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April 06, 2007

PRMIA Institute Awards Best Paper in Derivatives at 2007 Midwest Finance Association Annual Conference

Last week at the 2007 Midwest Finance Association's Annual Conference, the award for Best Paper in Derivatives was given to Beate Breuer, Goethe University, Frankfurt, Nicole Branger, Westfaelische Wilhelms-Universitaet, Muenster and Christian Schlag, Goethe University, Frankfurt for their paper "Discrete-Time Implementation of Continuous-Time Portfolio Strategies". This award is sponsored by the PRMIA Institute.

According to the paper's abstract, since trading cannot take place continuously, the optimal portfolio calculated in a continuous-time model cannot be held, but the investor has to implement the continuous-time strategy in discrete time. This leads to the question how severe the resulting discretization error is. The paper analyzes this question in a simulation study for a variety of models.

Download the paper by clicking here.

The PRMIA Institute will be sponsoring the same award at the 2008 Midwest Finance Association's Annual Conference in San Antonio. For more information on this program, please visit www.mfa-2008.com

Posted by dkoenig at April 6, 2007 03:08 PM

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