Journal of Derivatives and Quantitative Studies: 선물연구: Volume 30 Issue 2 , Open Access

Cross-currency credit spreads: harvesting the idiosyncratic basis as a source of ARP

Karim Henide

This paper identifies the “idiosyncratic basis”, the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread…

Geometric and arithmetic realized comoments

Kwangil Bae

The author investigates realized comoments that overcome the drawback of conventional ones and derive the following findings. First, the author proves that (even generalized…

Improved iterative methods for solving risk parity portfolio

Jaehyuk Choi, Rong Chen

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to…

Liquidity constraints and optimal annuitization

Seyoung Park

In this paper, we view an individual's annuitization decision as an American style call option whose underlying asset is financial wealth, which controls the distance to…