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Special Report on

Jumps and Dynamic Asset Allocation

jumps and dynamic asset allocation special research report Photo by cdn.wn.com
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies , Journal of Financial Economics , 2008, 87(1), 132-156. Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock Options Market , Journal of Derivatives , 2007, 15(2), 20-38. Reprinted in Journal of Trading , 2008, 3(1), 68-86. Peter Carr, and Liuren Wu, Stochastic Skew in Currency Options , Journal of Financial Economics , 2007, 86(1), 213-247. Henry Mo, and Liuren Wu, International Capital Asset Pricing: Evidence from Options , Journal of Empirical Finance , 2007, ...
intended to provide economic incentives to U.S. residents to purchase a new, more fuel-efficient vehicle when trading in a less fuel-efficient vehicle. The program was promoted as providing stimulus to the economy by boosting auto sales, while putting safer, cleaner and more fuel-efficient vehicles on the roadways. Although the program officially started on July 1, 2009, the processing of claims did not begin until July 24, 2 and the program ended on August 24, as the appropriated resources were exhausted. 3 4 The deadline for dealers to submit applications was August 25. 5 According to estimates of the Department of Transportation
REVIEWS AND OPINIONS
Shares of Zions dropped 9 « Joints Like Mine
Shares of Zions dropped 9.8 percent to $16.17,while Regions dropped 4.43 percent to $4.75. "There are strategic interests involved," wrote Warigi, referring to China.Clinton leaves Abuja on Thursday for a brief stop in Liberia's capital Monrovia and then Cape Verde for an overnight visit. Emerson`s PlantWeb digital architecture selected for revolutionary venturebetween Tyson Foods, Inc., and Syntroleum Corporation to convert animal fats andgreases into ultra-clean, renewable dieselAUSTIN, Texas--(Business Wire)--Dynamic Fuels, a 50/50 venture of Tyson Foods, Inc., and Syntroleum Corporation,has awarded Emerson ... market research, surveys and trends
Vix Asset Allocation Model is Obvious
ADDED 5/16/2009: Some readers are coming to this post from Google.  This post assumes some familiarity with lengthy discussions which preceded it.  I would suggest starting with these posts:  And then, if you are interested in this topic, my discussions are linked in this Gateway Post: ******************************************original post: In my prior post, I mention that the VIX Asset Allocation model was obvious.  This is not rocket science.  Being a long term investor, I knew about the past when I opened the chart for the first time in 2007 and just looked at it. I have no recollection of what ... market research, surveys and trends

SURVEY RESULTS FOR
JUMPS AND DYNAMIC ASSET ALLOCATION

Time-Series Models; Dynamic Quantile Regressions
Mean bond, stock and forex jumps are about 5, 4 and 3 percent of their ..... first determines whether the asset price jumps and then–if there is a jump–a truncated regression ..... Dynamic asset allocation with event risk. Journal of Finance ... The incremental volatility information in one million foreign exchange ... industry trends, business articles and survey research
The Economics of the Estate Tax
      This analysis examines the arguments for and against the federal estate tax and concludes that the estate tax generates costs to taxpayers, the economy and the environment that far exceed any potential benefits that it might arguably produce.       This paper documents the extensive costs associated with the federal estate tax. Specifically, the report finds: The existence of the estate tax this century has reduced the stock of capital in the economy by approximately $497 billion, or 3.2 percent. The distortionary incentives in the estate tax result in the inefficient ... industry trends, business articles and survey research
RELATED NEWS
4 Funds With a Hefty Stake in Gold
continue to flee equities in search of a safe haven, some have flocked to hard assets like gold. Mutual funds with heavy exposure to gold have benefited. On Friday, gold prices stretched to new highs, with gold delivery for August settling at $1,258.30 an ounce after reaching as high as $1,263.70. The price jump is fueling speculation over how long gold will continue to shine and how well the commodity might serve the funds that hold it for the rest of the year. Fred Dickson, chief market strategist at the Davidson Companies, says the rule of thumb for how much an investor should allocate to gold is twice the year-over-year ... market trends, news research and surveys resources

INFORMATION RESOURCES

Jumps and Dynamic Asset Allocation
Jumps and Dynamic Asset Allocation. LIUREN WU. Graduate School of Business, Fordham University, 113 West 60th Street, New York, NY 10023 ... technology research, surveys study and trend statistics
Efficiency and Distributional Consequences of the Allocation of ...
As emission trading policies begin to encompass more diverse actors and extend over greater time frames, decision makers are looking beyond "grandfathering" toward new allocation methods, particularly ones that adjust over time. We will analyze three approaches to allocating permits: (1) grandfathering permits based on historic emissions or production; (2) auctioning, with revenues retained by government; and (3) updating allocations based on a recent-year activity, in particular "output-based" allocations and tradable performance standards. The investigators will evaluate these approaches according to three criteria: ... technology research, surveys study and trend statistics
bwus_JOFI_581006 231..260
tions of event risk for dynamic asset allocation run much deeper. We show that the threat of event-related jumps makes an investor behave as if he faced ...
REAL TIME
JUMPS AND DYNAMIC ASSET ALLOCATION
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QUESTIONS AND ANSWERS
Slashdot | Programming Language Specialization Dilemma
Spend a couple of months learning C#. You can bash microsoft all you want, but most of the job postings (at least around here) are for .Net/C#. In todays economy, if you want a job, you need to know what employers want, not so much what you want. Parent is dead on. As for C#, it's a rival to both Java and C++ (mostly for non-games). The problem of course is it's a MS language. I would recommend that any SlashDot reader go with Java or C++ over C# because they are better documented, more standards compliant, cross platform (Mono is nice and all but it's no substitute for MS C# from what I hear) and Open ...
Google Answers: Books dealing with mutual fund market timing as a ...
I am researching historical practices of mutual fund market timing for the period prior to September 2003. This is an investment approach that involves rapidly switching funds between an equity mutual fund and a money market mutual fund. Since September of 2003 there has been an industry wide crack down on the practice of mutual fund market timing and a number of mutual funds have paid large settlements to the SEC to settle charges that they allowed market timing that was not in the best interest of mutual fund shareholders. The particular angle that I am researching is the extent to which mutual fund market timing was an ...