51
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

, &
Pages 231-248 | Received 18 Nov 2022, Accepted 13 Feb 2024, Published online: 25 Feb 2024

References

  • Ahn D., Boudoukh J., Richardson M., and Whitelaw R. F.. 1999. “Optimal Risk Management Using Options.” The Journal of Finance 54 (1): 359–375. https://doi.org/10.1111/jofi.1999.54.issue-1.
  • Anderson E. J., and Nash P.. 1987. Linear Programming in Infinite Dimensional Spaces. Hoboken, NJ: John Wiley & Sons.
  • Artzner P., Delbaen F., Eber J. M., and Health D.. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–228. https://doi.org/10.1111/mafi.1999.9.issue-3.
  • Balbás A., Balbás B., and Balbás R.. 2010. “CAPM and APT-Like Models with Risk Measures.” Journal of Banking & Finance 34 (6): 1166–1174. https://doi.org/10.1016/j.jbankfin.2009.11.013.
  • Balbás A., Balbás B., and Balbás R.. 2016a. “Outperforming Benchmarks with Their Derivatives: Theory and Empirical Evidence.” Journal of Risk 18 (4): 25–52. https://doi.org/10.21314/J0R.2016.328.
  • Balbás A., Balbás B., and Balbás R.. 2016b. “Good Deals and Benchmarks in Robust Portfolio Selection.” European Journal of Operational Research 250 (2): 666–678. https://doi.org/10.1016/j.ejor.2015.09.023.
  • Balbás A., Balbás B., and Balbás R.. 2019. “Golden Options in Financial Mathematics.” Mathematics and Financial Economics 13 (4): 637–659. https://doi.org/10.1007/s11579-019-00240-2.
  • Balbás A., Balbás B., and Balbás R.. 2022. “Pareto Efficient Buy and Hold Investment Strategies under Order Book Linked Constraints.” Annals of Operations Research 311 (2): 945–965. https://doi.org/10.1007/s10479-021-03942-3.
  • Balbás A., Balbás B., Balbás R., and Charron J. P.. 2023. “Bidual Representation of Expectiles.” Risks 11 (12): 220. https://doi.org/10.3390/risks11120220.
  • Balbás A., and Serna G.. 2024. “Selling Options to Beat the Market: Further Empirical Evidence.” Research in International Business and Finance 67:102119. https://doi.org/10.1016/j.ribaf.2023.102119.
  • Bondarenko O. 2014. “Why are Put Options so Expensive?” Quarterly Journal of Finance 4 (3): 1450015. https://doi.org/10.1142/S2010139214500153.
  • Cheung K. C., Chong W. F., and Lo A.. 2019. “Budget-Constrained Optimal Reinsurance Design under Coherent Risk Measure.” Scandinavian Actuarial Journal 2019 (9): 729–751. https://doi.org/10.1080/03461238.2019.1598891.
  • Constantinides G. M., Czerwonko M., Jackwerth J. C., and Perrakis S.. 2011. “Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence.” The Journal of Finance 66 (4): 1407–1437. https://doi.org/10.1111/jofi.2011.66.issue-4.
  • Cui J., Liao C., Ji L., Xie Y., Yu Y., and Yin J.. 2021. “A Short-Term Hybrid Energy System Robust Optimization Model for Regional Electric-Power Capacity Development Planning Under Different Pollutant Control Pressures.” Sustainability 13 (20): 11341. https://doi.org/10.3390/su132011341.
  • Delbaen F. 2013. A Remark on the Structure of Expectiles. Preprint, arXiv: 1307.5881v1.
  • Dupacová J., and Kopa M.. 2014. “Robustness of Optimal Portfolios under Risk and Stochastic Dominance Constraints.” European Journal of Operational Research 234 (2): 434–441. https://doi.org/10.1016/j.ejor.2013.06.018.
  • Filippi C., Guastaroba G., and Speranza M. G.. 2020. “Conditional Value-at-Risk Beyond Finance: A Survey.” International Transactions in Operational Research 27 (3): 1273–1814. https://doi.org/10.1111/itor.v27.3.
  • Goovaerts J. M., and Laeven R.. 2008. “Actuarial Risk Measures for Financial Derivative Pricing.” Insurance: Mathematics and Economics 42 (2): 540–547.
  • Hamada M., and Sherris M.. 2003. “Contingent Claim Pricing Using Probability Distortion Operators: Method from Insurance Risk Pricing and Their Relationship to Financial Theory.” Applied Mathematical Finance 10 (1): 19–47. https://doi.org/10.1080/1350486032000069580.
  • Haugh M. B., and Lo A. W.. 2001. “Asset Allocation and Derivatives.” Quantitative Finance 1 (1): 45–72. https://doi.org/10.1080/713665551.
  • Jiekang W., Zhijiang W, Xiaoming M., Fan W., Huiling T., and Lingming C.. 2020. “Risk Early Warning Method for Distribution System with Sources-Networks-Loads-Vehicles Based on Fuzzy C-Mean Clustering.” Electric Power Systems Research 180:106059. https://doi.org/10.1016/j.epsr.2019.106059.
  • Jin H., and Zhou X. Y.. 2008. “Behavioral Portfolio Selection in Continuous Time.” Mathematical Finance 18 (3): 385–426. https://doi.org/10.1111/mafi.2008.18.issue-3.
  • Johnston M. 2009. “Extending the Basel II Approach to Estimate Capital Requirements for Equity Investments.” Journal of Banking & Finance 33 (6): 1177–1185. https://doi.org/10.1016/j.jbankfin.2008.12.018.
  • Jouini E., and Kallal H.. 1995. “Martingales and Arbitrage in Securities Markets with Transaction Costs.” Journal of Economic Theory 66 (1): 178–197. https://doi.org/10.1006/jeth.1995.1037.
  • Kim J. H. 2007. “Risk Measure Pricing and Hedging in the Presence of Transaction Costs.” Journal of Applied Mathematics and Computing 23 (1-2): 293–310. https://doi.org/10.1007/BF02831976.
  • Lejeune M., and Shen S.. 2016. “Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization.” European Journal of Operational Research 252 (2): 522–539. https://doi.org/10.1016/j.ejor.2016.01.039.
  • Lia D., Zeng Y., and Yang H.. 2018. “Robust Optimal Excess-of-Loss Reinsurance and Investment Strategy for an Insurer in a Model with Jumps.” Scandinavian Actuarial Journal 2018 (2): 145–171. https://doi.org/10.1080/03461238.2017.1309679.
  • Luenberger D. G. 1969. Optimization by Vector Spaces Methods. New York: John Wiley & Sons.
  • Luenberger D. G. 2001. “Projection Pricing.” Journal of Optimization Theory and Applications 109 (1): 1–25. https://doi.org/10.1023/A:1017596419383.
  • Morón M. A., Romero C., and Ruiz F. R.. 1996. “Generating Well-Behaved Utility Functions for Compromise Programming.” Journal of Optimization Theory and Applications 91 (3): 643–649. https://doi.org/10.1007/BF02190125.
  • Nakano Y. 2004. “Efficient Hedging with Coherent Risk Measure.” Journal of Mathematical Analysis and Applications 293 (1): 345–354. https://doi.org/10.1016/j.jmaa.2004.01.010.
  • Newey W., and Powell J.. 1987. “Asymmetric Least Squares Estimation and Testing.” Econometrica 55 (4): 819–847. https://doi.org/10.2307/1911031.
  • Rockafellar R. T., Uryasev S., and Zabarankin M.. 2006. “Generalized Deviations in Risk Analysis.” Finance & Stochastics 10 (1): 51–74. https://doi.org/10.1007/s00780-005-0165-8.
  • Stoyanov S. V., Rachev S. T., and Fabozzi F. J.. 2007. “Optimal Financial Portfolios.” Applied Mathematical Finance 14 (5): 401–436. https://doi.org/10.1080/13504860701255292.
  • Tadese M., and Drapeau S.. 2020. “Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall.” Insurance: Mathematics and Economics 93:387–399.
  • Tapiero C. 2004. Risk and Financial Management: Mathematical and Computational Methods. Chichester: John Wiley.
  • Wu J., Wu Z., Wu F., Tang H., and Mao X.. 2018. “CVaR Risk-Based Optimization Framework for Renewable Energy Management in Distribution Systems with DGs and EVs.” Energy 143:323–336. https://doi.org/10.1016/j.energy.2017.10.083.
  • Zeidler E. 1995. Applied Functional Analysis: Main Principles and Their Applications. New York: Springer.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.