MoneyScience News |
- The Financial Education Daily is out! http://t.co/mgDaff68 ⸠Top stories today via @BGIedu
- Published / Preprint: A unified approach to pricing and risk management of equity and credit risk. (arXiv:1212.5395v1 [q-fin.PR])
- Published / Preprint: Multi-portfolio time consistency for set-valued convex and coherent risk measures. (arXiv:1212.5563v1 [q-fin.RM])
- Blog Post: Falkenblog: Ben Graham: Relative Utility Investor
- MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @EpicureanDeal @ericjackson
| Posted: 24 Dec 2012 12:07 AM PST BusinessSchools: The Financial Education Daily is out! http://t.co/mgDaff68 â–¸ Top stories today via @BGIedu Visit MoneyScience for the Complete Article.      |
| Posted: 23 Dec 2012 05:31 PM PST We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions between the defaultable stock price, its stochastic volatility and the default intensity, while maintaining full analytical tractability. We characterise all... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Dec 2012 05:31 PM PST Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on L^p_d. In the convex case, multi-portfolio time consistency is equivalent to a condition on the sum of minimal penalty functions. The proof of this results is entirely different from the proof in the scalar case as the scalar method cannot be applied here. In the... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Ben Graham: Relative Utility Investor Posted: 23 Dec 2012 05:14 PM PST One of my themes in The Missing Risk Premium is that people i people are benchmarking--aka relative utility investors--then they only deviate from the benchmark of what everyone else is doing when they feel they have an edge. There's no other reason to do so. As many people falsely believe they have an edge in highly risky (antifragile?) stocks, this causes these securities to have... Visit MoneyScience for the Complete Article.    |
| MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @EpicureanDeal @ericjackson Posted: 23 Dec 2012 07:46 AM PST moneyscience: MoneyScience Daily is out! http://t.co/aGkJAVQE â–¸ Top stories today via @EpicureanDeal @ericjackson Visit MoneyScience for the Complete Article.    |
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