38 citations · 106 across the 20 of their papers we have counts for
4 papers · 1 filter
Growth Optimal Investment and Pricing of Derivatives
Erik Aurell, Roberto Baviera, Ola Hammarlid +2
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why the…
Transaction costs: a new point of view
R. Baviera
We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the qu…
Markovian approximation in foreign exchange markets
R. Baviera, D. Vergni, A. Vulpiani
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters netw…
Efficiency in foreign exchange markets
R. Baviera, M. Pasquini, M. Serva +2
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We intr…