Risk-Neutral vs. Physical Return Densities
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (30 April 2019) | Viewed by 272
Special Issue Editor
Interests: Quantitative finance; esp. asset allocation; portfolio management; pension finance; derivatives pricing and financial engineering; empirical research in financial markets; scenario generation and stochastic optimization
Special Issue Information
Dear Colleagues,
Various techniques have been proposed in the literature to extract risk-neutral return densities from derivatives prices. However, for many applications outside of asset pricing, such as forecasting, portfolio management, or risk management, it is the physical (real-world) density that is primarily of interest. Except for quite restrictive assumptions, little is known in general about the relation between physical (real-world) and risk-neutral asset return densities. Stephen Ross' Recovery Theorem has reignited and further spurred interest in this field, but despite its theoretical appeal, the practical implementation of Ross’ results has proven to be difficult. In sum, there are many open questions in this field that are yet to be investigated.
For this Special Issue, we invite contributions dealing with the relation between risk-neutral and physical (real-world) asset return densities, either from a theoretical or from an empirical point of view.
Prof. Dr. Michael Hanke
Guest Editor
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
Keywords
- risk-neutral return densities
- physical return densities
- Ross Recovery Theorem
- information extraction from asset prices
- implied risk-neutral densities
Benefits of Publishing in a Special Issue
- Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
- Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
- Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
- External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
- e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.
Further information on MDPI's Special Issue polices can be found here.
