Vol. 22, No. 1, 2024 Sanjiv R. Das and Daniel Ostrov …dedicated to the memory of Mark S. Joshi, who worked to make results like these better known We reprise the result that even underthe best circumstances, it is impossible to use observed return data for a stock to determine its expected return with any… Read more
Surveys and Crossovers
Surveys And Crossover – What Does the Bet Against Beta Strategy Mean in a Multi-Factor World?
Vol. 17, No. 4, 2019 Brian Ayash, Zeimowit Bednarek and Pratish Patel As of February 2019, an investor had a choice to invest in 1,043 smart beta Exchange-Traded Funds (ETFs). These ETFs depend on well-established asset-pricing anomalies. This paper provides a theoretical foundation justifying their existence. Loosely speaking, the investment strategy from the anomalies is… Read more
Surveys and Crossovers – The F-Utility of Wealth: It’s All Relative
Vol. 17, No. 3, 2019 Arun Muralidhar Finance theory is based on a very simple, yet critical assumption that “individuals maximize the expected utility of wealth”. However, there are three crucial elements of this simple six-word phrase that does not really stand the test of what investors actually do and one could argue that the… Read more
Surveys&Crossovers – Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios
Vol. 16. No. 4, 2018 Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios Jürgen Vandenbroucke and Sanjiv Ranjan Das View PDF… Read more
Surveys&CrossOvers – Distributed Ledger and Blockchain Technology: Framework and Use Cases
Vol. 16, No.3, 2018 Seoyoung Kim and Atulya Sarin Since its first widespread implementation in 2009, distributed ledgers in general, and blockchain technology in particular, have rapidly become a part of the FinTech vernacular. In this paper, we provide an overview of the history of trade settlement and discuss this nascent technology that may now… Read more
Surveys&CrossOvers – Machine Learning in Finance: The Case of Deep Learning for Option Pricing
Volume 15, Number 4, 2017 Robert Culkin and Sanjiv R. Das View PDF… Read more
The Economics of Flash Orders and Trading
Lawrence E. Harris and Ethan Namvar Volume 14, Number 4, 2016 View PDF… Read more
Correlation or Causation?: The Sorry State of Inference in Empirical Modeling
Volume 14, Number 3, 2016 Xiaojing Dong and John Heineke For decades, statistical methods, many based upon the “general linear model,” have been used to do estimation and test hypotheses in the social and natural sciences, in medicine, and in the private sector. These tools have become increasingly sophisticated and are often paired with powerful… Read more
SURVEYS AND CROSSOVERS: A Survey of University Endowment Management Research
Georg Cejnek, Richard Franz, Otto Randl and Neal Stoughton There is significant interest in how university endowments manage money and perform, and an emerging strand of finance research specializes in this growing area. The purpose of this paper is to survey and review the state-of-the-art in this field. We classify papers into four areas. (1)… Read more
SURVEYS AND CROSSOVERS: Sovereign Credit Default Swap Premia
Patrick Augustin This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main elements of the review relate to the determinants of sovereign CDS spreads… Read more