Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion...
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a...
View ArticleLeadership is Everyone's Business, Participant Workbook, 2e
Backed by over 20 years of original research, The Leadership Challenge® Workshop is a unique and intense discovery process created by best-selling authors Jim Kouzes and Barry Posner. The Workshop...
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2017 Valuation Handbook - U.S. Guide to Cost of Capital + Quarterly PDF...
 The New Industry Standard in Business Valuation Reference Materials – with Quarterly PDF Updates2017 Valuation Handbook – U.S. Guide to Cost of Capital provides the key annual valuation data...
View ArticleComputational aspects of robust optimized certainty equivalents....
Accounting for model uncertainty in risk management leads to infinite dimensional optimization problems which are both analytically and numerically untractable. In this article we study when this fact...
View ArticleRegret-based Selection for Sparse Dynamic Portfolios. (arXiv:1706.10180v1...
This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We develop a novel...
View ArticleOscillations in the Tsallis income distribution. (arXiv:1706.10141v1...
Oscillations in the cumulative individual income distribution have been found in the data of various countries studied by different authors at different time periods, but the dynamical origins of this...
View ArticleA Deep Reinforcement Learning Framework for the Financial Portfolio...
Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to...
View ArticleImplementation assessments of the LCR in China, the European Union and the...
The Basel Committee on Banking Supervision published reports assessing the implementation of the Liquidity Coverage Ratio (LCR) in China, the European Union and the United States. (Press release, 3...
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - United States of America", July 2017.
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - European Union", July 2017.
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - China", July 2017.
View ArticleEquilibrium in a Competitive Insurance Market Under Adverse Selection with...
This paper investigates the existence and nature of equilibrium in a competitive insurance market under adverse selection with endogenously determined information structures. Rothschild-Stiglitz (RS)...
View ArticleShow me the Money: Federal R&D Support for Academic Chemistry, 1990-2009...
We examine the distribution of Federal support for chemistry Research and Development (R&D) performed at U.S. universities from 1990-2009. Federal R&D funding is an essential source of funds...
View ArticleStock Volatility and the Great Depression -- by S. Gustavo S. Cortes, Marc D....
Stock volatility during the Great Depression was two to three times higher than any other period in American financial history. The period has been labelled a "volatility puzzle" because scholars have...
View ArticleDefault Effects and Follow-On Behavior: Evidence from an Electricity Pricing...
We study default effects in the context of a residential electricity pricing program. We implement a large-scale randomized controlled trial in which one treatment group is given the option to opt-in...
View ArticleLeisure Luxuries and the Labor Supply of Young Men -- by Mark Aguiar, Mark...
Younger men, ages 21 to 30, exhibited a larger decline in work hours over the last fifteen years than older men or women. Since 2004, time-use data show that younger men distinctly shifted their...
View ArticlePathways to Retirement through Self-Employment -- by Shanthi Ramnath, John B....
We examine the role of self-employment in retirement transitions using a panel of administrative tax data. We find that the hazard of self-employment increases at popular retirement ages associated...
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User/Subscriber Economics: Value Dynamics
In my last post, I tried valuing Uber by estimating how much an existing user was worth to the company and then using that number to extrapolate to the value of all existing users and the value added...
View ArticleYou are in a drawdown. When should you start worrying?. (arXiv:1707.01457v1...
Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit "healthy" strategies, how can one detect that something truly worrying is happening? It...
View ArticleNonlinear Parabolic Equations arising in Mathematical Finance....
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review...
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