xiii, 124 p. : ill. (some col.)

xiii, 124 p. : ill. (some col.)

The popularity of an auction as a means of selling residential real estate has increased markedly in recent years. The effectiveness of an auction program is heavily promoted by most real estate agents, claiming it to be the best means of attracting the best price from the highest bidder, It is...

An argument is presented connecting the Kullback-Liebler divergence between a mutual fund variety (long only and unit leverage) allocation and its benchmark to the active management of the allocation. Active management defined this way represents the amount of information, measured in bits or...

This paper examines the ability of futures on the CBOE Volatility Index (VIX) to predict realized S&P 500 volatility up to seven months into the future. These forecasts are found to be significantly biased. The imposition of a priori theoretically motivated restrictions can substantially improve...

This paper finds that factor based risk parity portfolios are able to outperform other standard asset allocation approaches, including 60/40 and long-only risk parity. By using a group of factors which have negligible correlations with each other and the market, this portfolio generates a stable...

Following the global financial crisis, significant uncertainty has existed around the U.S. economy's steady state equilibrium. This paper uses a factor model to provide a new approach to estimating 'the stars' (i.e. the neutral interest rate, maximum employment, and the level and growth rate of...

ERES:conference

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation...

In April this year, the Bank of England conducted the three-yearly survey of turnover in the UK foreign exchange and over-the-counter (OTC) currency and interest rate derivatives markets, as part of the latest worldwide survey co-ordinated by the Bank for International Settlements (BIS). The...