Volume 7, Number 4, Fourth Quarter 2009 The Ascent of Money: A Financial History of the World Niall Ferguson Reviewed by Bruce Grantier View PDF… Read more
Fourth Quarter (2009)
SURVEYS AND CROSSOVERS: Financial Applications with Parallel R
Sanjiv R. Das and Brian Granger Volume 7, Number 4, Fourth Quarter 2009 The use of statistical packages in finance has two functions. One, econometric analysis of large volumes of data, and two, programming financial models. A popular package for these purposes is R. In this article we will examine two canonical applications of parallel… Read more
CASE STUDIES
Volume 7, Number 4, Fourth Quarter 2009 Jack L. Treynor View PDF… Read more
Striking Regulatory Irons While Hot
Hersh Shefrin and Meir Statman Volume 7, Number 4, Fourth Quarter 2009 We are in the midst of what might end up as the most significant change to financial regulations since the Great Depression. This is because the financial and economic crisis that continues to engulf us is the most severe crisis since the Great… Read more
The Dynamics of Leveraged and Inverse Exchange-Traded Funds
Minder Cheng and Ananth Madhavan Volume 7, Number 4, Fourth Quarter 2009 Leveraged and inverse Exchange-Traded Funds (ETFs) have attracted significant assets lately. Unlike traditional ETFs, these funds have leverage explicitly embedded as part of their product design. While these funds are primarily used by short-term traders, they are gaining popularity with individual investors placing… Read more
The Risk That Risk Will Change
Robert F. Engle Volume 7, Number 4, Fourth Quarter 2009 Standard approaches to risk management focus on short run risks, yet many positions are held for longer periods. Over such holding periods there is a risk that risks will change. In this note several easily implemented approaches to estimating the term structure of risk are… Read more
INSIGHTS: The 7 Habits of Highly Suspicious Hedge Funds
Richard Bookstaber Volume 7, Number 4, Fourth Quarter 2009… Read more