Tuesday, January 22, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Stop talking about mobile, it's not important

Posted: 22 Jan 2013 04:33 AM PST

My latest presentation is apparently a polemic.read more...

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Blog Post: TheAlephBlog: 2012 Financial Report of the US Government

Posted: 22 Jan 2013 02:26 AM PST

I have written about this overlooked report for about ten years now.  I feel like a lonely warrior defending a tough location, with little assistance. If I could give a subtitle here, I would call it “Lies of the Past, Present, and Future.”  If I were more poetic, I would call it, “The end of a once Great Nation, Bedeviled with Corruption.”read more...

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Vendor News: Banchile se suma a la plataforma de negociación de Fidessa para potenciar negocios institucionales

Posted: 22 Jan 2013 01:11 AM PST

Blog Post: Falkenblog: CBO Shenanigans

Posted: 21 Jan 2013 06:55 PM PST

The US budget deficit has been large for quite a while, and there doesn't seem to be a lot in terms of revenue increases or expenditure cuts in the pipeline. Consider that in the latest budget deal, tax hikes will raise $22 billion this year, while the special-interest business and energy tax credits will reduce revenue by $65 billion. Thus, I was surprised to see this chart from our...

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Published / Preprint: Homogeneously Saturated Model for Development in Time of the Price of an Asset. (arXiv:1301.4519v1 [q-fin.PR])

Posted: 21 Jan 2013 05:34 PM PST

The time development of the price of a financial asset is considered by constructing and solving Langevin equations for a homogeneously saturated model, and for comparison, for a standard model and for a logistic model. The homogeneously saturated model uses coupled rate equations for the money supply and for the price of the asset, similar to the coupled rate equations for population inversion...

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Published / Preprint: Ambiguous volatility and asset pricing in continuous time. (arXiv:1301.4614v1 [q-fin.PR])

Posted: 21 Jan 2013 05:34 PM PST

This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Ambiguous volatility implies market incompleteness that rules out perfect...

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Published / Preprint: Measuring Model Risk. (arXiv:1301.4832v1 [q-fin.RM])

Posted: 21 Jan 2013 05:34 PM PST

We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible distributions defined in terms of some divergence from an estimated distribution. The divergence may be relative entropy, a Bregman distance, or an $f$-divergence....

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Published / Preprint: A simple time-consistent model for the forward density process. (arXiv:1301.4869v1 [q-fin.PR])

Posted: 21 Jan 2013 05:34 PM PST

In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with empirical findings from option price data. The model is constructed with the aim of being both simple and realistic, and avoid the need for frequent re-calibration....

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Published / Preprint: On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks. (arXiv:1301.4881v1 [q-fin.GN])

Posted: 21 Jan 2013 05:34 PM PST

The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern portfolio theory in the investment economy. We use the learning analytics together with the integrative creative imperative intelligent conceptual co-lateral...

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Blog Post: ThePracticalQuant: 2012 Hedge Fund Performance

Posted: 21 Jan 2013 08:48 AM PST

Another year of paltry returns, capping a mediocre five-year stretch, it's getting harder for Hedge Funds managers to justify those management fees! For many Hedge Fund managers 2012 was even worse than 2011. Many lagged behind the S&P 500, which gained double-digits in 2012. (Click to enlarge) Over the most recent 2-year period ending in Dec/2012, many trailed the S&P 500, and few produced...

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Published / Preprint: Do entrepreneurs matter? (CEPR DP9295)

Posted: 21 Jan 2013 05:28 AM PST

Do entrepreneurs matter? Author(s): Sascha O. Becker, Hans K Hvide CEPR Discussion Paper Number 9295 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), Industrial Organization (IO), Labour Economics (LE) Date of Publication: 20/01/2013 Keyword(s): entrepreneurship, firm performance, human capital JEL(s): D21, D24,...

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Published / Preprint: A Theory of Asset Prices based on Heterogeneous Information (CEPR DP9291)

Posted: 21 Jan 2013 05:28 AM PST

A Theory of Asset Prices based on Heterogeneous Information Author(s): Elias Albagli, Christian Hellwig, Aleh Tsyvinski CEPR Discussion Paper Number 9291 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM) Date of Publication: 20/01/2013 Keyword(s): asset prices, information...

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