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A discrete time model for pricing treasury bills, forward, and futures contracts.
168 Keywords:
Abstracts and Reviews Investment,
Matching,
Modern
Portfolio
Theory, Risk. (E13, ElO) Portfolio insurance, strategien zur Wertsicherung von Aktien-Portefeuilles. Albrecht P., Maurer R., Mannheim, Blatter der 053097
Deutsche
Gesellschaft
fur
Versicherungsmathematik,
Band Xu, Heft 2, april 1992, pp. 337-362.
The rapid growth of modern Options and Futures Markets as well as the advances of mathematical finance have enabled investors to develop strategies and to realize risk-return-positions which were not possible before. Among these methods are capital protection (portfolio insurance) strategies for the management of equity portfolios. These strategies try to achieve an asymmetrical risk-return-profile by participating (partially at least) in equity market gains on one hand while “guaranteeing” a minimum return on the other. To achieve this objective two basic investment strategies are at hand. Capital protection strategies on the basis of real (available at some market) put options and capital protection strategies on the basis of a “synthetic” replication of option positions by means of a suitable combination of primary assets. The paper examines in detail the main types of capital protection strategies (protection with put options and index-puts, dynamic hedging on the basis of modem option pricing theory, Constant Proportion Portfolio Insurance). The respective (Authors) strengths and weaknesses are pointed out. Keywords:
Portfolio
Insurance,
Capital
Protection
Strategies. 053098 (E13, ElO) A discrete time model for pricing treasury bills, forward, and futures contracts. Morgan LG., Neave E.H., Queen’s University School of Business Kingston, Ontario, Astin Bulletin 23, nr. I, 1993, pp. 3-22.
This paper develops a discrete time model for valuing treasury bills and either forward of futures contracts written against them. It provides formulae for bill prices, forward prices, futures prices, and their conditional variances and risk premiums. The interest rate process is described by a multiplicative binomial random walk whose features conform to some principal characteristics of observed processes. Initial forward rates are constrained to match initially observed term structure (Authors) data. Keywords:
Discrete
Time Model, Interest Rate Process.
053099 (E13) Zu den Formeln von Black und &holes fdr die Preisbestimmung von Optionen. Miiller T., Basel, Bulletin Swiss Association of Actuaries,
Heft I, 1993, pp. 61-74.
In this paper the formulas of Black and Scholes to determine the price of options on shares are looked at from the viewpoint of an investor and newly derived. The author investigates how the assumptions made on yield and risk of the share influence special defined securities. With these securities he speculates on a given share price at the exercise date of the option. Starting with the simple discrete model with one time step and using considerations on yield and risk, he progresses to the model of the development of prices of shares with several time steps. When extending to the continuous model of a geometric brownian motion, the expected increase in value of the defined securities due to the risk of the share is described by a stochastic differential equation. Finally the price of the option is described as a weighted sum of the prices of the securities(Author) Keywords:
Option, Black and Scholes Formula.
053100 (E13, E23)
A normative analysis of capital income taxes in the presence of aggregate risk. Christiansen V., Norwegian School of Management, Norway, The Geneva Papers on Risk and Insurance Theory,
Vol. 18, nr. I, 1993, pp. 55-76.
A simple portfolio model is used to examine the efficiency effects of capital income taxes when the economy faces aggregate risk. To achieve a first best optimum the use of state contingent lump sum taxes is required. Through the tax policy the riskiness of total is partly assigned to the private consumption consumption and partly to the public consumption. State independent income taxes may generate a misallocation of risk and distort the allocation of resources between assets. The second best optimum, representing a tradeoff between these inefficiencies, is characterized. Uniform taxation is shown to be optimal only in very special cases. Finally, the second best optimal&y rule for public consumption is extended to the case of (Author) uncertainty. Keywords:
Capital Income Taxation,
Risk- Taking.
Optimal
Taxation,
Abstracts and Reviews Investment,
Matching,
Modern
Portfolio
Theory, Risk. (E13, ElO) Portfolio insurance, strategien zur Wertsicherung von Aktien-Portefeuilles. Albrecht P., Maurer R., Mannheim, Blatter der 053097
Deutsche
Gesellschaft
fur
Versicherungsmathematik,
Band Xu, Heft 2, april 1992, pp. 337-362.
The rapid growth of modern Options and Futures Markets as well as the advances of mathematical finance have enabled investors to develop strategies and to realize risk-return-positions which were not possible before. Among these methods are capital protection (portfolio insurance) strategies for the management of equity portfolios. These strategies try to achieve an asymmetrical risk-return-profile by participating (partially at least) in equity market gains on one hand while “guaranteeing” a minimum return on the other. To achieve this objective two basic investment strategies are at hand. Capital protection strategies on the basis of real (available at some market) put options and capital protection strategies on the basis of a “synthetic” replication of option positions by means of a suitable combination of primary assets. The paper examines in detail the main types of capital protection strategies (protection with put options and index-puts, dynamic hedging on the basis of modem option pricing theory, Constant Proportion Portfolio Insurance). The respective (Authors) strengths and weaknesses are pointed out. Keywords:
Portfolio
Insurance,
Capital
Protection
Strategies. 053098 (E13, ElO) A discrete time model for pricing treasury bills, forward, and futures contracts. Morgan LG., Neave E.H., Queen’s University School of Business Kingston, Ontario, Astin Bulletin 23, nr. I, 1993, pp. 3-22.
This paper develops a discrete time model for valuing treasury bills and either forward of futures contracts written against them. It provides formulae for bill prices, forward prices, futures prices, and their conditional variances and risk premiums. The interest rate process is described by a multiplicative binomial random walk whose features conform to some principal characteristics of observed processes. Initial forward rates are constrained to match initially observed term structure (Authors) data. Keywords:
Discrete
Time Model, Interest Rate Process.
053099 (E13) Zu den Formeln von Black und &holes fdr die Preisbestimmung von Optionen. Miiller T., Basel, Bulletin Swiss Association of Actuaries,
Heft I, 1993, pp. 61-74.
In this paper the formulas of Black and Scholes to determine the price of options on shares are looked at from the viewpoint of an investor and newly derived. The author investigates how the assumptions made on yield and risk of the share influence special defined securities. With these securities he speculates on a given share price at the exercise date of the option. Starting with the simple discrete model with one time step and using considerations on yield and risk, he progresses to the model of the development of prices of shares with several time steps. When extending to the continuous model of a geometric brownian motion, the expected increase in value of the defined securities due to the risk of the share is described by a stochastic differential equation. Finally the price of the option is described as a weighted sum of the prices of the securities(Author) Keywords:
Option, Black and Scholes Formula.
053100 (E13, E23)
A normative analysis of capital income taxes in the presence of aggregate risk. Christiansen V., Norwegian School of Management, Norway, The Geneva Papers on Risk and Insurance Theory,
Vol. 18, nr. I, 1993, pp. 55-76.
A simple portfolio model is used to examine the efficiency effects of capital income taxes when the economy faces aggregate risk. To achieve a first best optimum the use of state contingent lump sum taxes is required. Through the tax policy the riskiness of total is partly assigned to the private consumption consumption and partly to the public consumption. State independent income taxes may generate a misallocation of risk and distort the allocation of resources between assets. The second best optimum, representing a tradeoff between these inefficiencies, is characterized. Uniform taxation is shown to be optimal only in very special cases. Finally, the second best optimal&y rule for public consumption is extended to the case of (Author) uncertainty. Keywords:
Capital Income Taxation,
Risk- Taking.
Optimal
Taxation,