MoneyScience News |
- Blog Post: TheFinancialServicesClub: Do banks really need to change?
- Arthur Charpentier on Twitter
- The Astonishing Rise of Angela Merkel
- Susan Athey On How Digital Currency Could Transform Our Lives
- Here's How Fictional Dust Explains Radio Static
- How Were Rosetta/Philae Operations Scheduled? (IT Best Kept Secret Is Optimization)
- The Future of Bitcoin - The Practical Quant's blog - MoneyScience
- Published / Preprint: Risk-Sensitive Mean-Field Type Control under Partial Observation. (arXiv:1411.7231v1 [math.OC])
- Blog Post: ThePracticalQuant: The Future of Bitcoin
- Blog Post: iMFdirect: Challenges Ahead: Managing Spillovers
- Vendor News: Fidessa steps into China
- Published / Preprint: Risk minimization and portfolio diversification. (arXiv:1411.6657v1 [q-fin.PM])
- Published / Preprint: On Trading American Put Options with Interactive Volatility. (arXiv:1411.6938v1 [q-fin.PR])
- Search for topical articles, influencers and conversations
- http://www.scs.stanford.edu/~rumble/papers/latency_hotos11.pdf?utm_content=bufferf09f0&utm_medium=social&utm_source=twitter.com&utm_campaign=buffer
- Forget Bond Dealers: Trading Among Investors May Be Norm
- Interview: Spencer Greenberg, Chairman, Rebellion Research - insideBIGDATA
- Published / Preprint: Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs. (arXiv:1411.6080v1 [q-fin.MF])
- Published / Preprint: Identifying A Screening Model with Multidimensional Private Information. (arXiv:1411.6250v1 [q-fin.EC])
- Published / Preprint: On robust representation of conditional risk measures on a $L^\infty$-type module. (arXiv:1411.6256v1 [math.FA])
- Published / Preprint: How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice?
- Published / Preprint: Incentivizing Calculated Risk-Taking: Evidence from an Experiment with Commercial Bank Loan Officers
- Published / Preprint: Investment Decisions of Nonprofit Firms: Evidence from Hospitals
- Published / Preprint: Defined Contribution Pension Plans: Sticky or Discerning Money?
- Blog Post: TheAlephBlog: Lagging Long Yields
- Vendor News: November 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: November notifications 5.05%
- Published / Preprint: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization. (arXiv:1411.5453v1 [q-fin.CP])
- Published / Preprint: Two maxentropic approaches to determine the probability density of compound risk losses. (arXiv:1411.5625v1 [q-fin.RM])
- Published / Preprint: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model. (arXiv:1106.2781v2 [math.OC] UPDATED)
- Blog Post: WealthandCapitalMarketsBlog: Buy side insight for Fixed Income platforms
| Blog Post: TheFinancialServicesClub: Do banks really need to change? Posted: 28 Nov 2014 12:58 AM PST One of the comments that floated on the network in the last week was: banks can ignore digital.read more... Visit MoneyScience for the Complete Article. |
| Posted: 28 Nov 2014 12:32 AM PST MT @Ewjoachim @ramez "Is truncating the y-axis dishonest?" http://ift.tt/1zCmmHD — Arthur Charpentier (@freakonometrics) November 28, 2014 Visit MoneyScience for the Complete Article. |
| The Astonishing Rise of Angela Merkel Posted: 28 Nov 2014 12:32 AM PST "The astonishing rise of Angela Merkel, the most powerful woman in the world." http://t.co/IX0zBU60Qu — Arthur Charpentier (@freakonometrics) November 27,… Visit MoneyScience for the Complete Article. |
| Susan Athey On How Digital Currency Could Transform Our Lives Posted: 27 Nov 2014 03:01 AM PST How Digital Currency Could Transform Our Lives: Part 1 of a study - by @Susan_Athey @Forbes #Bitcoin http://t.co/MVtXoG4SQz — Michael Parsons (@BitcoinByte)… Visit MoneyScience for the Complete Article. |
| Here's How Fictional Dust Explains Radio Static Posted: 27 Nov 2014 01:47 AM PST Here's how the Cantor Set Explains Radio Static http://t.co/1ZzIfFYp6l — moneyscience (@moneyscience) November 27, 2014 Visit MoneyScience for the Complete Article. |
| How Were Rosetta/Philae Operations Scheduled? (IT Best Kept Secret Is Optimization) Posted: 27 Nov 2014 01:09 AM PST "Constraint Programming" and the Rosetta/Philae Optimisation Problem - http://t.co/51afj7QnGF @developerworks via @JFPuget — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article. |
| The Future of Bitcoin - The Practical Quant's blog - MoneyScience Posted: 27 Nov 2014 12:52 AM PST The Practical #Quant: The Future of Bitcoin http://t.co/1jhK6igP45 — moneyscience (@moneyscience) November 26, 2014 Visit MoneyScience for the Complete Article. |
| Posted: 26 Nov 2014 05:37 PM PST We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals. Visit MoneyScience for the Complete Article. |
| Blog Post: ThePracticalQuant: The Future of Bitcoin Posted: 26 Nov 2014 08:37 AM PST I'm hosting a webcast on Dec 3rd - featuring Kieren James-Lubin - titled The Future of Bitcoin, A Data-Driven Perspective:The Bitcoin ecosystem in 2014 is often compared to the internet in 1993. Taking a holistic, data-driven perspective, I'll project where Bitcoin might be in a decade. Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Challenges Ahead: Managing Spillovers Posted: 26 Nov 2014 07:04 AM PST By Olivier Blanchard, Luc Laeven, and Esteban Vesperoniread more... Visit MoneyScience for the Complete Article. |
| Vendor News: Fidessa steps into China Posted: 26 Nov 2014 01:29 AM PST |
| Posted: 25 Nov 2014 05:30 PM PST We consider the risk minimization problem, with capital at risk as the coherent measure, under the Black-Scholes setting. The problem is studied, when there exists additional correlation constraint between the desired portfolio and another financial index, and the closed form solution for the optimal portfolio is obtained. We also mention to variance reduction and getting better diversified... Visit MoneyScience for the Complete Article. |
| Posted: 25 Nov 2014 05:30 PM PST We introduce a simple stochastic volatility model, which takes into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit optimal stopping rules in various cases one of which is interestingly complex because of an unexpectedly... Visit MoneyScience for the Complete Article. |
| Search for topical articles, influencers and conversations Posted: 25 Nov 2014 02:07 PM PST 100+ leading blogs for statisticians and like-minded professionals http://t.co/PUjLqIFnND — Machine Learning (@ML_toparticles) November 25, 2014 Visit MoneyScience for the Complete Article. |
| Posted: 25 Nov 2014 04:56 AM PST #HFT redux we've crossed the chasm http://t.co/dS0MaasOMn — Graeme Burnett (@graeme_burnett) November 25, 2014 Visit MoneyScience for the Complete Article. |
| Forget Bond Dealers: Trading Among Investors May Be Norm Posted: 25 Nov 2014 04:56 AM PST Money managers may find it easier to replace their boring bond traders with computer software: http://t.co/6kEsRBXEGU — Bloomberg News (@BloombergNews)… Visit MoneyScience for the Complete Article. |
| Interview: Spencer Greenberg, Chairman, Rebellion Research - insideBIGDATA Posted: 25 Nov 2014 04:09 AM PST #MachineLearning & #BigData Interview: Spencer Greenberg, Chairman, Rebellion Research http://t.co/Tsxj8dKbjD @RebellionAI @insideBigData — Hedge Fund Focus… Visit MoneyScience for the Complete Article. |
| Posted: 24 Nov 2014 05:37 PM PST This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and switching problems admit the same optimal starting and/or stopping strategies. We rigorously prove that... Visit MoneyScience for the Complete Article. |
| Posted: 24 Nov 2014 05:37 PM PST In this paper I study nonparametric identification of a screening model when consumers have multivariate private information about their preferences. In particular, I consider the multiproduct nonlinear pricing model developed by Rochet and Chon\'e (1998), and determine conditions under which the cost function and the joint density of preferences are identified. When the utility function is... Visit MoneyScience for the Complete Article. |
| Posted: 24 Nov 2014 05:37 PM PST The purpose of this paper is to establish a robust representation theorem for conditional risk measures by using a module-based convex analysis, where risk measures are defined on a $L^\infty$-type module. We define and study a Fatou property for this kind of risk measures, which is a generalization of the already known Fatou property for static risk measures. In order to prove this robust... Visit MoneyScience for the Complete Article. |
| Posted: 24 Nov 2014 05:29 AM PST Household investment mistakes are an important concern for researchers and policymakers alike. Portfolio underdiversification ranks among those mistakes that are potentially most costly. However, its roots and empirical importance are poorly understood. I estimate quantitatively meaningful diversification statistics and investigate their relationship with key variables. Nearly all households that... Visit MoneyScience for the Complete Article. |
| Posted: 24 Nov 2014 02:18 AM PST We conduct an experiment with commercial bank loan officers to test how performance compensation affects risk assessment and lending. High-powered incentives lead to greater screening effort and more profitable lending decisions. This effect is muted, however, by deferred compensation and limited liability, two standard features of loan officer compensation contracts. We find that career concerns... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Investment Decisions of Nonprofit Firms: Evidence from Hospitals Posted: 24 Nov 2014 01:46 AM PST This paper examines investment choices of nonprofit hospitals. It tests how shocks to cash flows caused by the performance of the hospitals’ financial assets affect hospital expenditures. Capital expenditures increase, on average, by 10â€"28 cents for every dollar received from financial assets. The sensitivity is similar to that found earlier for shareholder owned corporations. Executive... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Defined Contribution Pension Plans: Sticky or Discerning Money? Posted: 24 Nov 2014 01:46 AM PST Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants’ inertia could be offset by DC plan sponsors, who adjust the plan's investment options. We examine these countervailing influences on flows into U.S. mutual funds. We find... Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: Lagging Long Yields Posted: 23 Nov 2014 12:57 AM PST I’m a very intellectually curious person — I could spend most of my time researching investing questions if I had the resources to do that and that alone. Â This post at the blog will be a little more wonky than most. Â If you don’t like reading about bonds, Fed Policy, etc., you can skip down to the conclusion and read that.read more... Visit MoneyScience for the Complete Article. |
| Posted: 21 Nov 2014 01:13 AM PST |
| Posted: 20 Nov 2014 05:37 PM PST In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. This product simultaneously deals with financial risk, mortality risk and human behaviour. We assume that market is complete in financial... Visit MoneyScience for the Complete Article. |
| Posted: 20 Nov 2014 05:37 PM PST Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the method of Maximum Entropy in the Mean (MEM). We shall verify that the reconstructions obtained satisfy... Visit MoneyScience for the Complete Article. |
| Posted: 20 Nov 2014 05:37 PM PST This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated separately in certain special cases of risk... Visit MoneyScience for the Complete Article. |
| Blog Post: WealthandCapitalMarketsBlog: Buy side insight for Fixed Income platforms Posted: 20 Nov 2014 10:37 AM PST Time keeps becoming scarcer and we all become more selective on what conference we will attend or speak at. But yesterday, as I was by chance  in Paris, I dropped by one of the potentially nth conference on fixed income, and was presently surprised by the value of its content. Congrats to Trading Screen for pulling it off.read more... Visit MoneyScience for the Complete Article. |
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