Monday, February 24, 2014

MoneyScience News

MoneyScience News

Published / Preprint: Densely Entangled Financial Systems. (arXiv:1402.5208v1 [q-fin.RM])

Posted: 23 Feb 2014 05:31 PM PST

In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party neighbors, a bank fails due to the counter-party risk only if at least one of its two neighbors default, and such a counter-party risk is a low probability...

Visit MoneyScience for the Complete Article.

Published / Preprint: Purchasing Life Insurance to Reach a Bequest Goal. (arXiv:1402.5300v1 [q-fin.PM])

Posted: 23 Feb 2014 05:31 PM PST

We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual's consumption is met by an income, such as a pension, life annuity, or Social Security. Then, we consider the wealth that the individual wants to devote towards heirs (separate from any wealth related to the afore-mentioned income) and find the optimal strategy for buying life insurance to...

Visit MoneyScience for the Complete Article.

Published / Preprint: Trading with Small Price Impact. (arXiv:1402.5304v1 [q-fin.PM])

Posted: 23 Feb 2014 05:31 PM PST

An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and preference parameters. These results shed light on the general structure of the problem at hand, and also...

Visit MoneyScience for the Complete Article.

Published / Preprint: Rebalancing with Linear and Quadratic Costs. (arXiv:1402.5306v1 [q-fin.PM])

Posted: 23 Feb 2014 05:31 PM PST

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk aversion and a long horizon.

Visit MoneyScience for the Complete Article.

Published / Preprint: Systemic Risk and Default Clustering for Large Financial Systems. (arXiv:1402.5352v1 [q-fin.RM])

Posted: 23 Feb 2014 05:31 PM PST

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the...

Visit MoneyScience for the Complete Article.

Published / Preprint: Technology Parks Potential for Small and Medium Enterprises. (arXiv:1402.5373v1 [q-fin.GN])

Posted: 23 Feb 2014 05:31 PM PST

Being one of the most important factors of economic growth of the country, innovations became one of the key vectors in Russian economic policy. In this field technology parks are one of the most effective instruments which can provide growth of innovative activity in sectors, regions and economies. In this paper, we made a model that allows us to evaluate the effect of technology parks in the...

Visit MoneyScience for the Complete Article.

Blog Post: ThePracticalQuant: Extending GraphLab to tables

Posted: 23 Feb 2014 10:36 AM PST

[A version of this post appears on the O'Reilly Data blog.]GraphLab's SFrame, an interesting and somewhat under-the-radar tool was unveiled1 at Strata Santa Clara. It is a disk-based, flat table representation that extends GraphLab to tabular data. With the addition of SFrame, users can leverage GraphLab's many algorithms on data stored as either graphs or tables. More importantly SFrame...

Visit MoneyScience for the Complete Article.