Showing 281 - 290 of 5,759
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the centered moments required in the risk decomposition...
Persistent link: https://www.econbiz.de/10010931999
Reproductive success and survival are influenced by wealth in human populations. Wealth is transmitted to offsprings and strategies of transmission vary over time and among populations, the main variation being how equally wealth is transmitted to children. Here we propose a model where we...
Persistent link: https://www.econbiz.de/10010932000
In this paper we consider an information theoretic approach for the accounting classification process. We propose a matrix formalism and an algorithm for calculations of information theoretic measures associated to accounting classification. The formalism may be useful for further...
Persistent link: https://www.econbiz.de/10010932001
The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noisy data, the expected value of the signal-noise ratio is bounded from above via a Cramer-Rao bound, for the case of...
Persistent link: https://www.econbiz.de/10010932002
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete...
Persistent link: https://www.econbiz.de/10010932003
We introduce a new methodology for forecasting which we call Signal Diffusion Mapping. Our approach accommodates features of real world financial data which have been ignored historically in existing forecasting methodologies. Our method builds upon well-established and accepted methods from...
Persistent link: https://www.econbiz.de/10010932004
In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the 1-2-3 trend indicator of Maier-Paape [Automatic One Two Three, Quantitative...
Persistent link: https://www.econbiz.de/10010932005
The recent economic crisis has raised a wide awareness that the financial system should be considered as a complex network with financial institutions and financial dependencies respectively as nodes and links between these nodes. Systemic risk is defined as the risk of default of a large...
Persistent link: https://www.econbiz.de/10011210397
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the accuracy of such processes as one varies the time interval of...
Persistent link: https://www.econbiz.de/10011210398
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be...
Persistent link: https://www.econbiz.de/10011210399