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Time-Varying Fund Manager Skill 28 Jul 2013 | 06:09 am
Another interesting paper forthcoming in Journal of Finance investigates the stock picking and market timing abilities of mutual fund managers. Quotation We propose a new definition of skill as a ge...
European Option Price with Excess Skewness and Kurtosis 10 May 2013 | 04:57 pm
Stock returns however exhibit nonormal skewness and kurtosis as pointed out by Hull (1993) and Nattenburg (1994). Moreover, the volatility skews are a consequence of the empirical normality assumption...
Liquidity-Driven Dynamic Asset Allocation 1 May 2013 | 04:41 pm
A paper published in The Journal of Portfolio Management, 2013, 39 (3), pp 102-111, by James X. Xiong, Rodney N. Sullivan, and Peng Wang. Quotation We propose a model of portfolio selection that adj...
Mutual Funds R2 as Predictor of Performance 15 Feb 2013 | 07:16 pm
Improving the accuracy of mutual funds' performance prediction is an interesting and endless topic. A paper published in Review of Financial Studies by Amihud and Goyenko (2013) No. 26 (3) investigate...
A Constant-Volatility Framework for Managing Tail Risk 31 Jan 2013 | 03:54 pm
A paper published in the Journal of Portfolio Management, 2013, Vol. 39, No. 2: pp. 28-40, by Alexandre Hocquard, Sunny Ng, and Nicolas Papageorgiou. Quotation Since Lehman Brothers collapsed in 200...
Worst-Case Value at Risk of Nonlinear Portfolios 21 Jan 2013 | 11:50 pm
A paper published in Management Science written by Zymler, S., Kuhn, D., and Rustem, B. Nice & Practical. Quotation Portfolio optimization problems involving value at risk (VaR) are often computatio...
Fourth Set: Basel III counterparty credit risk - Frequently asked questions 28 Dec 2012 | 09:07 pm
The Basel Committee on Banking Supervision has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity a...
How to Combine Long and Short Return Histories Efficiently 19 Dec 2012 | 04:06 pm
Missing data imputation is a common technique many researchers have to apply for some certain situations, especially when we do some portfolio analysis that requires an equal length of historical retu...
A CRO guide to deal with financial amnesia 12 Dec 2012 | 04:33 pm
A guest post from Anton Kwaijtaal: A CRO guide to deal with financial amnesia. 1. Don’t fear the risk of falling behind Whether it is the risk of falling behind, peer group pressure or ill-defined in...
Thanksgiving 2012: A Famous Temple in China 22 Nov 2012 | 09:26 pm
Time flies, another thanksgiving day of a year. I would like to express utmost thanks to my supervisor, Professor David Newton, for his continued encouragement, support and guidance throughout the co...
