We examine this problem theoretically and empirically by studying the effect of market belief on risk premia. Individual belief is taken as a fundamental, primitive, state variable. Market belief which is the distribution of individual beliefs is observable, it is centra...

Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies can hardly pursue in practice. In this paper, we extend the risk-neutral valuation concept with a risk measurement approach. We accomplish this by first calibrating contract parameters that lead to...

This paper suggests a new method of implementing the principle of maximum entropy to retrieve the risk neutral density of future stock, or any other asset, returns from European call and put prices. Instead of option prices, the method employs risk neutral moments as constraints. These moments can be retrieved from market option prices in a first step. Compared to other existing methods of retr...

This paper proposes a method for determining the price bidding strategies of market participants consisting of Generation Companies (GENCOs) and Distribution Companies (DISCOs) in a day-ahead electricity market, while taking into consideration the load forecast uncertainty and demand response programs. The proposed algorithm tries to find a Pareto optimal point for a risk neutral participan...

The estimation of the market price of risk is an open question in the jump-diffusion term structure literature when a closed-form solution is not known. Furthermore, the estimation of the physical drift has a high risk of misspecification. In this paper, we obtain some results that relate the risk-neutral drift and the risk-neutral jump intensity of interest rates with the prices and yields of ...

than a non-neutral network that biases network traffic in a fashion that is unfavorable to end users. The contribution of this paper is linking the total value of network infrastructure based on the degree of its neutrality to market uncertainty. Rapidly changing Internet technology has created a very uncertain market (market uncertainty is defined below) in the context of providers being able ...

We consider a system in which there exists two ISPs, one “big” Content Provider (CP), and a continuum of End-Users (EUs). One of the ISPs is neutral and the other is non-neutral. We consider that the CP can differentiate between ISPs by controlling the quality of the content she is offering on each one. We also consider that EUs have different levels of innate preferences for ISPs. We formulate...