MoneyScience News |
- Blog Post: TheFinancialServicesClub: That rocky rollercoaster called #Bitcoin
- Published / Preprint: A statistical equilibrium representation of markets as complex networks. (arXiv:1307.0817v1 [q-fin.GN])
- Published / Preprint: Maximization of recursive utilities under convex portfolio constraints. (arXiv:1307.0872v1 [math.PR])
- Blog Post: iMFdirect: Strengthening the Foundations for Fiscal Policymaking: A New Fiscal Transparency Code
- Published / Preprint: Assessing Financial Model Risk. (arXiv:1307.0684v1 [q-fin.RM])
- Published / Preprint: Explicit Description of HARA Forward Utilities and Their Optimal Portfolios. (arXiv:1307.0785v1 [q-fin.GN])
| Blog Post: TheFinancialServicesClub: That rocky rollercoaster called #Bitcoin Posted: 04 Jul 2013 01:40 AM PDT I keep thinking I should stop blogging about Bitcoin, as I’ve written so much about it already:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 03 Jul 2013 05:40 PM PDT We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. In this way, starting from economic reasoning, we obtain a sound interpretation of the typical network variables in terms of thermodynamic quantities together with a strong consistency with microeconomic theory, and in particular with Walrasian general... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Jul 2013 05:40 PM PDT We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation (BSDE in short). We characterize the optimal control by using the duality method and deriving a dynamic maximum... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Jul 2013 06:57 AM PDT By Min Zhuread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Assessing Financial Model Risk. (arXiv:1307.0684v1 [q-fin.RM]) Posted: 03 Jul 2013 05:28 AM PDT Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Jul 2013 05:28 AM PDT This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of these forward utilities are explicitly described. Our approach is based on the... Visit MoneyScience for the Complete Article.    |
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