The problem we have considered so far relates to the finite horizon criterion $$J_{RS}^\theta (t;\,x,\,h)\,: = \, - {1 \over \theta }\ln {\Bbb E}{e^{ - \theta F(t;\,x,\,h)}}$$. There is also a rich literature on risk-sensitive control problems set over an infinite horizon, including Bielecki and...

The objective of this chapter is to illustrate how some of the models developed in the first part of the book can be useful to address practical investment management questions. We consider four short cases. The first one explores the interest of including a factor X(t) compared to the...

AbstractThe following sections are included:The favorite-longshot biasRisk arbitrage in the US presidential election

AbstractThe following sections are included:Transactions costsThree to beat the Breeders' Cup by Bruce C FaumanFirst Race: The Juvenile, 1 mile, for 2 year old colts and geldings, purse $1,00,000Second Race: The Juvenile Fillies, 1 mile, for 2 year old fillies, purse $1,000,000Third Race: the...

AbstractThe following sections are included:US Charging AheadOther Players: shift in Market ShareThe Demand Side: All About AsiaThe Shale Mirage: Tricky in EuropeOffshore gas in Mediterranean and Africa

AbstractThe following sections are included:We start with something cleverShorting S&P500 puts in a declining marketGold coinsBubbles?

AbstractThe following sections are included:Election cyclesUS bond returns after presidential electionsPolitical effects: when Congress is in sessionSome simple presidential investment strategiesFinal Remarks

The Oxford English Dictionary defines a benchmark, or more precisely a ‘bench-mark’, as ‘a surveyor's mark cut in some durable material, as a rock, wall, gate-pillar, face of a building, etc., to indicate the starting, closing, or any suitable intermediate point in a line of levels for the...

AbstractThe following sections are included:Sovereign funds are not monolithicSovereign funds are bigAnd will increase demand for risky assetsA taste for financialsBut not as big as some optimists think or as pessimists fearIncrease in strategic stakes oneoff opportunism or evidence of a change...

AbstractIn mid 2008, I wrote an article (Chapter 8), about sovereign wealth funds and other government pools of capital - arguing that they probably were not as big as their proponents hoped (or their detractors feared), in part because many of their estimated $2 trillion in assets were already...