International Portfolio Optimisation with Integrated Currency Overlay Costs...
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such...
View ArticleLiquidity induced asset bubbles via flows of ELMMs. (arXiv:1611.01440v1...
We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously...
View ArticleRevealing the Anatomy of Vote Trading. (arXiv:1611.01381v1 [physics.soc-ph])
Cooperation in the form of vote trading, also known as logrolling, is central for law-making processes, shaping the development of democratic societies. Empirical evidence of logrolling is scarce and...
View ArticleSparse grid high-order ADI scheme for option pricing in stochastic volatility...
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space....
View ArticleAn Axiomatization of Naive Diversification. (arXiv:1611.01285v1 [q-fin.EC])
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alternatives independent...
View ArticleOptimal portfolio selection under vanishing fixed transaction costs....
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model...
View ArticleSummary Of October 2016 Activities At Tokyo Commodity Exchange - October...
The Tokyo Commodity Exchange announced today that average daily volume for October 2016 was 84,561 contracts, down 1.1% month-over-month. Volume rose for some products, such as Gold Rolling Spot, which...
View ArticleTishman Speyer Announces Lease Transaction For OCC At The Franklin
Tishman Speyer, one of the world's leading real estate developers and owners, today announced that it has signed OCC, the world's largest equity derivatives clearing organization, to a long-term lease...
View ArticleBats Global Markets To Provide Bats One Quote, Trade Data To Morningstar -...
Bats Global Markets (Bats), a leading global operator of exchanges and services for financial markets, and Morningstar, Inc., a leading provider of independent investment research, today announced an...
View ArticlePOLITICO To Ring The Nasdaq Stock Market Closing Bell
What: POLITICO, the leading global news and information company at the intersection of politics and policy, will visit the Nasdaq MarketSite in Times Square.read more...
View ArticleArtemis.bm-Innovative ILS Can Address “Critical Protection Gap”...
Artemis, a news, analysis and data media service, released an on-line article 3 November, 2016, titled Innovative ILS can address “critical protection gap” – ILS Bermuda leaders. The full release from...
View ArticleCyber Risk And Geopolitical Threats Top List Of Financial Industry Concerns...
Broad geopolitical risks, including the outcome of tomorrow’s U.S. Presidential Election and Britain’s exit from the EU (“Brexit”), were among top risks facing the global financial system, according to...
View ArticleThe Average-Marginal Relationship and Tractable Equilibrium Forms....
Economic variables with familiar tractable functional forms (constant-elasticity or linear) are only reweighted in the change from their average to marginal versions. They are also simple, featuring...
View ArticlePricing Derivatives in a Regime Switching Market with Time Inhomogeneous...
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian...
View ArticleOptimal shrinkage-based portfolio selection in high dimensions....
In this paper we estimate the mean-variance (MV) portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is...
View ArticleAn Equilibrium Model with Computationally Constrained Agents....
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use...
View ArticleEM Algorithm and Stochastic Control in Economics. (arXiv:1611.01767v1...
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time...
View ArticleEffects of income redistribution on the evolution of cooperation in spatial...
Income redistribution is the transfer of income from some individuals to others directly or indirectly by means of social mechanisms, such as taxation, public services and so on. Employing a spatial...
View Article`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance...
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members....
View ArticleASIC Welcomes Industry Funding Consultation
ASIC welcomes the Government's continued support for the introduction of an ASIC industry funding model and the release yesterday of the Proposals paper issued by Treasury on the proposed model.read...
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