Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Neural networks, grid computing, parallelization, high-dimensional optimization, quantitative investment, decision support. - Neuronale Netze, Parallelisierung, hoch-dimensionale Optimierung, quantitatives Investment, Entscheidungsunterstützung

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...