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annex - Financial Ombudsman
annex - Financial Ombudsman

Disclosure Booklet - Oregon College Savings Plan
Disclosure Booklet - Oregon College Savings Plan

... Portfolio. The Board Administrative Fee will be used to administer and market the Plan. Any amounts deemed not necessary for such uses may be used for any purpose authorized by Statute. (4) The percentages set forth in this column are based on the expense ratios of the mutual funds in which an Inves ...
Reservation bid and ask prices for options and covered
Reservation bid and ask prices for options and covered

... of the optimally hedged existing portfolio.15 We also need to distinguish between the marginal reservation value, which can be either positive or negative (for long or short marginal option positions respectively) and the marginal reservation price per option,16 which is always positive. Transaction ...
Value at Risk (VaR)
Value at Risk (VaR)

...  It requires the risk analyst to develop appropriate valuation models for the assets in a portfolio and to specify realistic values for the parameters of the random variables contained in the models. Otherwise, “garbage in, garbage out”.  It requires more computer time and power and more analyst j ...
Download paper (PDF)
Download paper (PDF)

... a decrease in the disclosure friction corresponds to greater average cost of capital and lower ex-ante efficiency. By contrast, when most firms are informed (i.e., the disclosure friction is low), firms that do not disclose are not financed, leading to underinvestment as some uninformed high -value ...
Stop-loss and Investment Returns - Actuaries
Stop-loss and Investment Returns - Actuaries

... Figure 4 highlights the required autocorrelation α given by (3) for the stop-loss strategy to beat buy and µ hold as a function of the annualised return to risk ratio r = 252 . Given the magnitude of daily σ autocorrelation observed in financial markets (mostly below 0.04), the stop-loss strategy sh ...
Loan impairment modeling according to IAS 39 by
Loan impairment modeling according to IAS 39 by

... The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received ...
a real options approach for valuating intertemporal
a real options approach for valuating intertemporal

Speculative Betas - Faculty Directory | Berkeley-Haas
Speculative Betas - Faculty Directory | Berkeley-Haas

... Substantial evidence supports both of these assumptions. First, there is time-varying disagreement among professional forecasters’ and households’ expectations about many macroeconomic state variables such as market earnings, industrial production growth, and inflation (Cukierman and Wachtel (1979), ...
AN ECONOMIC PREMIUM PRINCIPLE (a) The notion of premium
AN ECONOMIC PREMIUM PRINCIPLE (a) The notion of premium

... a) for all i, S 7us Ui[wi — X{(s) + Y, (s) — 2psYj(s)] = max for all possible a -1 ...
The Hedge Fund Landscape
The Hedge Fund Landscape

... At this point, it is worth defining the key differences between managed accounts (separate accounts), managed funds and the other alternative to investors, the fund of one. A summary of the key differences is illustrated in the sidebar (page 5). A managed account is held at the investor’s custodian ...
Margin Regulation and Volatility
Margin Regulation and Volatility

... asset’s volatility, the second effect reduces it. In equilibrium, these two effects approximately offset each other and thus the return volatility of the regulated asset barely changes. We also show that for the asset with unregulated margins, the first effect leads to a reduction of its volatility ...
Demystifying Time-Series Momentum Strategies: Volatility
Demystifying Time-Series Momentum Strategies: Volatility

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Credit Portfolio Management in a Turning Rates

... Over the past few years, we have witnessed an (albeit slow) economic recovery and a concurrent emergence of a benign credit cycle associated with tight spreads and low volatility. The management of credit portfolios in such an environment requires a more precise positioning with respect to the movem ...
The Valuation of Collateralised Debt Obligations - DORAS
The Valuation of Collateralised Debt Obligations - DORAS

... I would especially like to thank m y supervisor, Professor Liam Gallagher, for his wise counsel and good humour over the period. I would also like to thank Professor Emmanuel Buffet for his advice and direction in the early stages o f this project. M y friend and mentor, Professor Finbarr Bradley, w ...
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The Composition of Capital Flows: Is South Africa Different? -

... -7by push factors. In a more comprehensive study, Chuhan and others (1998) analyzed monthly U.S. equity and bond flows to nine Latin American and nine Asian countries during 1988-92. They find that although global factors—U.S. interest rates and industrial production—are important, country-specific ...
NBER WORKING PAPER SERIES BELIEFS ARE HETEROGENEOUS
NBER WORKING PAPER SERIES BELIEFS ARE HETEROGENEOUS

... economy’s output is lower than that of the original economy, that implies that the expansion in heterogeneity in the original economy tend to shrink the volatility in asset returns. This is simply because the volatility of asset prices increases with output volatility in the first order. The powerfu ...
Portfolio Risk Calculation and Stochastic Portfolio Optimization by A
Portfolio Risk Calculation and Stochastic Portfolio Optimization by A

... PORTFOLIO OPTIMIZATION BY A COPULA BASED APPROACH ...
Is the Willingness to Take Financial Risk a Sex
Is the Willingness to Take Financial Risk a Sex

... portfolios, ceteris paribus. The insignificance of the gender effect in those countries refutes the belief that gender is a good predictor of financial risk-taking. The self-reported risk tolerance provides the correct information about the individual’s readiness to invest in risky assets, but gender d ...
Evaluation of the performance of a pairs trading strategy of JSE
Evaluation of the performance of a pairs trading strategy of JSE

... must be the same (Ingersoll 1987). Similarly, for markets to be perfectly integrated (which is commonly assumed), two portfolios created from two markets cannot exist with different prices if the pay offs are identical (Chen and Knez 1995). If these conditions are not satisfied, arbitrage opportunit ...
Dynamic Correlation or Tail Dependence Hedging for Portfolio
Dynamic Correlation or Tail Dependence Hedging for Portfolio

Optimal Consumption and Portfolio Choices with Risky
Optimal Consumption and Portfolio Choices with Risky

... Our analysis of alternative housing-choice policies indicates that housing choice has a significant impact on the investors’ portfolio decisions. Compared with the optimal portfolio choice, which allows investors to endogenously choose renting versus owning a house, investors overweigh in equity whe ...
The Empirical Measurement of Interest Rate Risk of
The Empirical Measurement of Interest Rate Risk of

... Li Yan (2002) used interest rate sensitive ratio and deviation rate to make an empirical study on the interest rate risk of China’s commercial banks based on the data between 1996 and 1999, and pointed out that China’s commercial banks faced the tremendous interest rate risk during this certain peri ...
Who are the Value and Growth Investors?
Who are the Value and Growth Investors?

... systematic risk other than market portfolio return risk (Fama and French 1992), such as recession risk (Cochrane 1999, Jagannathan and Wang 1996), cash-flow risk (Campbell and Vuolteenaho 2004, Campbell, Polk, and Vuolteenaho 2010), long-run consumption risk (Hansen, Heaton, and Li 2008), or the cos ...
Stale or Sticky Stock Prices?
Stale or Sticky Stock Prices?

... predictability to stale prices. By a stale price, Fisher meant that the current value of a security was based upon a price from a trade that occurred earlier in time and thus did not incorporate any new information from the time of the trade to the current time. Because of this lag, the change in th ...
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Modern portfolio theory

Modern portfolio theory (MPT) is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets. Although MPT is widely used in practice in the financial industry and several of its creators won a Nobel memorial prize for the theory, in recent years the basic assumptions of MPT have been widely challenged by fields such as behavioral economics.MPT is a mathematical formulation of the concept of diversification in investing, with the aim of selecting a collection of investment assets that has lower overall risk than any other combination of assets with the same expected return. This is possible, intuitively speaking, because different types of assets sometimes change in value in opposite directions. For example, to the extent prices in the stock market move differently from prices in the bond market, a combination of both types of assets can in theory generate lower overall risk than either individually. Diversification can lower risk even if assets' returns are positively correlated.More technically, MPT models an asset's return as a normally or elliptically distributed random variable, defines risk as the standard deviation of return, and models a portfolio as a weighted combination of assets, so that the return of a portfolio is the weighted combination of the assets' returns. By combining different assets whose returns are not perfectly positively correlated, MPT seeks to reduce the total variance of the portfolio return. MPT also assumes that investors are rational and markets are efficient.MPT was developed in the 1950s through the early 1970s and was considered an important advance in the mathematical modeling of finance. Since then, some theoretical and practical criticisms have been leveled against it. These include evidence that financial returns do not follow a normal distribution or indeed any symmetric distribution, and that correlations between asset classes are not fixed but can vary depending on external events (especially in crises). Further, there remains evidence that investors are not rational and markets may not be efficient. Finally, the low volatility anomaly conflicts with CAPM's trade-off assumption of higher risk for higher return. It states that a portfolio consisting of low volatility equities (like blue chip stocks) reaps higher risk-adjusted returns than a portfolio with high volatility equities (like illiquid penny stocks). A study conducted by Myron Scholes, Michael Jensen, and Fischer Black in 1972 suggests that the relationship between return and beta might be flat or even negatively correlated.
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