Vol. 22, No. 3, 2024 Gurdip Bakshi, John Crosby, Xiaohui Gao, Jinming Xue and Wei Zhou The negative correlation condition (NCC) of Martin (2017) is that covPt (MT RT,RT )≤ 0 for all MT, where MT is the SDF and RT is the gross market return. He employs this assumption to derive a lower bound… Read more
the JOIM
Stock Market Insurance Prices, BL Skew, Conditional Marginal Utilities and the Equity Risk Premium
Vol. 22, No. 3, 2024 Douglas T. Breeden Option prices contain information about implicit state prices. In their recent article, Breeden and Litzenberger (B-L, 2022) demonstrated how option pricesin bond marketsfrom interest rate cap and floor price data can be used to identify the impacts of central bank policies on the distribution of state prices… Read more
Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims
Vol. 22, No. 3, 2024 Sanjay K. Nawalkha and Xiaoyang Zhuo Nearly half-a-century after the advent of equivalent martingale measures (EMMs), Nawalkha and Zhuo (2022, 2023) generalize these measures to obtain equivalent expectation measures (EEMs) for analyzing risk and return of portfolios of contingent claims over a finite horizon date. The new measures allow the… Read more
About Fischer Black
Vol. 22, No. 3, 2024 Emanuel Derman This speech is based on the chapter about Fischer Black in my 2004 book My Life as a Quant. View PDF… Read more
Retirement Security Bonds
Vol. 22, No. 3, 2024 Robert C. Merton 50th Anniversary Speech by Nobel Laureate Robert C. Merton December 1, 2023 CISDM, UMass Amherst View PDF… Read more
Introduction
Vol. 22, No. 3, 2024 Douglas Breeden, John Hull and Sanjay Nawalkha View PDF… Read more
Letter from the Editor
Vol. 22, No. 3, 2024 View PDF… Read more
Optimal Portfolio Choice with Absorbing Markov Chains: Application to Markets that May Potentially Decouple
Vol. 22, No. 2, 2024 by Andrew Ang, Henry Shen, Jeff Shen and Rui Zhao We develop a model of optimal asset allocation with a market that has the potential to decouple. There are three Markov regimes: a regime where the market remains fully investable, a second regime where the market may become potentially decouple… Read more
Extreme Weather and Retirement Savings
Vol. 22, No. 2, 2024 by Ted Daverman, Joshua Kazdin, Michael Pensky and Fiona Sloof In this paper, we discuss the impact of extreme weather on US families with a specific focus on household finances. We first derive a life-cycle model of consumption, then introduce climate change-oriented consumption shocks as an additional expense which is… Read more
Night Moves: Is the Overnight Drift the Grandmother of all Market Anomalies?
Vol. 22, No. 2, 2024 by Victor Haghani, Vladimir Ragulin and Richard Dewey Our research in single name stocks suggests that retail trading likely explains the phenomenon of outsized overnight returns at both the level of the overall stock market, and that of individual stocks. We find that the effect exists at the index level… Read more