MoneyScience News |
- Published / Preprint: Fragility of the Commons under Prospect-Theoretic Risk Attitudes. (arXiv:1408.5951v1 [cs.GT])
- Published / Preprint: Duality Theory for Portfolio Optimisation under Transaction Costs. (arXiv:1408.5989v1 [q-fin.MF])
- Published / Preprint: A Framework of Conjugate Direction Methods for Symmetric Linear Systems in Optimization. (arXiv:1408.6043v1 [math.NA])
- Published / Preprint: Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation. (arXiv:1408.6070v1 [q-fin.PM])
- Published / Preprint: VWAP Execution as an Optimal Strategy. (arXiv:1408.6118v1 [q-fin.TR])
- Published / Preprint: Game theory analysis for carbon auction market through electricity market coupling. (arXiv:1408.6122v1 [q-fin.MF])
- Blog Post: TheFinancialServicesClub: Part Three: Banking on Demand - the Customer Focused Bank
- Blog Post: TheAlephBlog: Return to Behemoth Stocks
| Posted: 27 Aug 2014 02:50 AM PDT We study a common-pool resource game where the resource experiences failure with a probability that grows with the aggregate investment in the resource. To capture decision making under such uncertainty, we model each player's risk preference according to the value function from prospect theory. We show the existence and uniqueness of a pure strategy Nash equilibrium when the players have... Visit MoneyScience for the Complete Article.      |
| Posted: 27 Aug 2014 02:50 AM PDT For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual optimiser as well as a shadow price process in a generalised sense. This shadow price is defined via a "sandwiched" process consisting of a predictable and an optional strong supermartingale and pertains to all... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Aug 2014 02:50 AM PDT In this paper we introduce a parameter dependent class of Krylov-based methods, namely CD, for the solution of symmetric linear systems. We give evidence that in our proposal we generate sequences of conjugate directions, extending some properties of the standard Conjugate Gradient (CG) method, in order to preserve the conjugacy. For specific values of the parameters in our framework we obtain... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Aug 2014 02:50 AM PDT When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this paper, we propose a behavior risk aversion model, which is a piecewise linear function of the current wealth level with a reference point at a preset investment... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: VWAP Execution as an Optimal Strategy. (arXiv:1408.6118v1 [q-fin.TR]) Posted: 27 Aug 2014 02:50 AM PDT The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for a risk-neutral trader. Moreover, we examine the case of a risk-averse trader... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Aug 2014 02:50 AM PDT In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a clear Nash equilibrium on the power market that can be used to compute... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Part Three: Banking on Demand - the Customer Focused Bank Posted: 27 Aug 2014 02:49 AM PDT Building upon the previous two blog entries that discussed the new business models in banking based upon products (cloud-shared leveraging data analytics) and processing (real-time via open sourced APIs), we now arrive at the customer layer (mobile and social).read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Return to Behemoth Stocks Posted: 27 Aug 2014 12:19 AM PDT read more... Visit MoneyScience for the Complete Article.    |
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