Mathematical and Statistical Methods for Actuarial Sciences and Finance

264 Claudio Pizzi researchers’ interest has mainly been tuned to the problem of estimating the cointe- gration relationship (it ...

Nonlinear cointegration in financial time series 265 2 Nonlinear cointegration LetXt,Yt:t= 1 ,...,Tbe the realisation of two int ...

266 Claudio Pizzi the case of homoscedasticity, a constant weight is assigned to each piece of available sample data. On the con ...

Nonlinear cointegration in financial time series 267 3 An application to a financial time series To verify whether there is coin ...

268 Claudio Pizzi In this paper the test of hypothesis of cointegration has been restricted to analysing the relationships betwe ...

Nonlinear cointegration in financial time series 269 cointegration, as presented in the previous section, we adapted the two-sta ...

270 Claudio Pizzi Figure 1 shows the time series of the price of the stocks considered, i.e., Ford Motor (F) and Motorola Inc. ( ...

Nonlinear cointegration in financial time series 271 Lee, Y.S., Kim, T.H., Newbold, P.: Spurious nonlinear regressions in econo ...

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Optimal dynamic asset allocation in a non–Gaussian world Gianni Pola Abstract.Asset Allocation deals with how to combine securit ...

274 Gianni Pola In this paper we consider the Optimal Dynamic Asset Allocation (ODAA) problem from a Control System Theory persp ...

Optimal dynamic asset allocation in a non–Gaussian world 275 uk∈Uk⊆Rmis the control input, representing the portfolio allocatio ...

276 Gianni Pola Problem 1.(Optimal Dynamic Asset Allocation (ODAA))Given a finite time horizon N∈Nand a sequence of target sets ...

Optimal dynamic asset allocation in a non–Gaussian world 277 Theorem 1.The optimal value of the ODAA Problem is equal to [18] p∗ ...

278 Gianni Pola Ta b le 1 .Probabilistic model assumptions CB E return (ann) 3.24% 5.46% 10.62% vol (ann) 0% 4.45% 14.77% skewne ...

Optimal dynamic asset allocation in a non–Gaussian world 279 C B E 50% 100% 0 0.98^ 1.001.021.041.061.081.101.121.14 50% 100% 1 ...

280 Gianni Pola Ta b le 2 .Maximal probabilitiesp∗ 3m 1m 2w 1w Probability 68.40% 72.50% 76.28% 77.76% concavestrategies.^4 This ...

Optimal dynamic asset allocation in a non–Gaussian world 281 4 Conclusions In this paper we considered the Optimal Dynamic Asset ...

282 Gianni Pola References Abate, A.: Probabilistic Reachability for Stochastic Hybrid Systems: Theory, Computa- tions, and App ...

Fair costs of guaranteed minimum death benefit contracts Franc ̧ois Quittard-Pinon and Rivo Randrianarivony Abstract.The authors ...