Avoiding Silver Bullets
By Aaron Filbeck, CFA, CAIA, CIPM â Associate Director, Content Development at CAIA Association Whether itâs that some retail versions of alternative investments have not lived up to their private...
View ArticleWall Street Tackles Sustainable Development Goals
In 2015 the United Nations defined 17 Sustainable Development Goals [no poverty, no hunger, health & well-being, etc.] along with 169 targets that were devised to allow for quantitative measurement...
View ArticleIn the room where it happens: An investigation of the potential of regulatory...
Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy at CAIA Association Do you want to be in the room where it happens, when âThe Smartest Guys in the Roomâ* are plotting their...
View ArticleReal Assets ‘Inception:’ Diversification within Diversification
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 1 The Alternative Investment...
View ArticleESG vs Low-Carbon Investing
By Nicolas Rabener of FactorResearch @FactorResearch INTRODUCTION Investors seeking exposure to global equities with a low carbon footprint could consider the iShares MSCI ACWI Low Carbon ETF (CRBN) or...
View ArticleTech M&A Market: Demanding Sellers, Fewer Buyers
Corum Group, a merger and acquisitions advisor, which works with privately held technology companies, has put out its annual report, which tells us a good deal about where the action is in the tech...
View ArticleA Walk Through the Forest with Joe Simonian
What Does Machine Learning Have to do with Fama and French? By Keith Black, PhD, CFA, CAIA, FDP, Managing Director, CAIA Association âI went to the woods because I wished to live deliberately, to...
View ArticleAre the Robots Really Taking Over?
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 3 The Alternative Investment...
View Article3 Threats to Hedge Funds
A recent paper by a scholar at Tilburg University and a market participant at Robeco outlines the difficulties that the hedge fund industry has faced over the last decade. These problems arose, at...
View Article(SH)Elijah
By Bill Kelly, CEO, CAIA Association You donât really need to be a Talmud scholar to know about the mission and purpose of the prophet Elijah. A fixture of the Passover Seder, he is always accorded...
View ArticleEpstein-Zin Utility Maximization on Random Horizons. (arXiv:1903.08782v2...
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market...
View ArticleReligion and Terrorism: Evidence from Ramadan Fasting. (arXiv:1810.09869v3...
We study the effect of religion and intense religious experiences on terrorism by focusing on one of the five pillars of Islam: Ramadan fasting. For identification, we exploit two facts: First, daily...
View ArticlePredicting Stock Returns with Batched AROW. (arXiv:2003.03076v1 [q-fin.CP])
We extend the AROW regression algorithm developed by Vaits and Crammer in [VC11] to handle synchronous mini-batch updates and apply it to stock return prediction. By design, the model should be more...
View ArticleA Mean Field Game Approach to Equilibrium Pricing with Market Clearing...
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the...
View ArticleConflict externalization and the quest for peace: theory and case evidence...
I study the relationship between the likelihood of a violent domestic conflict and the risk that such a conflict "externalizes" (i.e. spreads to another country by becoming an international dispute). I...
View ArticleConvex Optimization Over Risk-Neutral Probabilities. (arXiv:2003.02878v1...
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability...
View ArticleMalliavin-Mancino estimators implemented with non-uniform fast Fourier...
We implement and test kernel averaging Non-Uniform Fast-Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously sampled event-data using...
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If the UK is high tech, why is productivity growth slow? Economists weigh in
The UK has seen slow rates of productivity growth over the past decade, with output per hour and real wages no higher today than they were prior to the global financial crisis. The February 2020...
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Narrative Economics: How Stories Go Viral and Drive Major Economic Events...
If you are interested in this review, you can watch a video of Robert J. Shiller speaking about his new book at LSE or listen to a podcast of the event, both recorded on 6 September 2019. Narrative...
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Blocked pipeline: the career trajectory of women in strategy leadership
The discussion of âfairâ participation of female professionals in the workforce has been a hot topic in business literature and practice. Several large enterprises, such as Santander, Uber, PWC...
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