Time consistency of the mean-risk problem. (arXiv:1806.10981v2 [q-fin.MF]...
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and is referred to as...
View ArticleSEC Charges Convicted Criminal Who Conducted Fraudulent ICO Using a Fake...
The Securities and Exchange Commission today charged convicted criminal Boaz Manor, his business associate, and two businesses, CG Blockchain Inc. and BCT Inc. SEZC, with raising over $30 million from...
View ArticleSEC to Report on State of Small Business Capital Formation in the U.S.
The U.S. Securities and Exchange Commission's Office of the Advocate for Small Business Capital Formation will report on its findings regarding the state of capital formation for small businesses and...
View ArticleSubscribe to read | Financial Times
âQuant winterâ raises tricky questions for a hot industry #Quant #Finance #Trading #AlgoTrading https://t.co/AIbDtPPmwL via @financialtimes â Yves Hilpischâ¦
View ArticleIFTTT / Incompatible Browser
Itâs just bizarre that amazingly clever disciplined diligent people constantly have so much #luck @MagnusCarlsen #chess #fantasyfootball â Charles Crawfordâ¦
View ArticleWilliam T. Ziemba's Contributions to Portfolio Theory and Practice
Half a century flies by when Bill applies himself to Markowitz's gift that keeps on givingâ¦
View ArticleComputation Graphs for AAD and Machine Learning Part II: Adjoint...
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of...
View ArticleBridging the Orthodox/Behaviorist Divide
Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are...
View ArticleElasticity of Variance of Variance
An empirical twoâhorse race between the Heston and SABR for the period around the 2008 financial crisis.
View ArticleThe Many�Worlds Interpretation of Risk Neutrality
There are many riskâneutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the BlackâScholes model each thought...
View ArticleThe Swiss Army Knife of Options Analytics
Finally, a solution to the most vexing problems of options pricing and fitting.
View ArticleEverything Is Rosy Now
âCapital markets are great shortâterm error correctors and poor longâterm predictors,â writes Kent. He calls the combination ârational myopia.â
View ArticleThe skewed world of Jan Darasz
Wilmott, Volume 2020, Issue 105, Page 72-72, January 2020.
View ArticleCars
Porsche arrives with its first allâelectric car for those who can't take Tesla seriously enough.
View ArticleConvexity Without Replication
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic...
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