Acceptability Indices of Performance for Bounded C`adl`ag Processes....
Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c`adl`ag processes...
View ArticleThe Fourier Transform Method for Volatility Functional Inference by...
We study the volatility functional inference by Fourier transforms. This spectral framework is advantageous in that it harnesses the power of harmonic analysis to handle missing data and asynchronous...
View ArticleA Rational Finance Explanation of the Stock Predictability Puzzle....
In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the...
View ArticleRobo-advising: Learning Investor's Risk Preferences via Portfolio Choices....
We introduce a reinforcement learning framework for retail robo-advising. The robo-advisor does not know the investor's risk preference, but learns it over time by observing her portfolio choices in...
View ArticleClik here to view.
The unexpected effect of high-speed trains on board talent
London-Paris, Barcelona-Madrid, Rome-Bologna â what is common among these city pairs? Surprisingly enough, travelling between these cities is faster by train than by plane. In fact, fast trains...
View ArticleEvidence from a high book-tax conformity country
Publication date: Available online 7 November 2019Source: Finance Research LettersAuthor(s): MichaÅ KaÅdoÅski, Tomasz JewartowskiAbstractUsing a sample of 1,149 firm-year observations we show that...
View ArticleKeynote Address - ALI CLE 2019 Conference on Life Insurance Company Products
Keynote Address: ALI CLE 2019 Conference on Life Insurance Company Products, by Dalia Blass, Director, Division of Investment Management , Washington, D.C., November 7, 2019
View ArticlePricing collateralized derivatives with an arbitrary numeraire
Abstract Since the 2008 crisis collateralized derivatives have become commonplace in the market. There have been many papers in recent years on pricing collateralized derivatives but the topic has...
View ArticlePathwise moderate deviations for option pricing
Abstract We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to...
View ArticleBroken Windows: Remarks before the 51st Annual Institute on Securities...
Broken Windows: Remarks before the 51st Annual Institute on Securities Regulation, Commissioner Hester M. Peirce, New York, New York, November 4, 2019
View ArticleInvestors Want Liquidity and They Want it Now
A recent publication from Fidelity Institutional Asset Management, while looking at the money markets in the US, emphasizes that investors are looking for liquidity. The report, written by Kerry Pope...
View ArticleA world of deep fakes
We need to remember that creating fakes is an application, not a tool -- and that a malicious applications are not the whole story.By Ben Lorica and Mike Loukides.[A version of this post appears on the...
View ArticleClik here to view.
Creating momentum for digital transformation without a burning platform
We know: the most important factor to drive change is a blazingly obvious reason to act. Change management calls these drivers âburning platformâ as a metaphor for urgent crises that demand...
View Article
