An inverted yield curve—defined as an episode in which long-maturity Treasury yields fall below their short-maturity counterparts—is a powerful near-term predictor of recessions. While most previous studies focus on the predictive power spread between long- and yields, Engstrom Sharpe (2019) have recently shown that measure nominal forward (NTFS), given by difference six-quarter-ahead current t...

Abstract Previous literature shows that prevalent risk measures such as value at or expected shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when constraints static sense measure is just applied terminal value. In this paper, we consider optimisatio...

Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker. These findings ma...

The SHARPE package is now 1 3 y ears old. A w ell known package in the eld of reliability and performability, SHARPE is used in universities as well as in companies. Many important c hanges have been made during these years to improve the satisfaction of our users. Recently several new algorithms have been added and a Graphical User Interface has been implemented. This paper presents the curren...

Copyright: © 2016 Sharpe DK, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Understanding the Correlation between Physical Activity and Clinical Depression in Women: A Review of the Literature Daphne K...

Markov regenerative processes (MRGPs) constitute a more general class of stochastic processes than traditional Markov processes. Markovian dependency, the first-order dependency, is the simplest and most important dependency in stochastic processes. Past history of a Markov chain is summarized in the current state and the behavior of the system thereafter only depends on the current state. Sojo...

It is widely recognized that when classical optimal strategies are used with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time. The predominant explanation for this is the di¢ culty to estimate expected returns accurately. We propose to parameterize an n stock Black-Scholes model as an n factor Arbitrage Pricing Theory model where eac...