The impact of enterprise risk management on the performance of companies in...
In this paper, seven hypotheses are defined, on the basis of which a theoretical model is developed to examine how different sources of enterprise risk affect the operational performance of Serbian...
View ArticleBacktesting expected shortfall: a simple recipe?
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
View ArticleCrash risk exposure, diversification and cost of equity capital: evidence...
Based on a broad sample of Chinese listed firms for the period 2001â10, this study investigates the effect of stock price crash risk exposure n the cost of equity capital and uses the split share...
View ArticleSEC to Host Veterans Day Program for Active Duty Service Members and Veterans
The Securities and Exchange Commission will host a Veterans Day program on Tuesday, Nov. 12. The program will feature a conversation with SEC Chairman Jay Clayton and Colonel James Tuite of the U.S....
View ArticleSTS 013 – Jack Vogel: Market anomalies and quantitative approach to...
Podcast - Jack Vogel: Market anomalies and the quantitative approach to investing - https://t.co/GsaTvDdQZa â moneyscience (@moneyscience) October 30, 2019
View ArticleTime-consistent conditional expectation under probability distortion....
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so is beyond the scope of Peng's...
View ArticlePortfolio Optimization with Expectile and Omega Functions....
This paper proves equivalences of portfolio optimization problems with negative expectile and omega ratio. We derive subgradients for the negative expectile as a function of the portfolio from a known...
View ArticleA Classifiers Voting Model for Exit Prediction of Privately Held Companies....
Predicting the exit (e.g. bankrupt, acquisition, etc.) of privately held companies is a current and relevant problem for investment firms. The difficulty of the problem stems from the lack of reliable,...
View ArticleFind what you are looking for: A data-driven covariance matrix estimation....
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covariance matrix of asset...
View ArticleMichael Milken: The Junk Dealer. (arXiv:1910.13882v1 [q-fin.GN])
We take a closer look at the life and legacy of Micheal Milken. We discuss why Michael Milken, also know as the Junk Bond King, was not just any other King or run-of-the-mill Junk Dealer, but "The Junk...
View ArticleRank-size law, financial inequality indices and gain concentrations by...
This note examines financial distributions to competing teams at the end of the most famous multiple stage professional (male) bicyclist race, TOUR DE FRANCE. A rank-size law (RSL) is calculated for...
View ArticleTime-dependent lead-lag relationships between the VIX and VIX futures...
We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more...
View ArticleRandom concave functions. (arXiv:1910.13668v1 [math.PR])
Spaces of convex and concave functions appear naturally in theory and applications. For example, convex regression and log-concave density estimation are important topics in nonparametric statistics....
View ArticleMicroscopic Derivation of Mean Field Game Models. (arXiv:1910.13534v1 [math.OC])
Mean field game theory studies the behavior of a large number of interacting individuals in a game theoretic setting and has received a lot of attention in the past decade (Lasry and Lions, Japanese...
View ArticleGovernment subsidies, dividend and stock market refinancing of Chinese firms
Publication date: Available online 31 October 2019Source: Finance Research LettersAuthor(s): Wei HuangAbstractI show that government subsidies facilitate recipient firmsâ dividend payout and stock...
View ArticleCryptocurrency Accepting Venues, Investor Attention, and Volatility
Publication date: Available online 31 October 2019Source: Finance Research LettersAuthor(s): Nasim SabahAbstractUsing a novel dataset of cryptocurrency accepting business venues that accept...
View ArticleManagerial Overconfidence and Manipulation of Operating Cash Flow: Evidence...
Publication date: Available online 31 October 2019Source: Finance Research LettersAuthor(s): Daecheon Yang, Hyuntae KimAbstractManagerial overconfidence theory documents that overconfident managers...
View Article