What You Don’t Know Can Hurt You
What You Donât Know Can Hurt You Keynote Remarks at the 2019 SEC Regulation Outside the United States Conference London, England November 5, 2019 Division of Enforcement Co-Director Stephanie Avakian
View ArticleSEC Issues Agenda for Nov. 12 Meeting of Small Business Capital Formation...
The Securities and Exchange Commission today released the agenda for the Tuesday, Nov. 12 meeting of its Small Business Capital Formation Advisory Committee. The committee provides the Commission with...
View ArticleCollectivised Pension Investment with Exponential Kihlstrom--Mirman...
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the optimal...
View ArticleModelling bid-ask spread conditional distributions using hierarchical...
While we would like to predict exact values, available incomplete information is rarely sufficient - usually allowing only to predict conditional probability distributions. This article discusses...
View ArticleAcceptability 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...
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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...
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