In mathematical finance, a replicating portfolio for a given asset or series of cash flows is a portfolio of assets with the same properties (especially...
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Rational pricing (section The replicating portfolio)
underlying share. The position created is known as a "replicating portfolio" since its cash flows replicate those of the option. As shown above ("Assets with...
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concept is used to define for example admissible strategies and replicating portfolios, the latter being fundamental for arbitrage-free derivative pricing...
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used: The simplest way to value barrier options is to use a static replicating portfolio of vanilla options (which can be valued with Black–Scholes), chosen...
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Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return...
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market probability distribution. This ensures that the discounted replicating portfolio process is a Martingale under risk neutral conditions. If such a...
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(One major modification here is that these models often rely on a replicating portfolio as opposed to traditional risk neutral pricing.) Typical corporate...
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equation § Derivation of the Black–Scholes PDE; Rational pricing § The replicating portfolio Kjølhede, Christian; Bech, Anders. "Post-Crisis Pricing of Swaps...
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Outline of finance (section Portfolio mathematics)
typically employed Real options valuation Rational pricing § The replicating portfolio Financial economics § Corporate finance theory Lattice model (finance)...
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the underlying security is approximately removed. What is more, a replicating portfolio of a variance swap would require an entire strip of options, which...
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including others in the maritime domain and some in the counter-UAS portfolio”, a Defense Department release said. On September 30, 2024, Defense Secretary...
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invalidate the use of a constant discount rate, some analysts use the "replicating portfolio approach", as opposed to Risk neutral valuation, and modify their...
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custom benchmark for each portfolio to be developed, using the linear combination of style indices that best replicate portfolio style allocation, and leads...
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ISSN 0022-1082. Cambou, Mathieu; Filipović, Damir (13 November 2017). "Replicating portfolio approach to capital calculation". Finance and Stochastics. 22 (1):...
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deviated from the theoretical price that would have resulted from replicating the portfolio of options underlying the swaps using options pricing formulas...
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standard way of choosing the derivative I consists in choosing a replicating portfolios of options for H. In practice, one will price H without variance...
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to simply add "Hedge Fund Beta" to their portfolio. These early investors have been rewarded as the replicators outperformed their direct investment cousins...
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the Amazon Web Services portfolio. DynamoDB offers a fast persistent key–value datastore with built-in support for replication, autoscaling, encryption...
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option, both with the identical strike price and expiry, namely that a portfolio of a long call option and a short put option is equivalent to (and hence...
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Returns-based style analysis (category Portfolio theories)
Since these exposures theoretically represent percentages of a replicating portfolio, we often apply the following constraints: ∑ i = 1 I β i = 1 ; β...
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are expected to replicate, before trading and other costs, the returns of an index exactly, while others 'actively manage' the portfolio by deviating from...
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Intertemporal portfolio choice is the process of allocating one's investable wealth to various assets, especially financial assets, repeatedly over time...
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Intellectual property (redirect from Intellectual property portfolio)
information or literature can usually do little to stop their first buyer from replicating it and selling it at a lower price. Balancing rights so that they are...
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openvswitch.org. Retrieved 2016-07-04. "Arista Expands Leaf Switch Product Portfolio" (Press release). Arista Networks. 22 October 2014. Retrieved 8 November...
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Hedge fund (section Remuneration of portfolio managers)
investment performance and insulate returns from market risk. Among these portfolio techniques are short selling and the use of leverage and derivative instruments...
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where it continues to license its technologies independently. As the portfolio of patent expired, the presence of DiscoVision became less visible. However...
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and directly: indirectly by providing portfolio information and others' performance that users can try to replicate on their own, and directly by enabling...
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can invoke the martingale representation theorem to find a replicating strategy – a portfolio of stocks and bonds that pays off H t {\displaystyle H_{t}}...
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objectively and in advance of entering each trade. By holding a diversified portfolio of individual systematic trading funds, the high level of volatility and...
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investing) is an investing strategy that tracks a market-weighted index or portfolio. Passive management is most common on the equity market, where index funds...
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