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Surveys and Crossovers

0 comments / 2024-02-14 / the JOIM / Surveys and Crossovers

Surveys And Crossover – Unrealistic Expectations: The Futility of Precisely Estimating a Stock’s Expected Return

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

0 comments / 2019-11-13 / the JOIM / Archives, 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

0 comments / 2019-07-29 / the JOIM / Archives, Surveys and Crossovers

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

0 comments / 2019-01-29 / the JOIM / Archives, Surveys and Crossovers

Predicting Investor Success Using Graph Theory and Machine Learning

Vol 17, No. 1, 2019 Jeffrey Glupker, Vinit Nair, Benjamin Richman, Kyle Riener, and Amrita Sharma We extract a large dataset of venture capital financing and related startup firms from Crunchbase. This paper examines how network position determines the success rate of investors. Precision in determining which investors will be successful is relatively high, but it… Read more

0 comments / 2018-10-29 / the JOIM / Archives, Surveys and Crossovers

Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios

Vol. 16. No. 4, 2018 Survey and Crossovers Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient  Portfolios Jürgen Vandenbroucke and Sanjiv Ranjan Das View PDF… Read more

0 comments / 2018-06-14 / the JOIM / Archives, Surveys and 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

0 comments / 2018-04-02 / the JOIM / Archives, Surveys and Crossovers

Crypto-Assets Unencrypted

Vol. 16, No. 2, 2018 Seoyoung Kim, Atulya Sarin and Daljeet Virdi With the recent surge in crypto-activity, a natural question arises as to what exactly a “cryptocurrency” is and how to value and assess these digital assets. In this paper, we provide an overview of the history and technology underlying cryptocurrencies. We also present… Read more

0 comments / 2017-11-07 / the JOIM / Archives, Surveys and 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

0 comments / 2016-11-16 / the JOIM / Archives, Surveys and Crossovers

The Economics of Flash Orders and Trading

Lawrence E. Harris and Ethan Namvar Volume 14, Number 4, 2016 View PDF… Read more

0 comments / 2016-08-02 / the JOIM / Archives, Surveys and Crossovers

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

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