Koray D. Simsek

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Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns. We employ a lookback straddle approach for evaluating the return characteristics of a trend following strategy. The strategies can improve investor performance in the context of a multi-period dynamic portfolio model. The gains are achieved by(More)
In this paper, in order to model breach of contract risk, we design and value a bundled option that is composed of contract abandonment and price renegotiation. We show numerically that the bundled option is more valuable for the contract than either of the options, ie, contract abandonment and price renegotiation, in isolation. This value increases(More)
Responsible investment, which includes performance in social, environmental and corporate governance issues in addition to economic performance in company valuation, has become an important agenda item in the last decade and has been changing the way people do business across the world. Without question, companies may improve their sustainability(More)
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