Remarks by Brian P. Sack before the Money Marketeers of New York University, New York City.

Remarks at the Annual Meeting with Primary Dealers, New York City.

The valuation of the transactions on financial instruments implies a thorough analysis of the ratio between the potential gains and the joint risks to a capital investment emphasizing thus the maximization of the profit function under the conditions of minimizing the risks connected to the...

Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

This is the specification for the Power Trading Agent Competition for 2012 (Power TAC 2012). Power TAC is a competitive simulation that models a “liberalized” retail electrical energy market, where competing business entities or “brokers” offer energy services to customers through tariff...

This is the specification for the Power Trading Agent Competition for 2012 (Power TAC 2012). Power TAC is a competitive simulation that models a “liberalized” retail electrical energy market, where competing business entities or “brokers” offer energy services to customers through tariff...

This is the specification for the Power Trading Agent Competition for 2013 (Power TAC 2013). Power TAC is a competitive simulation that models a “liberalized” retail electrical energy market, where competing business entities or “brokers” offer energy services to customers through tariff...

Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether...

In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging...

This is the specification for the Power Trading Agent Competition for 2011 (Power TAC 2011). Agents are simulations of electrical power brokers, who must compete with each other for both power production and consumption, and manage their portfolios.