We mentioned in Chapter 2 that the factor process X(t) in our models has two possible interpretations. Its components Xi(t) may represent observable data series, either financial data such as stock indices, bond yield spreads etc., or macroeconomic data such as GDP growth, employment data or...

In the preceding chapter we showed that in a model with Gaussian diffusion factors the asset allocation problem reduces, via the change of measure technique, to a controlled diffusion problem in the factor process, even though there are jumps in the asset price model. The problem can be handled...

AbstractThere are a number of studies in the literature concerning hedge fund performance and their use in diversified multi-strategy portfolios. The key is to find outstanding hedge funds that generate consistent high returns. Examples are in Ziemba and Ziemba (2007). Here we just discuss...

An important feature of the diffusion-based models presented in Part I is that they can be solved analytically, and as such do not require additional work to get the optimal investment strategy and the value function (aside from solving a Riccati equation and a linear ODE)…

AbstractThe following sections are included:Formulation of InnoALM as a multistage stochastic linear programming modelSome Typical ApplicationsModel TestsConclusions

AbstractThe following sections are included:Summary and comments on Yale's results and approach

AbstractThe following sections are included:January barometer research updateMove this AroundThe January barometer researchOther StudiesHow to Trade the January Barometer (JanB)The International January Barometer

AbstractThe following sections are included:HedgeCounterparty defaultSpeculationForced liquidation at unfavorable pricesMisunderstanding the risk exposureForgetting that high returns involve high risk

AbstractThe following sections are included:Exotic Racetrack Betting Book, 2013Update on the January column

AbstractThe following sections are included:The subprime crisis and how it evolvedHousehold and government debtFavoring the financial sector: evaluating the policy responses