Volume 15, Number 4, 2017 View PDF… Read more
4th Quarter (2017)
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
Book Review – Behavioral Risk Management: Managing the Psychology that Drives Decisions and Influences Operational Risk
Volume 15, Number 4, 2017 By Hersh Shefrin, Reviewed by Cel Kulasekaran View PDF</a… Read more
Case Study – Pricing for Survival in the Biopharma Industry: A Case Study of Acthar Gel and Questcor Pharmaceuticals
Volume 15, Number 4, 2017 Terence C. Burnham, Samuel Huang and Andrew W. Lo Recent cases of aggressive pricing behavior in the biopharmaceutical industry have raised serious concerns among payers and policymakers about industry ethics. However, these cases should not be confused with price increases motivated by challenging business conditions that ultimately lead to greater… Read more
The Impact of Costs on Recent Target Date Fund Performance
Volume 15, Number 4, 2017 C. Edward Chang, Thomas M. Krueger and Mark A. Wrolstad Target date funds (TDFs) are rapidly becoming a common means to prepare for retirement. Given the swelling demand for these funds, this research is a timely look at TDFs’ most recent decade. As of March 2016, 518 TDFs have been… Read more
Investment Horizon Risk and Volatility Metrics
Volume 15, Number 4, 2017 Robert Korkie We re-examine the literatures’ disparate conclusions that stock returns are more (less) volatile over longer investment horizons. We claim that the commonly employed variance ratio is incapable of generally determining whether investment risk increases with investment horizon. We demonstrate that the use of effective returns and standard deviation… Read more
A Portfolio Strategy with Hedge Funds and Liquid Alternatives
Volume 15, Number 4, 2017 E. William Stone and Paul J. White The advent of liquid alternatives in mutual fund format in recent years has brought with it challenges and opportunities with regards to portfolio strategy. Interpretation of these vehicles as return enhancers or risk diversifiers can lead to very different approaches in portfolio construction… Read more
How to Calibrate the Risk of Buyout Investments? Through Buyout-Backed Initial Public Offerings
Volume 15, Number 4, 2017 Jean-François L’Her, Ram Karthik and Stéphanie Desrosiers This paper proposes to use the public market returns of buyout-backed initial public offerings (BO-backed IPOs) as a proxy for buyout funds’ appraisal-based returns. Because they provide an economically significant route to exit, and their leverage and fund ownership are still significant three… Read more