Laurence Booth Professor of Finance

Asset Allocation in Finance: A Bayesian Perspective

In this paper, we survey asset allocation in finance from a Bayesian decisiontheoretic perspective. Our investor wishes to maximize the expected long-run growth of the market returns. We show how Stein’s lemma helps deriving the Kelly criteria for optimal bet size and Merton’s allocation rule for risky stocks. We therefore provide an equivalence between these two criteria. Bayesian inference na...

Correlated Default Risk

∗We are extremely thankful for many constructive suggestions from Gurdip Bakshi, N. Chidambaran, Darrell Duffie, Rong Fan, Gifford Fong, John Knight, N. R. Prabhala, Jun Pan, Dmitry Pugachevsky, Shuyan Qi, Ken Singleton, Rangarajan Sundaram, Suresh Sundaresan and Haluk Unal. We received useful feedback from participants at various seminars: at the AIMR talks in Tokyo, Singapore and Sydney, the ...

Acting on incidental findings in research imaging.

J MWardlaw professor of applied neuroimaging and honorary consultant neuroradiologist, H Davies research ethics adviser , T C Booth consultant neuroradiologist , G Laurie professor of medical jurisprudence, A Compston professor of neurology, C Freeman professor of psychiatry and clinical lead for accreditation , M O Leach professor of physics as applied to medicine , A D Waldman consultant neur...

Cash Flow Volatility, Financial Slack and Investment Decisions

What Causes Ministers of Finance to Get Fired?

This paper seeks to establish the determinants of turnover in finance ministers. Based on an original worldwide data set, political and economic factors are considered for 58 countries. While the same political factors affect Minister of Finance turnover in both advanced and developing economies, the economic variables that matter differ between the sub-samples. Finance minister turnover is hig...