This paper tackles the issue of approximated formula for stochastic models with time dependent model parameters, using an averaging principle. The objective is to find a similar model but with constant parameters that is the closest to our initial process, along the same lines as the proof by...

The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...

It has become almost conventional wisdom that investors should avoid funds with high expense ratios. Like many nuggets of conventional wisdom, there is some truth, but many exceptions: some of the best funds come at the price of higher expense ratios. Financial planners need this type of...

The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a consequence, it is useful to identify the key areas within a bank where Basel III has the biggest impact and to define the necessary strategies, processes, and new products to...

This paper provides an overview of the hedge fund industry and explains why hedge funds are gaining in popularity among institutional investors. I review the different styles used by hedge fund managers and analyze how they impact returns. Furthermore, I will address how the lack of transparency...

In this paper, we review the historical reasons behind the success of Swiss private banks and discuss whether they possess the attributes necessary to be successful in the future. We suggest that although Swiss banquiers are well positioned to retain their global supremacy, they do need to make...

The article proposes the creation of a new type of financial instrument, bearer money market mutual fund shares, designed to appeal to savers in less developed countries by protecting them from exchange rate risk.

The essence of investing is to generate return and manage risk. In the absence of arbitrage opportunities, return generation is about gaining exposure to risks that are well rewarded. To manage this exposure, we can diversify rewarded risks and hedge risks that are not rewarded. However, our...

In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven by fundamentals and irrational sentiments not driven by...

We propose an alternative to the conventional risk finance paradigm of enterprise risk management that accounts for not only a loss portfolio’s expected frequency and expected severity, but also its “risk” as captured by an appropriate measure of dispersion/spread. This new paradigm is...