On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets....
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market consisting of one safe asset and finitely many risky assets. We show...
View ArticleAt What Frequency Should the Kelly Bettor Bet?. (arXiv:1801.06737v1 [math.OC])
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The game is defined by a...
View ArticleA Second Order Cumulant Spectrum Based Test for Strict Stationarity....
This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process. When the null hypothesis is true, the second order cumulant spectrum is...
View ArticleCapital Structure in U.S., a Quantile Regression Approach with Macroeconomic...
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the...
View ArticleModelo de maturidade em gerenciamento de riscos em projetos (Project Risk...
The globalization feeded by the technology explosion that begans in the end of the last century, started the world to change faster every day. The only today's certain is the tomorrow's uncertain. Risk...
View ArticleUSDA Forecasts: A meta-analysis study. (arXiv:1801.06575v1 [econ.EM])
The primary goal of this study is doing a meta-analysis research on two groups of published studies. First, the ones that focus on the evaluation of the United States Department of Agriculture (USDA)...
View ArticleCommodity Merchant Louis Dreyfus Trials Blockchain for Soybean Trade
Louis Dreyfus, a major commodities trading company, has announced that it has piloted a blockchain-based transaction system developed by a group of financial institutions including ING.
View ArticleCoinbase Taps Twitter Vet to Bolster Customer Support Team
Coinbase has added Twitter's former vice president of operations and user services to its team in an effort to improve its customer service.
View ArticleSEC 'Looking Closely' at Public Company Blockchain Pivots, Says Chairman
The SEC is investigating companies that have made recent waves in markets with their public pivots toward blockchain.
View ArticleBitcoin Slides More Than 10 Percent to Near $10,000 Level
The price of bitcoin is down more than 10% today, according to CoinDesk's Bitcoin Price Index (BPI).
View ArticleUS Senators Blast Venezuela's Oil-Backed Cryptocurrency Plan
U.S. Senators Marco Rubio (R.-Fl) and Robert Menendez (D.-NJ) have denounced Venezuela's planned cryptocurrency in a new letter.
View ArticleSarcasm As Best Precaution Against Crisis, By Kelvin To, Founder And...
Central bankers around the world shifted priorities in a last minute notice. They postponed deadlines for FRTB revised market risk framework, CVA, IRB, operational risk SMA and others to 2022 and...
View ArticleGaussian Approximation of a Risk Model with Stationary Hawkes Arrivals of...
We consider a classical risk process with arrival of claims following a stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival...
View ArticleAlonso and the Scaling of Urban Profiles. (arXiv:1801.07512v1 [physics.soc-ph])
The scaling of urban characteristics with total population has become an important research field since one needs to better understand the challenges of urban densification. Yet urban scaling research...
View ArticleCapital allocation under Fundamental Review of Trading Book....
The Fundamental Review of Trading Book (FRTB) from the Basel Committee overhauls the regulatory framework for minimum capital requirements for market risk. Facing the tightened regulation, banks need...
View ArticleNumeraire markets. (arXiv:1801.07309v1 [q-fin.MF])
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market...
View ArticleMakerDAO and More: The Quest for a Stable Stablecoin Continues
Even with a tumultuous past and harsh critics, stablecoin projects keep popping up, aiming to relieve some of the volatility in the crypto markets.
View ArticleHongshi Holding Group Issues B&R Construction Corporate Bond On Shanghai...
On January 19, Hongshi Holding Group Co., Ltd. successfully issued the "Belt and Road" (B&R) construction corporate bond on the Shanghai Stock Exchange (SSE), which was also the first B&R...
View ArticleUK Government Lures Distributed Ledger Projects With $26 Million Fund
Innovate UK, the United Kingdom's innovation arm, plans to invest more than $26 million in emerging tech projects, including distributed ledgers.
View ArticleJanuary 2018 Data Update 4: The Currency Conundrum
There is perhaps no more mangled nor misunderstood part of financial analysis than the handling of currencies, and globalization has only made the problems worse. From the laziness of assuming that...
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