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Methods of Mathematical Finance
TLDR
A Brownian Motion of financial markets is used in this paper to describe the relationship between single-agent consumption and investment in a complete market and equilibrium in complete markets, where the single agent consumption is constrained by a Brownian motion.Abstract:
A Brownian Motion of Financial Markets.- Contingent Claim Valuation in a Complete Market.- Single-Agent Consumption and Investment.- Equilibrium in a Complete Market.- Contingent Claims in Incomplete Markets.- Constrained Consumption and Investment.read more
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Intermediary Asset Pricing
Zhiguo He,Arvind Krishnamurthy +1 more
TL;DR: In this paper, the authors model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary and evaluate the effect of three government policies: reducing intermediaries borrowing costs, injecting equity capital, and purchasing distressed assets.
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
TL;DR: In this paper, a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance is proposed, which is based on a fixed interval of time (e.g., a day or week).
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Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
Suleyman Basak,Alexander Shapiro +1 more
TL;DR: In this article, an alternative risk management model, based on the expectation of a loss, is proposed to remedy the shortcomings of Value-at-Risk (VaR) based risk management.
Journal ArticleDOI
Intermediary Asset Pricing
Zhiguo He,Arvind Krishnamurthy +1 more
TL;DR: In this article, the authors model the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary and face an equity capital constraint, and propose a model to model the risk-parity dynamics in such a setting.
Journal ArticleDOI
Dynamic Mean-Variance Asset Allocation
TL;DR: In this article, the authors provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple structure that also inherits several conventional properties of static models.