Nonlinear dependencies on Brazilian equity network from mutual information...
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June 2015 to January 2016 and from January 2016 to September 2016,...
View ArticleRich or poor: Who should pay higher tax rates?. (arXiv:1711.06164v1 [q-fin.GN])
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than...
View ArticleIdentifying the community structure of the international food-trade multi...
Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The...
View ArticleRisk Management: Lever for SME Development and Stakeholder Value Creation
Risk management practices are growing both in number and complexity in businesses, notably driven by new regulatory standards that feature risk management at their core. Although large businesses are...
View ArticleFederal Court Sanctions Gerard Suite and STA Opus LLC for Commodity Pool...
The Commodity Futures Trading Commission (CFTC) obtained $1,127,855 in restitution for defrauded pool participants and $3,383,565 in civil monetary penalties in a federal court Default Judgment Order...
View ArticleThe Dawning of American Labor: The New Republic to the Industrial Age
A concise history of labor and work in America from the birth of the Republic to the Industrial Age and beyondread more...
View ArticleAudit and Accounting Guide Depository and Lending Institutions: Banks and...
The 2017 edition of this industry standard resource offers clear and practical guidance of audit and accounting issues such as transfers and servicing, troubled debt restructurings, financing...
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The Tesla Roadster Will Turn the Bugatti into a Wrist Watch
In three years Tesla will be rolling out the fastest production car in the world. And not a "production car" as in, we made ten or so of these so it can be called one. No, a production car that rolls...
View ArticleSparse Bayesian time-varying covariance estimation in many dimensions....
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stochastic factors. The use...
View ArticleCalibration of Distributionally Robust Empirical Optimization Models....
In this paper, we study the out-of-sample properties of robust empirical optimization and develop a theory for data-driven calibration of the robustness parameter for worst-case maximization problems...
View ArticleRobust bounds for the American Put. (arXiv:1711.06466v1 [q-fin.MF])
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the...
View ArticleMulti-objective risk-averse two-stage stochastic programming problems....
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued...
View ArticleHow to fix a program without the source code? Patch the binary directly
How to fix a program without the source code? Patch the binary directlyhttps://t.co/9bWAKVz1lB â moneyscience (@moneyscience) November 18, 2017
View ArticleLong/Short Investment Strategies
Long/Short (LS) strategies buy one equity portfolio and short another. They are often sold as a way to add a premium with special diversification benefits that arise because the premium is not highly...
View ArticleQ&A: How do you decide which research papers to read?
EFF/KRF: Our strategies for choosing papers are similar. Sometimes we donât have a choice. If we agree to referee a paper or discuss it at a conference, we are certain to read it, and we read most of...
View ArticleQ&A: Can we evaluate an investment managerâs skill more quickly by...
EFF/KRF: Unfortunately, daily returns donât provide more information. (Read the full entry)
View ArticleQ&A: What can one learn from one, three, or five years of past returns...
EFF/KRF: The short answer: usually almost nothing. (Read the full entry)
View ArticleQ&A: What does it mean to say HML is redundant?
EFF/KRF: There is some confusion about the interpretation of the evidence in Fama and French (2014, âA Five-Factor Model of Expected Returnsâ) that HML is redundant for explaining average U.S....
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