MoneyScience News |
- Published / Preprint: The role of information in a two-traders market. (arXiv:1402.6204v1 [q-fin.CP])
- Published / Preprint: Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift. (arXiv:1402.6313v1 [q-fin.PM])
- Published / Preprint: Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes. (arXiv:1101.0446v2 [q-fin.PR] UPDATED)
- Published / Preprint: Bond Supply and Excess Bond Returns
- Published / Preprint: Expectations of Returns and Expected Returns
- Published / Preprint: Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
- Published / Preprint: Preventing Zombie Lending
- Blog Post: TheFinancialServicesClub: A banking system designed for a USB stick
| Posted: 25 Feb 2014 05:39 PM PST In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this... Visit MoneyScience for the Complete Article.      |
| Posted: 25 Feb 2014 05:39 PM PST This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns and expert opinions. The latter provide at discrete time points an unbiased estimate of the current state of the drift. Nevertheless, the drift can only be... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Feb 2014 05:39 PM PST Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bond Supply and Excess Bond Returns Posted: 25 Feb 2014 06:55 AM PST We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Expectations of Returns and Expected Returns Posted: 25 Feb 2014 06:55 AM PST We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence is... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Feb 2014 06:55 AM PST We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Preventing Zombie Lending Posted: 25 Feb 2014 06:55 AM PST Because of limited liability, insolvent banks have an incentive to continue lending to insolvent borrowers, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem. The scheme would induce banks to reveal their bad loans, which can then be dealt with. Bank participation in the scheme would... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: A banking system designed for a USB stick Posted: 25 Feb 2014 06:50 AM PST I often wonder if I’m actually telling the truth when I have a go at banks for being slow to change and poor with technology. They can’t be that bad can they?read more... Visit MoneyScience for the Complete Article.    |
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