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Blog Post: TheFinancialServicesClub: Facebook banking comes of age (at last!)
Blog Post: Falkenblog: More Benefits from Overconfidence
Published / Preprint: Optimization problem under change of regime of interest rate. (arXiv:1305.7309v1 [q-fin.PM])
Published / Preprint: 03Jun/June 2013 Quarterly Review: Markets under the spell of monetary easing
Blog Post: TheAlephBlog: Advice for Aspiring Advisor

Blog Post: TheFinancialServicesClub: Facebook banking comes of age (at last!)

Posted: 03 Jun 2013 01:59 AM PDT

As some of you will have gathered, I spent most of last week in Brussels at the EFMA Distribution Week, a grand affair with almost 100 speakers on the hot topics in retail financial services over a three day period.read more...

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Blog Post: Falkenblog: More Benefits from Overconfidence

Posted: 02 Jun 2013 06:17 PM PDT

Overconfidence may cause people to invest too much in volatile stocks because such stocks have a greater diversity of beliefs, and so if people dismiss the objectively bad odds of beating the market, such people will be drawn to stocks where they are in the extremum, and highly volatile stocks have the most biased extremums. One might think these people are irrational, but in the big...

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Published / Preprint: Optimization problem under change of regime of interest rate. (arXiv:1305.7309v1 [q-fin.PM])

Posted: 02 Jun 2013 05:38 PM PDT

In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate creates incompleteness. The value function of the dual problem is proved to be solution of a BSDE and the duality between the primal and the dual value functions is exploited to study the...

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