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Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication
http://hdl.handle.net/2261/25744
http://hdl.handle.net/2261/257449bbfb789-12aa-4edb-99ca-c7d2e8f95de6
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | JEL Classification: G11, G20, G23 | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Hedge Fund Replication | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asset Management | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Dynamic Portfolio Optimization | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin Calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Martingale Method | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Kyo, Yamamoto |
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著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper provides a new method to construct a dynamic optimal portfolio for asset management in a complete market. The method generates a target payoff distribution by the cheapest dynamic trading strategy. It is regarded as an extension of Dybvig (1988a) to continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. As a practical example, the method is applied to hedge fund replication, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-624, 発行日 2009-06 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf624ab.html |