Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes alternantes y saltos cuando hay cambios en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa de interés, el modelo no presenta arbitraje y es completo. Se construye en detalle las estrategias replicables para opciones, y se obtiene una presentación cerrada para el precio de las opciones. Las estrategias de cubrimiento quantile para opciones son construidas. Esta metodología es aplicada al control de riesgo y fijación de precios de instrumentos de seguros.

MBA – Finanças 1995/97 working paper

O principal objectivo deste estudo centra-se no estudo da influência do capital de risco na performance das empresas que já beneficiaram deste instrumento, procurando assim enriquecer o campo de investigação, ainda incipiente, neste domínio. Tendo como enquadramento o papel daquele instrumento na intermediação financeira, a evolução do sector ao nível internacional e doméstico e sobretudo atendendo aos resultados de análises de estatística multivariada e de clusters efectuadas sobre uma amostra de empresas participadas por capital de risco em Portugal, conclui-se neste estudo que existe efectivamente um impacto relevante da sua intervenção na rentabilidade económica das empresas alvo (ROI), sendo ainda traçado o perfil destas empresa e sugeridas recomendações, não só aos operadores de capital de risco, como também às entidades intervenientes no sector, com especial destaque para o Estado, estas últimas baseadas em posições de entidades nacionais e europeias ligadas ao sector de capital de risco como a APCRI, a EVCA e a própria Comissão Europeia.

The inflation hedging characteristics of US and UK investments: a multi-factor error correction approach

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset returns. It has been argued that real estate should provide a better hedge: however, empirical results have been mixed. This paper explores the relationship between commercial real estate returns (from both private and public markets) and economic, fiscal and monetary factors and inflation for US and UK markets. Comparative analysis of general equity and small capitalisation stock returns in both markets is carried out. Inflation is subdivided into expected and unexpected components using different estimation techniques. The analyses are undertaken using long-run error correction techniques. In the long-run, once real and monetary variables are included, asset returns are positively linked to anticipated inflation but not to inflation shocks. Adjustment processes are, however, gradual and not within period. Real estate returns, particularly direct market returns, exhibit characteristics that differ from equities.

Hedging private international real estate

The performance of an international real estate investment can be critically affected by currency fluctuations. While survey work suggests large international investors with multi-asset portfolios tend to hedge their overall currency exposure at portfolio level, smaller and specialist investors are more likely to hedge individual investments and face considerable specific risk. This presents particular problems in direct real estate investment due to the lengthy holding period. Prior research investigating the issue relies on ex post portfolio measure, understating the risk faced. This paper examines individual risk using a forward-looking simulation approach to model uncertain cashflow. The results suggest that a US investor can greatly reduce the downside currency risk inherent in UK real estate by using a swap structure – but at the expense of dampening upside potential.