Non-zero alpha in linear asset pricing models, often overlooked, presents exploitable opportunities for constructing "phi-portfolios" that can outperform traditional mean-variance portfolios, especially when considering factor strengths and employing a bias-corrected estimator for risk premia.
Bitcoin investors are compensated for risk through a significant Bitcoin Premium (BP) and Variance Risk Premium (VRP), particularly in low-volatility market regimes where downside risk is perceived as more substantial.
Billionaire investor Stanley Druckenmiller's decision to short US Treasury bonds reflects his belief that the Federal Reserve's attempts to control inflation will be insufficient, leading to a decline in the bond market.
저명한 투자자 제레미 그랜섬은 현재의 상황이 모든 자산 거품이며, 곧 경기 침체와 함께 S&P 500 지수가 50% 추가 하락할 가능성이 높다고 경고합니다.
Jeremy Grantham, a respected investor with a history of accurately predicting market bubbles, believes there is a high probability of an impending recession and stock market correction.
保険金請求の依存性を考慮せずに破産確率を計算すると、特に初期資本が大きい場合や大規模な保険会社では、過小評価につながる可能性がある。
This research develops a novel mathematical framework using quadratic backward stochastic differential equations (BSDEs) and convex duality to solve the utility maximization problem for an investor in incomplete financial markets characterized by unbounded payoffs, portfolio constraints, and potentially unbounded market coefficients.
이스라엘-이란 갈등과 같은 지정학적 불안정이 고조되더라도 비트코인은 에너지 가격 상승과 법정 화폐 가치 하락으로 인해 상승할 가능성이 높지만, 암호화폐 시장의 단기 변동성에 대비하여 신중한 투자 전략이 필요하다.
本稿では、米国債のリスクプレミアムの予測可能性について、従来の平均回帰分析ではなく、分位点回帰を用いた新たな検証を行っています。結果は、中央分位点においてはイールドカーブの情報のみで将来の債券リターンを予測可能である一方、テール分位点においてはトレンドインフレーションやトレンドインデットホールディングといったマクロ経済変数が予測力を持ち、イールドカーブの情報だけでは不十分であることを示唆しています。
The core message of this article is to study financial markets with concave transaction costs, where the transaction costs depend in a concave way on the volume of the transaction. This is a typical situation for small investors in currency and real estate markets.