MoneyScience News |
- Published / Preprint: On a Convex Measure of Drawdown Risk. (arXiv:1404.7493v1 [q-fin.PM])
- Published / Preprint: A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility. (arXiv:1404.7632v1 [q-fin.ST])
- Published / Preprint: Predictive regressions for macroeconomic data. (arXiv:1404.7642v1 [stat.AP])
- Published / Preprint: The role of the information set for forecasting - with applications to risk management. (arXiv:1404.7653v1 [stat.AP])
- Published / Preprint: An Optimal Consumption-Investment Model with Constraint on Consumption. (arXiv:1404.7698v1 [q-fin.PM])
- Blog Post: TheAlephBlog: Redacted version of the April 2014 FOMC Statement
- Blog Post: iMFdirect: Reducing Risks in Asia with Macroprudential Policies
- Event: 4th Annual Asset & Fund Management Forum
| Published / Preprint: On a Convex Measure of Drawdown Risk. (arXiv:1404.7493v1 [q-fin.PM]) Posted: 30 Apr 2014 05:38 PM PDT Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of probabilistic risk metrics. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED is a degree one positive... Visit MoneyScience for the Complete Article.      |
| Posted: 30 Apr 2014 05:38 PM PDT We study a bivariate mean reverting stochastic volatility model, finding an explicit expression for the decay of cross-asset correlations over time. We compare our result with the empirical time series of the Dow Jones Industrial Average and the Financial Times Stock Exchange 100 in the period 1984-2013, finding an excellent agreement. The main features of the model consist in the jumps in the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Predictive regressions for macroeconomic data. (arXiv:1404.7642v1 [stat.AP]) Posted: 30 Apr 2014 05:38 PM PDT Researchers have constantly asked whether stock returns can be predicted by some macroeconomic data. However, it is known that macroeconomic data may exhibit nonstationarity and/or heavy tails, which complicates existing testing procedures for predictability. In this paper we propose novel empirical likelihood methods based on some weighted score equations to test whether the monthly CRSP... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2014 05:38 PM PDT Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts. For point forecasts, we show how the effect of increasing the information set can be quantified by using strictly consistent scoring functions, where it results in smaller average scores. Further, we show that... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Apr 2014 05:38 PM PDT A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linearly depends on the investor's wealth and bankruptcy is prohibited. The... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Redacted version of the April 2014 FOMC Statement Posted: 30 Apr 2014 11:59 AM PDT March 2014April 2014CommentsInformation received since the Federal Open Market Committee met in January indicates that growth in economic activity slowed during the winter months, in part reflecting adverse weather conditions.Information received since the Federal Open Market Committee met in March indicates that growth in economic activity has picked up recently, after having slowed sharply... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Reducing Risks in Asia with Macroprudential Policies Posted: 30 Apr 2014 07:39 AM PDT By Edda Zoliread more... Visit MoneyScience for the Complete Article.    |
| Event: 4th Annual Asset & Fund Management Forum Posted: 23 Apr 2014 12:45 PM PDT Location: Vienna, Austria; Date: May 27th, 2014; WHO WILL ATTENDread more... Visit MoneyScience for the Complete Article.    |
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