Tuesday, March 12, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Fixing Our Banks: Part Four - the Employee's View

Posted: 12 Mar 2013 01:33 AM PDT

Following on from dialogue about the bank and shareholder views, the employee’s view of fixing our banks was presented by Dominic Hook, Head of the Finance and Legal Sector for the Unite union.  read more...

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Blog Post: TheAlephBlog: Shrinking Economies Deserve Gridlock

Posted: 11 Mar 2013 10:34 PM PDT

This will be very short.  Growth solves a multitude of economic sins.  So what prevents countries from encouraging growth?read more...

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Blog Post: Falkenblog: Low Vol Makes Comeback in YTD Total Returns

Posted: 11 Mar 2013 07:12 PM PDT

In this year's bull market, low beta portfolios have been doing quite well.  My own Minimum Variance Portfolio, taken using 50 constituents of the SP500, has outperformed the SP500 by just about the same amount as the SPLV ETF (which takes the 100 stocks with the lowest volatility). It seems that low beta portfolios were insulated against that mini bear market of a couple weeks ago.  

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Published / Preprint: Econophysics of adaptive power markets: When a market does not dampen fluctuations but amplifies them. (arXiv:1303.2110v1 [q-fin.TR])

Posted: 11 Mar 2013 05:37 PM PDT

The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive notion is to dampen electric power fluctuations from fluctuating sources (as e.g. wind or solar) via a market mechanism, namely by variable power prices that adapt...

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Published / Preprint: Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions. (arXiv:1303.2513v1 [q-fin.PM])

Posted: 11 Mar 2013 05:37 PM PDT

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem into...

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