Hedge Funds - Presentation to BNM
... Close ended fund structures - where investment is limited to an initial and then subsequent placing of interests in the fund - allow for a more efficient and cohesive strategy from the viewpoint of the fund and its investment manager but are not popular with investors and have a number of practical ...
... Close ended fund structures - where investment is limited to an initial and then subsequent placing of interests in the fund - allow for a more efficient and cohesive strategy from the viewpoint of the fund and its investment manager but are not popular with investors and have a number of practical ...
chapter 16
... Amortization of bond discount. Unamortized bond discount related to converted bonds. Conversion of convertible bonds. Conversion of convertible preferred stock. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bond ...
... Amortization of bond discount. Unamortized bond discount related to converted bonds. Conversion of convertible bonds. Conversion of convertible preferred stock. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bond ...
Portfolio choice with jumps: A closed-form solution
... spanned by the jump risk (which the investor will attempt to limit) and those in the orthogonal space V ⊥ (where the investor will seek to exploit the opportunities arising from the traditional risk-return trade-off). In our model, the structure of the Brownian variance-covariance matrix is taken to ...
... spanned by the jump risk (which the investor will attempt to limit) and those in the orthogonal space V ⊥ (where the investor will seek to exploit the opportunities arising from the traditional risk-return trade-off). In our model, the structure of the Brownian variance-covariance matrix is taken to ...
NBER WORKING PAPER SERIES Hanno Lustig
... value of the housing stock was low relative to output, while the gradual decline in the equity premium in the post-war period coincided with a sustained increase in housing values. This time-variation in equity premia cannot be accounted for in standard asset pricing models (Breeden (1979) and Lucas ...
... value of the housing stock was low relative to output, while the gradual decline in the equity premium in the post-war period coincided with a sustained increase in housing values. This time-variation in equity premia cannot be accounted for in standard asset pricing models (Breeden (1979) and Lucas ...
INSTITUTE OF ECONOMIC STUDIES Faculty of social sciences of
... which he receives/pays the given fixed rate the difference between the two rates is the dealing spread the dealer earns on every matching pair of swaps swap rate is the average of bid and ask interest rates swap spread: a higher/lower quote means that the quoting dealer is willing to transact a swap ...
... which he receives/pays the given fixed rate the difference between the two rates is the dealing spread the dealer earns on every matching pair of swaps swap rate is the average of bid and ask interest rates swap spread: a higher/lower quote means that the quoting dealer is willing to transact a swap ...
View the 2016 Financial Report
... improvement, including continued investment in national advertising and support of the five national ads as well as increased adoption of Customized True Blue (“CTBs”) relevant retail assortments. Retail sales also benefited from winter weather related sales in December which were partially offset b ...
... improvement, including continued investment in national advertising and support of the five national ads as well as increased adoption of Customized True Blue (“CTBs”) relevant retail assortments. Retail sales also benefited from winter weather related sales in December which were partially offset b ...
TRANCHING, CDS, AND ASSET PRICES: HOW FINANCIAL
... were riskless. Changes in interest rates or changes in prepayments by the underlying homeowners could radically alter the cash flows of the tranches. Gradually, Wall Street came to see that default risk was just one among many risks, and pools and tranching began to be undertaken without government ...
... were riskless. Changes in interest rates or changes in prepayments by the underlying homeowners could radically alter the cash flows of the tranches. Gradually, Wall Street came to see that default risk was just one among many risks, and pools and tranching began to be undertaken without government ...
Futures Contracts
... Hedging with Futures, Long Hedge • A company needs to buy a commodity at a future date. • The company will suffer “losses” if the price of the commodity increases before then. (That is, they paid more than the could have) • Suppose the company wants to "fix" the price that they will pay for the com ...
... Hedging with Futures, Long Hedge • A company needs to buy a commodity at a future date. • The company will suffer “losses” if the price of the commodity increases before then. (That is, they paid more than the could have) • Suppose the company wants to "fix" the price that they will pay for the com ...
Low volatility anomaly and mutual fund allocations - Aalto
... relative to their risk, but that low risk assets – either low volatility or low beta assets – actually outperform high risk assets within several different assets classes. The outperformance of low risk assets, or the so-called low risk anomaly, is observed primarily in terms of risk-adjusted return ...
... relative to their risk, but that low risk assets – either low volatility or low beta assets – actually outperform high risk assets within several different assets classes. The outperformance of low risk assets, or the so-called low risk anomaly, is observed primarily in terms of risk-adjusted return ...
Growth-Rate and Uncertainty Shocks in Consumption
... erned by AR(1) processes (xi, t+1and xW, t+1 sample to differ in the their sensitivity to the world processes. The differing sensitivity is governed by the parameter ξ i . ...
... erned by AR(1) processes (xi, t+1and xW, t+1 sample to differ in the their sensitivity to the world processes. The differing sensitivity is governed by the parameter ξ i . ...
NBIM DIscussIoN NoTE Momentum in Futures Market
... We then conduct a performance attribution analysis on the long-short time-series momentum portfolios which can exhibit variable market bias over time, and find that there exists asymmetry in the return contribution from the long and short legs. Christoffersen and Diebold (2006) and Christoffersen et ...
... We then conduct a performance attribution analysis on the long-short time-series momentum portfolios which can exhibit variable market bias over time, and find that there exists asymmetry in the return contribution from the long and short legs. Christoffersen and Diebold (2006) and Christoffersen et ...
Basic Financial Derivatives - Sanjeev Institute of Planning and
... earn profit for those persons who are ready to go for higher risks. In other words, these instruments, indeed, facilitate to transfer the risk from those who wish to avoid it to those who are willing to accept the same. Today, the financial derivatives have become increasingly popular and most commo ...
... earn profit for those persons who are ready to go for higher risks. In other words, these instruments, indeed, facilitate to transfer the risk from those who wish to avoid it to those who are willing to accept the same. Today, the financial derivatives have become increasingly popular and most commo ...
Managing biodiversity correctly – Efficient portfolio - Bio
... necessary instead to adopt a this context. While future holistic approach, as expressed returns cannot be predicted in the concept of sustainable with certainty, financial service development. Long-term consideproviders combine risks which rations and future expectations are independent of each othe ...
... necessary instead to adopt a this context. While future holistic approach, as expressed returns cannot be predicted in the concept of sustainable with certainty, financial service development. Long-term consideproviders combine risks which rations and future expectations are independent of each othe ...
BARCLAYS BANK PLC /ENG/ (Form: 424B2, Received: 12
... Reference Asset on the related Valuation Date and the corresponding return of each Reference Asset as measured from that Valuation Date to the Initial Valuation Date. The Reference Asset with the lowest Reference Asset Return on a Valuation Date will be deemed the Lowest Performing Reference Asset a ...
... Reference Asset on the related Valuation Date and the corresponding return of each Reference Asset as measured from that Valuation Date to the Initial Valuation Date. The Reference Asset with the lowest Reference Asset Return on a Valuation Date will be deemed the Lowest Performing Reference Asset a ...
Short Selling Risk - Rady School of Management
... short selling risk. If short selling risk matters, a risk-averse short seller would be willing to pay a premium for a contract that has a guaranteed fee and a fixed term. We estimate the premium on a fixed-term contract using prices from publicly traded options, and we find that the loan fee implied ...
... short selling risk. If short selling risk matters, a risk-averse short seller would be willing to pay a premium for a contract that has a guaranteed fee and a fixed term. We estimate the premium on a fixed-term contract using prices from publicly traded options, and we find that the loan fee implied ...
The Dark Side of Trading - The University of Chicago Booth School
... trades and triggers corresponding price revisions over relatively short horizons. There have been ...
... trades and triggers corresponding price revisions over relatively short horizons. There have been ...
Collateral requirements and asset prices
... Margin requirements are a crucial feature of our model. They determine with how much leverage agents can invest in risky assets. Following Geanakoplos (1997) and Geanakoplos and Zame (2002), we endogenize the margin requirements by introducing a menu of financial securities. All securities promise t ...
... Margin requirements are a crucial feature of our model. They determine with how much leverage agents can invest in risky assets. Following Geanakoplos (1997) and Geanakoplos and Zame (2002), we endogenize the margin requirements by introducing a menu of financial securities. All securities promise t ...