MoneyScience News |
- Blog Post: TheAlephBlog: On Captive Insurers
- Blog Post: TheFinancialServicesClub: How important is real-time?
- Published / Preprint: Explicit solution to an inverse first-passage time problem for L\'{e}vy processes. Application to counterparty credit risk. (arXiv:1306.2719v1 [math.PR])
- Published / Preprint: Mean-Variance and Expected Utility: The Borch Paradox. (arXiv:1306.2728v1 [stat.ME])
- Published / Preprint: Robust Portfolios and Weak Incentives in Long-Run Investments. (arXiv:1306.2751v1 [q-fin.PM])
- Published / Preprint: On the probability density function of baskets. (arXiv:1306.2793v1 [math.PR])
- Published / Preprint: Asymptotics for Fixed Transaction Costs. (arXiv:1306.2802v1 [q-fin.PM])
- Published / Preprint: Systemic risk and spatiotemporal dynamics of the US housing market. (arXiv:1306.2831v1 [q-fin.ST])
- Published / Preprint: VWAP execution and guaranteed VWAP. (arXiv:1306.2832v1 [q-fin.TR])
- Published / Preprint: Bayesian inference for CoVar. (arXiv:1306.2834v1 [stat.ME])
| Blog Post: TheAlephBlog: On Captive Insurers Posted: 13 Jun 2013 02:30 AM PDT Sometimes, when I see an insurance article that could be big, relevant, and tough to explain, I say to myself, “Dave, you’re going to have to write about that.” But now, I get requests via email to write about it.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: How important is real-time? Posted: 13 Jun 2013 01:59 AM PDT This is a question that comes up more and more, and there’s an easy answer: it’s very important; and a harder answer: it’s not always important; and this is a key discussion in the context of immediate payments, something that is getting talked about more and more.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2013 05:39 PM PDT For a given Markov process $X$ and survival function $\ovl H$ on $\mbb R_+$, the {\em inverse first-passage time problem} (IFPT) is to find a barrier function $b:\mbb R_+\to[-\infty,+\infty]$ such that the survival function of the first-passage time $\tau_b=\inf\{t\ge0: X(t) \leq b(t)\}$ is given by $\ovl H$. In this paper we consider a... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2013 05:39 PM PDT The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others. This is less the case, however, in financial economics and mathematical finance, where investment decisions are commonly based on the methods of mean-variance (MV) introduced in the 1950s by Markowitz. Under the MV framework, each... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2013 05:39 PM PDT When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage-free, frictionless, semimartingale model. As a consequence, optimal portfolios are robust to the perturbations in preferences induced by... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On the probability density function of baskets. (arXiv:1306.2793v1 [math.PR]) Posted: 12 Jun 2013 05:39 PM PDT The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In this note we discuss short time and small volatility expansions, respectively. The method works for... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Asymptotics for Fixed Transaction Costs. (arXiv:1306.2802v1 [q-fin.PM]) Posted: 12 Jun 2013 05:39 PM PDT An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy. Visit MoneyScience for the Complete Article.    |
| Posted: 12 Jun 2013 05:39 PM PDT Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the Random Matrix Theory (RMT). We identify rich economic information in the largest eigenvalues deviating... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: VWAP execution and guaranteed VWAP. (arXiv:1306.2832v1 [q-fin.TR]) Posted: 12 Jun 2013 05:39 PM PDT If optimal liquidation using VWAP strategies has been considered in the literature, it has never been considered in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and no pricing of guaranteed VWAP contract is provided. In this article, we develop a model to price guaranteed VWAP contracts in the most general framework... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bayesian inference for CoVar. (arXiv:1306.2834v1 [stat.ME]) Posted: 12 Jun 2013 05:39 PM PDT Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk management tools fail to account for potential spillover effects among institutions because they... Visit MoneyScience for the Complete Article.    |
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