MoneyScience News |
- Published / Preprint: 25Jun/Basel Committee concludes assessment of Basel III capital regulations in Switzerland
- Blog Post: TheFinancialServicesClub: Things worth reading: 25th June 2013
- Published / Preprint: Factorising equity returns in an emerging market through exogenous shocks and capital flows. (arXiv:1306.5302v1 [q-fin.PR])
- Published / Preprint: Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation. (arXiv:1306.5510v1 [q-fin.RM])
- Published / Preprint: Computational Dynamic Market Risk Measures in Discrete Time Setting. (arXiv:1306.5705v1 [q-fin.RM])
- Blog Post: iMFdirect: For Richer, Not Poorer: Energy Subsidies in India
- Blog Post: Falkenblog: A Premium for Negative Skew?
- Call for Papers: "European Financial Management Association 2013 Annual Meetingâ http://t.co/YzMNM0nc
| Posted: 25 Jun 2013 12:58 AM PDT Press release about "Basel Committee concludes assessment of Basel III capital regulations in Switzerland" (25 June 2013) Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 25th June 2013 Posted: 25 Jun 2013 12:20 AM PDT Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2013 05:38 PM PDT A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African market in terms of distribution of capital, change of stock ranks in portfolios, and... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2013 05:38 PM PDT In this paper, we obtain a property of the expectation of the inverse of compound Wishart matrices which results from their orthogonal invariance. Using this property as well as results from random matrix theory (RMT), we derive the asymptotic effect of the noise induced by estimating the covariance matrix on computing the risk of the optimal portfolio. This in turn enables us to get... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jun 2013 05:38 PM PDT Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representation. The proposed approach is to be implementable and to inherit properties... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: For Richer, Not Poorer: Energy Subsidies in India Posted: 24 Jun 2013 12:56 PM PDT By David Coady and Thomas Richardson*read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: A Premium for Negative Skew? Posted: 24 Jun 2013 06:30 AM PDT Xiong, Idzorek, and Ibbotson have a new paper coming out in the JPM showing that mutual funds with the highest tail risk (ie, highest probability of extreme downside returns) have higher returns. That is, there's a positive risk premium to negative skew. This is rather curious.The only thing I saw in this field related to this found the opposite. That is, in a 2006 JoF paper, Kosowski,... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: “European Financial Management Association 2013 Annual Meeting†http://t.co/YzMNM0nc Visit MoneyScience for the Complete Article.    |
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