Monday, May 18, 2015

MoneyScience News

MoneyScience News

Blog Post: Luigi.Ballabio: Odds and ends: interpolations

Posted: 17 May 2015 10:36 PM PDT

Published / Preprint: Homogenization and Clustering as a Technique to Compare Maintenance Strategies in Heterogeneous Production Settings. (arXiv:1505.03874v1 [q-fin.EC])

Posted: 17 May 2015 05:37 PM PDT

We study the economic incentives to safeguard high levels of production quality by maintenance, comparing three basic strategies commonly found in industry: zero maintenance, inspection, and in-process monitoring. While zero maintenance is the baseline strategy, we specifically focus on inspection versus its technological rival monitoring, both maintenance strategies being widespread in industry....

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Published / Preprint: Optimal Dividend Strategies for Two Collaborating Insurance Companies. (arXiv:1505.03980v1 [math.OC])

Posted: 17 May 2015 05:37 PM PDT

We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies) until ruin of both companies, by extending...

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Published / Preprint: Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. (arXiv:1505.04045v1 [q-fin.PM])

Posted: 17 May 2015 05:37 PM PDT

Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the probability of large portfolio losses. With more than 400 stocks to choose from, our study seems to be the first application of extreme value techniques in...

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Published / Preprint: Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth. (arXiv:1505.04060v1 [q-fin.GN])

Posted: 17 May 2015 05:37 PM PDT

Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding e?ect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous over...

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Vendor News: Portfolio Probe available for R version 3.2

Posted: 17 May 2015 02:55 AM PDT

Portfolio Probe available for R version 3.2 body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana;...

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