Commodities for the Long Run -- by Ari Levine, Yao Hua Ooi, Matthew Richardson
This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We...
View ArticleThe Effect of E-Cigarette Minimum Legal Sale Age Laws on Traditional...
We use United States birth record data to estimate the effect of e-cigarette minimum legal sale age laws on cigarette use and birth outcomes for pregnant teenagers. While these laws may have reduced...
View ArticleUpward Mobility and Discrimination: The Case of Asian Americans -- by...
Asian Americans are the only non-white US racial group to experience long-term, institutional discrimination yet today exhibit high income. I reexamine this puzzle. I focus on California, where most...
View ArticleJoint Statement On U.S.-EU Negotiations For A Bilateral Agreement On...
The United States and European Union today released the following joint statement on negotiations for a bilateral agreement on insurance and reinsurance measures:read more...
View ArticleTishman Speyer Announces Lease Transaction For OCC At The Franklin
Tishman Speyer, one of the world's leading real estate developers and owners, today announced that it has signed OCC, the world's largest equity derivatives clearing organization, to a long-term lease...
View ArticleBats Global Markets To Provide Bats One Quote, Trade Data To Morningstar -...
Bats Global Markets (Bats), a leading global operator of exchanges and services for financial markets, and Morningstar, Inc., a leading provider of independent investment research, today announced an...
View ArticlePOLITICO To Ring The Nasdaq Stock Market Closing Bell
What: POLITICO, the leading global news and information company at the intersection of politics and policy, will visit the Nasdaq MarketSite in Times Square.read more...
View ArticleArtemis.bm-Innovative ILS Can Address âCritical Protection Gapâ...
Artemis, a news, analysis and data media service, released an on-line article 3 November, 2016, titled Innovative ILS can address “critical protection gap” – ILS Bermuda leaders. The full release from...
View ArticleCyber Risk And Geopolitical Threats Top List Of Financial Industry Concerns...
Broad geopolitical risks, including the outcome of tomorrow’s U.S. Presidential Election and Britain’s exit from the EU (“Brexit”), were among top risks facing the global financial system, according to...
View ArticleThe Average-Marginal Relationship and Tractable Equilibrium Forms....
Economic variables with familiar tractable functional forms (constant-elasticity or linear) are only reweighted in the change from their average to marginal versions. They are also simple, featuring...
View ArticlePricing Derivatives in a Regime Switching Market with Time Inhomogeneous...
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian...
View ArticleOptimal shrinkage-based portfolio selection in high dimensions....
In this paper we estimate the mean-variance (MV) portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is...
View ArticleAn Equilibrium Model with Computationally Constrained Agents....
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use...
View ArticleEM Algorithm and Stochastic Control in Economics. (arXiv:1611.01767v1...
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time...
View ArticleEffects of income redistribution on the evolution of cooperation in spatial...
Income redistribution is the transfer of income from some individuals to others directly or indirectly by means of social mechanisms, such as taxation, public services and so on. Employing a spatial...
View Article`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance...
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members....
View ArticleASIC Welcomes Industry Funding Consultation
ASIC welcomes the Government's continued support for the introduction of an ASIC industry funding model and the release yesterday of the Proposals paper issued by Treasury on the proposed model.read...
View ArticleSpeech By Asley Adler, Chief Executive Officer, Hong Kong's Securities And...
A speech entitled "Keynote speech at 7th Pan-Asian Regulatory Summit" delivered by Mr Ashley Alder was posted on the SFC website today.read more...
View ArticleStatement On The UK Financial Conduct Authorityâs Review Of Royal Bank...
This statement provides an update on the Financial Conduct Authority’s (FCA) review of Royal Bank of Scotland’s (RBS) treatment of small and medium enterprise (SME) customers in financial...
View ArticleChina Construction Bank Celebrates Listing A 600 Million USD Bond On Nasdaq...
Yuan Shengrui, Senior Executive Officer of the DIFC branch of China Construction Bank (CCB), today rang the market-opening bell to celebrate the listing of a 600 million US dollar bond on Nasdaq Dubai,...
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