46 research outputs found
THE CHEAPEST HEDGE:A PORTFOLIO DOMINANCE APPROACH
Investors often wish to insure themselves against the payoff of their portfolios falling below a certain value. One way of doing this is by purchasing an appropriate collection of traded securities. However, when the derivatives market is not complete, an investor who seeks portfolio insurance will also be interested in the cheapest hedge that is marketed. Such insurance will not exactly replicate the desired insured-payoff, but it is the cheapest that can be achieved using the market. Analytically, the problem of finding a cheapest insuring portfolio is a linear programming problem. The present paper provides an alternative portfolio dominance approach to solving the minimum-premium insurance portfolio problem. This affords remarkably rich and intuitive insights to determining and describing the minimum-premium insurance portfolios.
Erratum: De-Linking from Western Epistemologies: Using Guanxi -Type Relationships to Attract and Retain Hotel Guests in the Middle East (Management and Organization Review (2021) DOI: 10.1017/mor.2021.21)
On uniqueness of equilibrium in the Kyle model
A longstanding unresolved question is whether the one-period Kyle model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by Kyle (Econometrica 53:1315–1335, 1985). This note advances what is known about this open problem
Effect of Dangling Bonds on De-Poling Time for Polymeric Electric Field Optical Sensors
This paper investigates the possible chemical changes in polydimethylsiloxane (PDMS) caused by two different techniques of fabrication for ultra-sensitive electric field optical sensors. The sensing element is a micro-sphere made from 60:1 PDMS (60 parts base silicon elastomer to one part polymer curing agent by volume). The measurement principle is based on the morphology dependent resonances (MDR) shifts of the micro-sphere. We present the effects of curing and poling of polymer micro-spheres used as optical sensors. The degree of curing leads to changes in the de-poling time which results from dangling bonds in the polymeric chains. Consequently, the longevity of the sensitivity of the sensor can extended by two orders of magnitude. An analysis is carried out along with preliminary experiments to investigate that behavior