Tuesday, September 2, 2014

MoneyScience News

MoneyScience News

Published / Preprint: The People in Your Neighborhood: Social Interactions and Mutual Fund Portfolios

Posted: 02 Sep 2014 04:08 AM PDT

We find that socially connected fund managers have more similar holdings and trades. The overlap of funds whose managers reside in the same neighborhood is considerably higher than that of funds whose managers live in the same city but in different neighborhoods. These effects are larger when managers share a similar ethnic background, and are not explained by preferences. Valuable information is...

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Blog Post: TheFinancialServicesClub: Digibank: the next generation of banking

Posted: 02 Sep 2014 03:39 AM PDT

I'm having this conversation about what a digital bank is all about and suddenly a light switches on.read more...

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Blog Post: TheAlephBlog: Q&A with Guy Spier of Aquamarine Capital

Posted: 02 Sep 2014 03:09 AM PDT

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Published / Preprint: A NOTE ON THE QUANTILE FORMULATION

Posted: 02 Sep 2014 02:39 AM PDT

Many investment models in discrete or continuous‐time settings boil down to maximizing an objective of the quantile function of the decision variable. This quantile optimization problem is known as the quantile formulation of the original investment problem. Under certain monotonicity assumptions, several schemes to solve such quantile optimization problems have been proposed in the literature....

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Published / Preprint: OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

Posted: 02 Sep 2014 02:39 AM PDT

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced‐form Markovian model with interacting default intensities. Using the dynamic programming principle, we establish a lattice dependence structure...

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Published / Preprint: Should we build more large dams? The actual costs of hydropower megaproject development. (arXiv:1409.0002v1 [q-fin.GN])

Posted: 01 Sep 2014 05:39 PM PDT

A brisk building boom of hydropower mega-dams is underway from China to Brazil. Whether benefits of new dams will outweigh costs remains unresolved despite contentious debates. We investigate this question with the "outside view" or "reference class forecasting" based on literature on decision-making under uncertainty in psychology. We find overwhelming evidence that budgets are systematically...

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Published / Preprint: Analysis of Spin Financial Market by GARCH Model. (arXiv:1409.0118v1 [q-fin.ST])

Posted: 01 Sep 2014 05:39 PM PDT

A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits...

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Published / Preprint: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. (arXiv:1409.0407v1 [q-fin.PM])

Posted: 01 Sep 2014 05:39 PM PDT

In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the ?rst problem, we consider the classical dividend problem without capital injections. The...

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