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Positive Weights on the Efficient Frontier
Positive Weights on the Efficient Frontier This abstract describes a paper that derives a simple explicit solution for an efficient portfolio with positive weights. efficient frontier;weights; ...- Authors: Phelim Boyle
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Capital - Annuities; Annuities>Pricing - Annuities
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On the Confidence Interval of Black-Scholes Model
On the Confidence Interval of Black-Scholes Model This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy.- Authors: Phelim Boyle, Hailiang Yang
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Bounds on Multiple Contingent Claims
Bounds on Multiple Contingent Claims These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option ...- Authors: Phelim Boyle, Xiaodong Sheldon Lin
- Date: Jan 1997
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Measuring and managing systemic risk
Measuring and managing systemic risk This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' to measure systemic risk and endogenizes ...- Authors: Phelim Boyle, Joseph Hyun-Tae Kim
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Capital management - ERM; Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systemic risk
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Abstracts from Various Actuarial Research
Abstracts from Various Actuarial Research A listing of abstracts from a variety of actuarial research. 18970 5/14/2013 12:00:00 AM ...- Authors: Phelim Boyle, Calvin D Cherry, Mark Evans, Farrokh Guiahi, Charles E Johnson, Karl K S Lee, Harry H Panjer, Lee M Tang, Basil A Xavier, Murray Silver, Walter J Mays
- Date: May 2013