Technical paper/Investment
Extending risk budgeting for market regimes and quantile factor models
In this paper, the authors combine several disparate avenues in the literature to create a novel, unified risk-based optimization framework.
Asymmetry herding behavior of real estate investment trusts: evidence from information demand
This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index.
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Technical uncertainty in real options with learning
This paper introduces a new approach for incorporating uncertainty in the decision to invest in a commodity reserve.
The optimal investment problem in stochastic and local volatility models
This paper considers the classical optimal investment allocation problem of Merton through the lens of some more modern approaches, such as the stochastic volatility and local volatility models.
Why are investors’ mutual fund market allocations far from optimal?
In this paper, the authors analyze why the optimal portfolio of funds that investors may take under complete information and the actual structure of the mutual fund market differ.
Reflections on recent volatility
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Speed and dimensions of trading
In this paper, two new portfolio statistics are introduced: ENT, which measures trading speed, and ENTD, which measures trading diversity. Together with vectors representing major trading directions, these provide new insight into the intrinsic…
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.