A six-factor asset pricing model. (arXiv:1810.07790v1 [q-fin.ST])
The present study introduce the human capital component to the Fama and French five-factor model proposing an equilibrium six-factor asset pricing model. The study employs an aggregate of four sets of...
View ArticleForecasting financial crashes with quantum computing. (arXiv:1810.07690v1...
A key problem in financial mathematics is the forecasting of financial crashes: if we perturb asset prices, will financial institutions fail on a massive scale? This was recently shown to be a...
View ArticleAdvertising and Brand Attitudes: Evidence from 575 Brands over Five Years....
Little is known about how different types of advertising affect brand attitudes. We investigate the relationships between three brand attitude variables (perceived quality, perceived value and recent...
View ArticleImplied and Realized Volatility: A Study of the Ratio Distribution....
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the...
View ArticleScaling Limits for Super--replication with Transient Price Impact....
We prove limit theorems for the super-replication cost of European options in a Binomial model with transient price impact. We show that if the time step goes to zero and the effective resilience...
View ArticleHow production networks amplify economic growth. (arXiv:1810.07774v1 [q-fin.GN])
Technological improvement is the most important cause of long-term economic growth, but the factors that drive it are still not fully understood. In standard growth models technology is treated in the...
View ArticleWhich portfolio is better? A discussion of several possible comparison...
During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more...
View ArticleDoes strategic commodities price respond to U.S. Partisan Conflict? Evidence...
Currently, U.S. politics have been characterized by a high degree of partisan conflict, which has led to increasing polarization and high policy uncertainty. Given the importance of U.S. in the global...
View ArticleOptimal continuous-time ALM for insurers: a martingale approach....
We study a continuous-time asset-allocation problem for a firm in the insurance industry that backs up the liabilities raised by the insurance contracts with the underwriting profits and the income...
View ArticlePortfolio Construction Matters. (arXiv:1810.08384v1 [q-fin.PM])
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can...
View ArticleReverse Quantum Annealing Approach to Portfolio Optimization Problems....
We investigate a hybrid quantum-classical solution method to the mean-variance portfolio optimization problems. Starting from real financial data statistics and following the principles of the Modern...
View ArticleModelling information flow in stochastic optimal control: How...
In stochastic control one seeks to find an intervention policy that optimally controls a stochastic system. Delicate issues arise when the considered system can jump due to both exogenous shocks and...
View ArticleA common trajectory recapitulated by urban economies. (arXiv:1810.08330v1...
Is there a general economic pathway recapitulated by individual cities over and over? Identifying such evolution structure, if any, would inform models for the assessment, maintenance, and forecasting...
View ArticleOptimal hedging under fast-varying stochastic volatility. (arXiv:1810.08337v1...
In a market with a rough or Markovian mean-reverting stochastic volatility there is no perfect hedge. Here it is shown how various delta-type hedging strategies perform and can be evaluated in such...
View ArticleGlobal Closed-form Approximation of Free Boundary for Optimal Investment...
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that...
View ArticleOptimal electricity demand response contracting with responsiveness...
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the literature shows failure to reduce the variance of consumers' responses. This paper...
View ArticleHyperfinite Construction of $G$-expectation. (arXiv:1810.09386v1 [q-fin.MF])
The hyperfinite $G$-expectation is a nonstandard discrete analogue of $G$-expectation (in the sense of Robinsonian nonstandard analysis). A lifting of a continuous-time $G$-expectation operator is...
View ArticleDescription of Incomplete Financial Markets for the Discrete Time Evolution...
In the paper, the martingales and super-martingales relative to a regular set of measures are systematically studied. The notion of local regular super-martingale relative to a set of equivalent...
View ArticleCausal Tree Estimation of Heterogeneous Household Response to Time-Of-Use...
We examine the distributional effects of the introduction of Time-of-Use (TOU) pricing schemes where the price per kWh of electricity usage depends on the time of consumption. These pricing schemes are...
View ArticleQuantifying the Model Risk Inherent in the Calibration and Recalibration of...
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to recalibration of...
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