MoneyScience News |
- Blog Post: TheAlephBlog: AIG Was Broke
- Published / Preprint: Risk Premia: Asymmetric Tail Risks and Excess Returns. (arXiv:1409.7720v1 [q-fin.GN])
- Published / Preprint: Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions. (arXiv:1409.7802v1 [q-fin.EC])
- Published / Preprint: Parametric Risk Parity. (arXiv:1409.7933v1 [q-fin.RM])
- Published / Preprint: Preventing endogenous extreme events in herding dominant agent-based financial market. (arXiv:1409.8024v1 [q-fin.ST])
- Published / Preprint: Multi-asset consumption-investment problems with infinite transaction costs. (arXiv:1409.8037v1 [q-fin.MF])
- Published / Preprint: Fact Sheet Research on Bayesian Decision Theory. (arXiv:1409.8269v1 [q-fin.GN])
- GSB CMIS Download Document | Stanford Graduate School of Business
- Blog Post: TheFinancialServicesClub: Do you understand the blockchain? [#SIBOS #SIBOS2014 #Innotribe]
- Incredible Images Of Wall Street Trading Before The Bloomberg Terminal
- Belief, bias and Bayes
- Vendor News: September 29, 2014 - SS&C Technologies to Present at Deutsche Bank Leveraged Finance Conference
| Blog Post: TheAlephBlog: AIG Was Broke Posted: 30 Sep 2014 02:59 AM PDT Photo Credit: Ronread more... Visit MoneyScience for the Complete Article.      |
| Posted: 29 Sep 2014 05:37 PM PDT We present extensive evidence that "risk premium" is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit a linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry, Short Vol, Bonds, Credit) and their negative skewness. We find a clear exception to this rule:... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 05:37 PM PDT In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for a general utility that is not necessarily differentiable or strictly concave, the other is whether the error and the convergence rate of the turnpike property can be estimated. We give positive answers to both... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Parametric Risk Parity. (arXiv:1409.7933v1 [q-fin.RM]) Posted: 29 Sep 2014 05:37 PM PDT Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the centered moments required in the risk decomposition process when the modified versions of Value at Risk and Expected Shortfall are considered. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 05:37 PM PDT A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial "bubbles" or "crashes"). Abundance of the empirical data as well as general insights into the trading... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 05:37 PM PDT The subject of this paper is an optimal consumption/optimal portfolio problem with transaction costs and with multiple risky assets. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 05:37 PM PDT In this fact sheet we give some preliminary research results on the Bayesian Decision Theory. This theory has been under construction for the past two years. But what started as an intuitive enough idea, now seems to have the makings of something far more fundamental. Visit MoneyScience for the Complete Article.    |
| GSB CMIS Download Document | Stanford Graduate School of Business Posted: 29 Sep 2014 10:54 AM PDT MT @mathbabedotorg: Chameleons: The Misuse of Theoretical Models in Finance and Econ - new paper by Paul Pfleiderer http://t.co/ytiAvBGinu — Risk Management… Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 10:00 AM PDT Sounds like something to do with a toilet that doesn't work: the blockchain ... but no, it's all about cryptocurrencies and the future of money, our first innotribe session. It was a good meeting, with speakers including:read more... Visit MoneyScience for the Complete Article.    |
| Incredible Images Of Wall Street Trading Before The Bloomberg Terminal Posted: 29 Sep 2014 06:51 AM PDT Incredible Images Of Wall Street Trading Before The Bloomberg Terminal http://t.co/fvPGSMqahM http://ift.tt/1nzkChT — Elena Holodny (@elenaholodny) September… Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 06:51 AM PDT Belief, bias and Bayes http://t.co/j6BrLonyqm — moneyscience (@moneyscience) September 29, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 29 Sep 2014 06:08 AM PDT    |
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