MoneyScience News

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• Blog Post: TheFinancialServicesClub: More debate about the shift to mobile
• Published / Preprint: COMMENT ON âSKEWNESSâAWARE ASSET ALLOCATIONâ
• Published / Preprint: MARKETS FOR INFLATIONâINDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY
• Published / Preprint: OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
• Published / Preprint: OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
• Published / Preprint: OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISKâAVERSE INVESTOR
• Published / Preprint: A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORALâHAZARD ECONOMY WITH FINANCIAL MARKETS
• Blog Post: TheAlephBlog: Book Review: The Art of Value Investing
• Published / Preprint: The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments. (arXiv:1306.0938v1 [stat.AP])
• Published / Preprint: A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?. (arXiv:1306.0966v1 [q-fin.RM])
• Published / Preprint: Volatility in options formulae for general stochastic dynamics. (arXiv:1306.0980v1 [q-fin.PR])
• Published / Preprint: An alternative proof of a result of Takaoka. (arXiv:1306.1062v1 [math.PR])
• Call for Papers, "IMA Conference on Mathematics in Finance", 2013, Edinburgh, UK #quant @TCJUK http://t.co/5PoLUumQ

Blog Post: TheFinancialServicesClub: More debate about the shift to mobile Posted: 06 Jun 2013 12:50 AM PDT A final presentation from EFMA week that I need to reference before moving on came from Eric Mackor, Head of Channel Development at the Netherlands Retail Bank ABN AMRO (as opposed to the transaction bank part of ABN AMRO that was acquired by the Royal Bank of Scotland).read more... Visit MoneyScience for the Complete Article.

Published / Preprint: COMMENT ON âSKEWNESSâAWARE ASSET ALLOCATIONâ Posted: 05 Jun 2013 11:22 PM PDT This paper discusses risk measures proposed by Low et al. One of their new risk measures is skewness‐aware deviation, which is closely related to constant absolute risk aversion utility functions. This measure captures downside risk more effectively than traditional variance does. The authors also propose a second measure, skewness‐aware variance, which is derived from skewness‐aware... Visit MoneyScience for the Complete Article.

Published / Preprint: MARKETS FOR INFLATIONâINDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY Posted: 05 Jun 2013 11:10 PM PDT We consider a continuous‐time framework featuring a central bank, private agents, and a financial market. The central bank's objective is to maximize a functional, which measures the classical trade‐off between output and inflation over time plus income from the sales of inflation‐indexed bonds minus payments for the liabilities that the inflation‐indexed bonds produce at maturity.... Visit MoneyScience for the Complete Article.

Published / Preprint: OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS Posted: 05 Jun 2013 11:10 PM PDT Abstract An investor with constant absolute risk aversion trades a risky asset with general Itô‐dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading‐order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless optimizer. By applying these results in the presence of a random... Visit MoneyScience for the Complete Article.

Published / Preprint: OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS Posted: 05 Jun 2013 11:10 PM PDT We consider the problem of optimal investment when agents take into account their relative performance by comparison to their peers. Given N interacting agents, we consider the following optimization problem for agent i, : read more... Visit MoneyScience for the Complete Article.

Published / Preprint: OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISKâAVERSE INVESTOR Posted: 05 Jun 2013 11:10 PM PDT In a limit order book model with exponential resilience, general shape function, and an unaffected stock price following the Bachelier model, we consider the problem of optimal liquidation for an investor with constant absolute risk aversion. We show that the problem can be reduced to a two‐dimensional deterministic problem which involves no buy orders. We derive an explicit expression for the... Visit MoneyScience for the Complete Article.

Published / Preprint: A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORALâHAZARD ECONOMY WITH FINANCIAL MARKETS Posted: 05 Jun 2013 10:50 PM PDT Abstract We present a general equilibrium model of a moral‐hazard economy with many firms and financial markets, where stocks and bonds are traded. Contrary to the principal‐agent literature, we argue that optimal contracting in an infinite economy is not about a tradeoff between risk sharing and incentives, but it is all about incentives. Even when the economy is finite, optimal contracts do... Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Book Review: The Art of Value Investing Posted: 05 Jun 2013 10:20 PM PDT read more... Visit MoneyScience for the Complete Article.

Published / Preprint: The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments. (arXiv:1306.0938v1 [stat.AP]) Posted: 05 Jun 2013 05:39 PM PDT Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to estimate an informative set of asset weights is highly desirable for analysis. We present a compositional state space model for estimation of an investment portfolio's unobserved asset allocation weightings on a set of... Visit MoneyScience for the Complete Article.

Published / Preprint: A Financial Risk Analysis: Does the 2008 Financial Crisis Give Impact on Weekends Returns of the U.S. Movie Box Office?. (arXiv:1306.0966v1 [q-fin.RM]) Posted: 05 Jun 2013 05:39 PM PDT The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on USD 3.4 trillion losses from financial institutions around the world between 2007 and 2010. Does the crisis give impact on the returns of the U.S. movie Box Office?... Visit MoneyScience for the Complete Article.

Published / Preprint: Volatility in options formulae for general stochastic dynamics. (arXiv:1306.0980v1 [q-fin.PR]) Posted: 05 Jun 2013 05:38 PM PDT It is well-known that the Black-Scholes formula has been derived under the assumption of constant volatility in stocks. In spite of evidence that this parameter is not constant, this formula is widely used by financial markets. This paper addresses the question of whether an alternative model for stock price exists for which the Black-Scholes or similar formulae hold. The results obtained in this... Visit MoneyScience for the Complete Article.

Published / Preprint: An alternative proof of a result of Takaoka. (arXiv:1306.1062v1 [math.PR]) Posted: 05 Jun 2013 05:38 PM PDT In Karatzas and Kardaras's paper on semimartingale financial models, it is proved that the NUPBR condition is a property of the local characteristic of the asset process alone. In Takaoka's paper on NUPBR, it is proved that the NUPBR condition is equivalent to the existence of a simga-martingale deflator. However, Takaoka's paper founds its proof on Delbaen and Schachermayer's fundamental asset... Visit MoneyScience for the Complete Article.

Call for Papers, "IMA Conference on Mathematics in Finance", 2013, Edinburgh, UK #quant @TCJUK http://t.co/5PoLUumQ Posted: 24 Oct 2012 08:00 AM PDT moneyscience: Call for Papers, "IMA Conference on Mathematics in Finance", 2013, Edinburgh, UK #quant @TCJUK http://t.co/5PoLUumQ Visit MoneyScience for the Complete Article.

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