Mixed Levy Subordinated Market Model and Implied Probability Weighting...
It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by incorporating investor...
View ArticleInversion of Convex Ordering: Local Volatility Does Not Maximize the Price of...
It has often been stated that, within the class of continuous stochastic volatility models calibrated to vanillas, the price of a VIX future is maximized by the Dupire local volatility model. In this...
View ArticleUniversal Basic Income: The Last Bullet in the Darkness. (arXiv:1910.05658v1...
Universal Basic Income (UBI) has recently been gaining traction. Arguments exist on both sides in favor of and against it. Like any other financial tool, UBI can be useful if used with discretion. This...
View ArticleNetworks of monetary flow at native resolution. (arXiv:1910.05596v1...
People and companies move money with every financial transaction they make. We aim to understand how such activity gives rise to large-scale patterns of monetary flow. In this work, we trace the...
View ArticlePortfolio Cuts: A Graph-Theoretic Framework to Diversification....
Investment returns naturally reside on irregular domains, however, standard multivariate portfolio optimization methods are agnostic to data structure. To this end, we investigate ways for domain...
View ArticleSystematic Asset Allocation using Flexible Views for South African Markets....
We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci. The HS-FP framework is a flexible non-parametric...
View ArticleRobert Burson, Associate Regional Director of Chicago Office, to Retire From...
The Securities and Exchange Commission today announced that Robert Burson, an Associate Regional Director of Enforcement in the Chicago Regional Office, is retiring after 29 years at the agency, all...
View ArticleSupervisor Charged for Role in Brokerage Firm’s Improper Handling of ADRs
The Securities and Exchange Commission today announced that Domenick Migliorato, a former supervisor of the securities lending desk at Industrial and Commercial Bank of China Financial Services LLC...
View ArticleOf Colossal Fools and Fossil Fuels
By Bill Kelly, CEO, CAIA Association The saying âfool me once shame on you, fool me twice shame on meâ has its origins all the way back to the 1600âs when most of the carbon now in our atmosphere...
View ArticleDual-Class Shares: A Recipe for Disaster
Dual-Class Shares: A Recipe for Disaster, by Rick A. Fleming, Investor Advocate, U.S. Securities and Exchange Commission, October 15, 2019, ICGN Miami Conference
View ArticleSEC Promotes Teacher Investment Outreach
The Securities and Exchange Commission today announced several teacher investment outreach efforts in connection with its Teachers Initiative. These initiatives include the launch of a podcast...
View ArticleBitcoin Derivatives Behaving Just Like Other Underlying Assets
Bitcoin derivatives act a lot like the derivatives of other asset classes. Two scholars at the University of London recently looked at bitcoinâs âvolatility smiles and skewsâ as found in the...
View ArticleOptimal ratcheting of dividends in insurance. (arXiv:1910.06910v1 [q-fin.PM])
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality...
View ArticleRobust portfolio optimization with multi-factor stochastic volatility....
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the...
View ArticleFundamental Analysis in China: An Empirical Study of the Relationship between...
The informational context is regularly questioned in a transitional economic regime like the one implemented in China or Vietnam. This article investigates this issue and the predictive power of...
View ArticleThe Cobb-Douglas production function revisited. (arXiv:1910.06739v1 [econ.GN])
Charles Cobb and Paul Douglas in 1928 used data from the US manufacturing sector for 1899-1922 to introduce what is known today as the Cobb-Douglas production function that has been widely used in...
View ArticleStochastic leverage effect in high-frequency data: a Fourier based analysis....
We study the finite sample properties of the Fourier estimator of the integrated leverage effect in the presence of microstructure noise contamination. Our estimation strategy is related to a measure...
View ArticlePrecisamos de uma Contabilidade Ambiental para as "Amaz^onias"...
This paper has the following objectives: to understand the concepts of Environmental Accounting in Brazil; Make criticisms and propositions anchored in the reality or demand of environmental accounting...
View ArticleSingular Perturbation Expansion for Utility Maximization with Order-$epsilon$...
We present an expansion for portfolio optimization in the presence of small, instantaneous, quadratic transaction costs. Specifically, the magnitude of transaction costs has a coefficient that is of...
View ArticleOptimal Dynamic Futures Portfolio in a Regime-Switching Market Framework....
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach...
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