4 papers
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price t…
A Proposal for Multi-asset Generalised Variance Swaps
Subhojit Biswas, Diganta Mukherjee
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price…
Discrete time portfolio optimisation managing value at risk under heavy tail return distribution
Subhojit Biswas, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at…
Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle
Subhojit Biswas, Mrinal K. Ghosh, Diganta Mukherjee
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to managing the…