Financialization in Commodity Markets -- by V.V. Chari, Lawrence Christiano
The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence...
View ArticleThe Impact of Partial-Year Enrollment on the Accuracy of Risk Adjustment...
Accurate risk adjustment facilitates healthcare market competition. Risk adjustment typically aims to predict annual costs of individuals enrolled in an insurance plan for a full year. However,...
View ArticleGlobal Macro Risks in Currency Excess Returns -- by Kimberly A. Berg, Nelson...
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country...
View ArticleThree Ways Leaders Can Build Trust
I was asked a very important question today during a presentation to a group of senior finance executives from a wide array of Fortune 500 companies. One person asked, "How does a leader build trust?...
View ArticleWeekly Top 5 Papers â September 11th 2017
1. A Brief Introduction to the Basics of Game Theory by Matthew O. Jackson (Stanford University – Department of Economics; Santa Fe Institute; Canadian Institute for Advanced Research (CIFAR))read...
View ArticleAdditive energy forward curves in a Heath-Jarrow-Morton framework....
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the...
View ArticlePredictive Modeling: An Optimized and Dynamic Solution Framework for...
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features....
View ArticleAndrew Curtis Podcast
If you are interested, Andrew Curtis interviewed me for a recent episode of his podcast. You can access it via iTunes here.
View ArticleHow I Snatched 153,037 ETH After A Bad Tinder Date â Mitch Brenner...
Cautionary Tale - How I Snatched 153,037 ETH After A Bad Tinder Datehttps://t.co/KDrjXB1gHH â Financial Technology (@fin_tech) September 13, 2017
View ArticleBryant Alumni Reception in Minneapolis
Several days prior to running the Twin Cities Marathon, I'll be hosting a reception for Bryant alumni in Minneapolis along with Robin Warde, Director of Alumni Engagement at Bryant. The event will...
View ArticleScott Galloway's "Amazon Clinic"
For those intrigued by my post yesterday regarding Amazon and possible future acquisition targets, you should take a look at NYU Professor Scott Galloway's talk titled "Amazon Clinic." He presents...
View ArticleRisk-Aware Multi-Armed Bandit Problem with Application to Portfolio...
Sequential portfolio selection has attracted increasing interests in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning...
View ArticleWelfare effects of information and rationality in portfolio decisions under...
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal)...
View ArticleMultivariate Density Modeling for Retirement Finance. (arXiv:1709.04070v1...
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not...
View ArticleRandom walks and market efficiency in Chinese and Indian equity markets....
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are...
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