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This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...
Persistent link: https://www.econbiz.de/10005858416
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans are the worst type of bad scenario: unexpected...
Persistent link: https://www.econbiz.de/10011708987
AbstractThe following sections are included:The January effectCommodity trading: investing in the January small cap effect in the index futures marketsConclusion
Persistent link: https://www.econbiz.de/10011206334
AbstractAs I write on Sunday November 22, 2010, this I am watching the TV analysts discuss this controversial decision on Sunday, November 15. They are all ex-National Football League star players with an announcer. Their analysis is seat of the pants. But is that the right way to analyze...
Persistent link: https://www.econbiz.de/10011206340
AbstractThe following sections are included:Types of sovereign fundsIs there a common asset allocation for pension funds?Sovereign Pension funds and International Capital MarketsGovernance Issues of public pension fundsIntergenerational borrowingRegional TrendsAsiaMiddle EastEuropeConclusion
Persistent link: https://www.econbiz.de/10011206346
AbstractWe know that on average the typical mutual fund does not beat the market. The evidence is that professional managers all over the world have a hard time beating the market averages. In a given year, only about 25% to 40% of managers actually beat a buy-and-hold strategy of holding the...
Persistent link: https://www.econbiz.de/10011206356
AbstractThe following sections are included:Predictive Ability of the Bond-Stock Earnings Yield Difference Model
Persistent link: https://www.econbiz.de/10011206366
AbstractThe following sections are included:Societe GeneraleWhat is a subprime loan and why have they caused so much trouble in so many places?CMO, CDO trouble continuedWho will bail out the aling banks and financial institutions?US$ declineWhat is Warren Buffett thinking and doing?Summary
Persistent link: https://www.econbiz.de/10011206375
AbstractThe following sections are included:Credit markets and financial institutionsEquity marketsChinese role in global trade
Persistent link: https://www.econbiz.de/10011206396
AbstractThe following sections are included:The 2010 outlookWhat all the squealing from the PIIGS means
Persistent link: https://www.econbiz.de/10011206401