Numeraire Portfolio Tests of the Size and Source of Gains from International Diversification

2002 ◽  
Author(s):  
Ludger Hentschel ◽  
John B. Long Jr.
Keyword(s):  
International Diversification ◽  
Numéraire Portfolio ◽  
Numeraire Portfolio

The numeraire portfolio: a new perspective on financial theory

1997 ◽  
Vol 3 (4) ◽  
pp. 291-309 ◽  
Author(s):  
I. Bajeux-Besnainou ◽  
R. Portait
Keyword(s):  
Numéraire Portfolio ◽  
New Perspective ◽  
Numeraire Portfolio

The numeraire portfolio

1990 ◽  
Vol 26 (1) ◽  
pp. 29-69 ◽  
Author(s):  
J Long
Keyword(s):  
Numéraire Portfolio ◽  
Numeraire Portfolio

PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS

2012 ◽  
Vol 15 (04) ◽  
pp. 1250025 ◽  
Author(s):  
FRANCESCA BIAGINI ◽  
JAN WIDENMANN
Keyword(s):  
Markov Chain ◽  
Unemployment Insurance ◽  
Private Insurance ◽  
General Setting ◽  
Simple Assumption ◽  
Doubly Stochastic ◽  
Numéraire Portfolio ◽  
Public Data ◽  
Benchmark Approach ◽  
Numeraire Portfolio

This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe individual insurance claims based on a special type of unemployment insurance contracts, which are offered on the private insurance market. The pricing formulas are first given in a general setting and then specified under the assumption that the individual employment-unemployment process of an employee follows a time-homogeneous doubly stochastic Markov chain. In this framework, formulas for the premiums are provided depending on the ℙ-numéraire portfolio of the benchmark approach. Under a simple assumption on the ℙ-numéraire portfolio, the model is tested on its sensitivities to several parameters. With the same specification the model's employment and unemployment intensities are estimated on public data of the Federal Employment Office in Germany.

scholarly journals Approximating the numéraire portfolio by naive diversification

2011 ◽  
Vol 13 (1) ◽  
pp. 34-50 ◽  
Author(s):  
Eckhard Platen ◽  
Renata Rendek
Keyword(s):  
Numéraire Portfolio ◽  
Naïve Diversification ◽  
Numeraire Portfolio

scholarly journals How non-arbitrage, viability and numéraire portfolio are related

2015 ◽  
Vol 19 (4) ◽  
pp. 719-741 ◽  
Author(s):  
Tahir Choulli ◽  
Jun Deng ◽  
Junfeng Ma
Keyword(s):  
Numéraire Portfolio ◽  
Numeraire Portfolio

How Valuable are the Commodity Assets to Investors?

2010 ◽  
Vol 18 (2) ◽  
pp. 19-41
Author(s):  
Jangkoo Kang ◽  
Jah Yeun Wang ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Transaction Cost ◽  
Sharpe Ratio ◽  
Performance Gain ◽  
Numéraire Portfolio ◽  
Portfolio Approach ◽  
Diversified Portfolio ◽  
Numeraire Portfolio

This study examines how commodity assets affect investors. Our main findings can be summarized as follows. First, the Sharpe ratio of commodity indexes is higher than that of stocks and bonds over the last ten years. Second, commodity (traditional) assets are positively (negatively) related with inflation, which implies that commodity assets provide better hedge against inflation. Third, a break-even analysis indicates that including commodity assets in diversified portfolio of stocks and bonds enhances the performance of the portfolio. Fourth, the numeraire portfolio approach of Hentschel et al.(2002) shows that, to some extent, there are gains by including commodity assets in a portfolio of stocks and bonds. For example, transaction cost of 0 to 92 basis points would keep a log-utility investor from including the Rogers International Commodities Index (RICI) in one’s portfolio. In sum, commodity assets enhance the performance of portfolio, and the performance gain is especially pronounced during the bear stock market.

scholarly journals Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

2018 ◽  
Vol 29 (3) ◽  
pp. 773-803 ◽  
Author(s):  
Christa Cuchiero ◽  
Walter Schachermayer ◽  
Ting‐Kam Leonard Wong
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory ◽  
Numéraire Portfolio ◽  
Universal Portfolio ◽  
Numeraire Portfolio

scholarly journals The numéraire portfolio in semimartingale financial models

2007 ◽  
Vol 11 (4) ◽  
pp. 447-493 ◽  
Author(s):  
Ioannis Karatzas ◽  
Constantinos Kardaras
Keyword(s):  
Financial Models ◽  
Numéraire Portfolio ◽  
Numeraire Portfolio
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