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Long-Horizon Mean-Variance Analysis:A User Guide.
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Minimum Variance Portfolios Coordinate-Wise Descent Algorithms
2010/10/20
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms,...
Asymptotics and Exact Pricing of Options on Variance
Asymptotics Exact Pricing Options Variance
2010/10/19
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...
The Size Variance Relationship of Business Firm Growth Rates
Size Variance Relationship Business Firm Growth Rates
2010/10/29
The relationship between the size and the variance of firm growth rates is known to follow an
approximate power-law behavior (S) ∼ S− (S) where S is the firm size and (S) ≈ 0.2 is an
e...