In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...

We derive new statistical tests for leave-one-out cross-validation of Kriging models. Graphically, we present these tests as scatterplots augmented with confidence intervals. We may wish to avoid extrapolation, which we define as prediction of the output for a point that is a vertex of the...

The Treasury lock is a common pre-hedging derivative strategy the Street offers to their corporate clients. We provide a justification of the common practice of booking a short position in the Treasury lock as a forward contract on the underlying benchmark and a short position in the...

Income inequality and income intergenerational immobility are positively associated across countries. Here we provide an explanation for this association and show it is mechanically driven by the definition of the intergenerational earnings elasticity. This may hint that higher intergenerational...

Sequential bifurcation (or SB) is an efficient and effective factor-screening method; i.e., SB quickly identifies the important factors (inputs) in experiments with simulation models that have very many factors — provided the SB assumptions are valid. The specific SB assumptions are: (i) a...

This study explores the causes of corruption in 22 countries in sub-Saharan Africa from 1996 to 2013. The sources of corruption are grouped into three main thematic areas – historical roots, contemporary causes and institutional causes to make way for subjective and objective measures. The...

We propose that the quantum strategy can be considered as a most effective winning virtuous organizational strategy, allowing the board of directors to build a prosperous organization with the optimal business model in the economies of the scale and scopes at the time of the great opportunities...

The paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F_t are I(1) and singular, i.e. F_t has dimension r and is driven by a q-dimensional white noise, the common shocks, with q r, and (2) the idiosyncratic components are I(1). We show that F_t is driven by r − c...

It was upon a time, the Risk Neutral "pricing" world. Under this world every payoff actualised was a martingale. The industry became more and more complex but still managed to provide prices for exotics, indeed via a Monte Carlo Method almost everything was possible under this measure. After...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we defined a methodology in order to fully adjusted the close out premium used to compute...