SEC 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...
View ArticleTail dependence in the return-volume of leading cryptocurrencies
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Muhammad Naeem, Elie Bouri, Gideon Boako, David RoubaudAbstractWe analyze the average and extreme dependence...
View ArticleThe Pricing Efficiency of Crude Oil Futures in the Shanghai International...
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Chen Yang, Fei Lv, Libing Fang, Xingxing ShangAbstractWe investigate the pricing efficiency of the newly...
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