MoneyScience News |
- Published / Preprint: Reference Vectors in Economic Choice. (arXiv:1402.3424v1 [q-fin.GN])
- Published / Preprint: Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time. (arXiv:1402.3464v1 [q-fin.PM])
- Published / Preprint: News Cohesiveness: an Indicator of Systemic Risk in Financial Markets. (arXiv:1402.3483v1 [cs.SI])
- Published / Preprint: Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization. (arXiv:1402.3560v1 [q-fin.RM])
- Published / Preprint: Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching. (arXiv:1402.3562v1 [q-fin.RM])
- Blog Post: ThePracticalQuant: Bridging the gap between research and implementation
| Published / Preprint: Reference Vectors in Economic Choice. (arXiv:1402.3424v1 [q-fin.GN]) Posted: 16 Feb 2014 05:38 PM PST In this paper the introduction of notion of reference vector paves the way for a combination of classical and social approaches in the framework of referential preferences given by matrix groups. It is shown that individual demand issue from rational decision does not depend on that reference. Visit MoneyScience for the Complete Article.      |
| Posted: 16 Feb 2014 05:38 PM PST Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asymmetric" downside risks that the investment return is below certain threshold. Among the existing downside risk measures, the lower-partial moments (LPM) and conditional value-at-risk (CVaR) are probably most promising.... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2014 05:38 PM PST Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic risk... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2014 05:38 PM PST Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solution to... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Feb 2014 05:38 PM PST We generalize Merton's framework by incorporating an insurable loss. Motivated by new insurance products, we allow not only the financial market but also the insurable loss to depend on the regime of the economy. An investor wants to select an optimal consumption, investment, and insurance policy that maximizes his expected total discounted utility of consumption over an infinite time horizon.... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Bridging the gap between research and implementation Posted: 16 Feb 2014 10:46 AM PST [A version of this post appears on the O'Reilly Data blog.]One of the most popular offerings at Strata Santa Clara was Hardcore Data Science day. Over the next few weeks we hope to profile some of the speakers who presented, and make the video of the talks available as a bundle. In the meantime here are some notes and highlights from a day packed with great talks.Data StructuresWe've come to... Visit MoneyScience for the Complete Article.    |
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