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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184328
Description: We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results. We show this by comparing four tests using S&P 500 data. Our results indicate th ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/316206
Description: Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlation ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272702
Description: We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an op ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302975
Description: We consider a risk-based asset allocation problem in a Markov, regime-switching, pure jump model. With a convex risk measure of the terminal wealth of an investor as a proxy for risk, we formulate the ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212533
Description: We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230852
Description: In this article, we provide the first study in the time consistent solution of the mean-variance asset-liability management (MVALM). The framework is even considered under a continuous time Markov reg ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215040
Description: This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. Thi ... More
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Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230866
Description: This paper introduces a discrete-time self-exciting threshold binomial model to price derivative securities. The key idea is to incorporate the regime switching effect in a discrete-time binomial mode ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/213757
Description: We investigate the pricing of both European and American-style options when the price dynamics of the underlying risky assets are governed by a Markov-modulated constant elasticity of variance process ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/229271
Description: We discuss the pricing and risk management problems of standard European-style options in a Markovian regime-switching binomial model. Due to the presence of an additional source of uncertainty descri ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174857
Description: This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286931
Description: Performance indices for illiquid investments are known to suffer from returns smoothing, and the purpose of this paper is to investigate the presence and nature of such smoothing in the context of ven ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212851
Description: In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/163384
Description: We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain wh ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143425
Description: Long-term strategic asset allocation is an important problem in both finance and actuarial science. There are two key issues in long-term strategic asset allocation, namely, the presence of inflation ... More
Reviewed: Reviewed