Monday, June 22, 2015

MoneyScience News

MoneyScience News

Published / Preprint: 22Jun/Net Stable Funding Ratio disclosure requirements finalised by the Basel Committee

Posted: 22 Jun 2015 03:06 AM PDT

Press release about Net Stable Funding Ratio disclosure requirements finalised by the Basel Committee(22 June 2015)

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Vendor News: Infosys Appoints Manikantha A.G.S. as Company Secretary

Posted: 22 Jun 2015 02:17 AM PDT

Infosys today announced the appointment of Manikantha A.G.S. as Company Secretary with effect from June 22, 2015. Manikantha has been with Infosys for 10 years and was previously the Company Secretary of Infosys BPO Limited.

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Blog Post: Luigi.Ballabio: Chapter 8, part 2 of n: evolution schemes

Posted: 21 Jun 2015 10:36 PM PDT

Published / Preprint: Hedging, arbitrage and optimality with superlinear frictions. (arXiv:1506.05895v1 [q-fin.PR])

Posted: 21 Jun 2015 05:36 PM PDT

In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices...

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Published / Preprint: Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets. (arXiv:1506.05911v1 [q-fin.PR])

Posted: 21 Jun 2015 05:36 PM PDT

We introduce a multi-factor stochastic volatility model based on the CIR/Heston volatility process that incorporates seasonality and the Samuelson effect. First, we give conditions on the seasonal term under which the corresponding volatility factor is well-defined. These conditions appear to be rather mild. Second, we calculate the joint characteristic function of two futures prices for...

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Published / Preprint: Annuitization and asset allocation. (arXiv:1506.05990v1 [q-fin.PM])

Posted: 21 Jun 2015 05:36 PM PDT

This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pension plans. Due to adverse selection, acquiring a lifetime payout annuity is an...

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Published / Preprint: Symmetric resolute refinements of social choice correspondences. (arXiv:1506.06069v1 [q-fin.EC])

Posted: 21 Jun 2015 05:36 PM PDT

In the standard arrovian framework and under the assumption that individual preferences are linear orders on the set of alternatives, we suppose that individuals and alternatives have been exogenously partitioned into subcommittees and subclasses. We prove then that each reversal symmetric, efficient social choice correspondence that is anonymous and neutral with respect to the considered...

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Blog Post: WealthandCapitalMarketsBlog: The rise of the robo-analyst

Posted: 21 Jun 2015 07:56 AM PDT

With the rise of the robo-advisor, the possibility of a similar advance with regard to research is enticing. Robo-advisors help investors make choices based on their personal investing preferences. Associated Press already uses automated robot journalists to produce some of its articles. Similar robot analysts could undertake analysis for varied fields such as finance, marketing etc. using APIs...

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