Volume 13, Number 2, Second Quarter 2015 Jack L. Treynor View PDF… Read more
Second Quarter (2015)
BOOK REVIEW: Think Like a Freak
Volume 13, Number 2, Second Quarter 2015 Think Like a Freak Steven Levitt and Stephen Dubner Reviewed by Javier Estrada View PDF… Read more
PRACTITIONER’S DIGEST
Volume 13, Number 2, (2015) View PDF… Read more
Strategic Asset Allocation with Low-Risk Stocks: A Bootstrap Analysis
Volume 13, Number 2, Second Quarter 2015 Wai Mun Fong and Timothy Koh Traditional asset allocations such as the 60/40 portfolio of stocks/bonds are not as well diversified as many investors believe since almost all the portfolio’s returns are driven by the stock component. This paper examines a novel approach to strategic allocation by combining… Read more
INSIGHTS: What Piketty Doesn’t Understand
Volume 13, Number 2, Second Quarter 2015… Read more
Alternative Currency Hedging Strategies With Known Covariances
Volume 13, Number 2, Second Quarter 2015 Wei Chen, Mark Kritzman and David Turkington Informed investors understand that they should hedge at least some of their portfolios’currency exposure, but the best strategy for doing so remains an open question. We investigate a variety of currency hedging strategies, including linear strategies, non-linear strategies, and combinations thereof… Read more
Growth Optimal Portfolio Insurance for Long-Term Investors
Volume 13, No. 2, Second Quarter, 2015 Daniel Mantilla-García We solve the growth-rate optimal multiplier of a portfolio insurance strategy in the general case with a locally risky reserve asset and stochastic state variables. The level of the optimal time-varying multiplier turns out to be lower than the standard constant multiplier of Constant Proportion Portfolio… Read more
A Structural Macro-Financial Model an Macro-Risk Management
Volume 13, Number 2, Second Quarter 2015 Thomas S. Y. Ho and Sang Bin Lee This paper provides a structural macro-financial model that can be used for the cost and benefit analysis of alternative financial regulatory regimes. The model solves for the optimal financial sector size to the real aggregate asset (household leverage) and to… Read more
Equity Indices’ Returns: Contingent Claims on GDP Stochastic Movements
Volume 13, Number 2, Second Quarter 2015 Thomas S.Y. Ho and Sang Bin Lee This paper proposes an equity index contingent claim model. The model assumes that the equity broad-based market indices’stochastic movements are contingent to macroeconomic risk factors that are derived from Ho et al.’s (HPS, 2012, 2013) and Ho and Lee’s (HL, 2015b… Read more