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Dec 18

Friday reading list 12/18/09

Posted by abiao at 17:25 | Others | Comments(0) | Reads(4427)
Instead of posting Chinese financial news, I will collect a list of interesting paper to read on every Friday, hope you'll enjoy them (please don't forget to forward to and share your favorites with me). Downloading links are following the titles if they are publicly available.

1, Characteristic-Based Mean-Variance Portfolio Choice. "The empirical results highlight the potential for 'stock-picking' in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1501141;
2, An Arbitrage-Free Generalized Nelson–Siegel Term Structure Model. "we introduce a closely related generalized Nelson–Siegel model on which the no-arbitrage condition can be imposed. We estimate this new AFGNS model and demonstrate its tractability and good in-sample fit." http://www.frbsf.org/publications/economics/papers/2008/wp08-07bk.pdf;
3, MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis. "we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1523365;
4, Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence. "We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. ... Empirical results show that the reduced-form model fits callable bond price data well and outperforms the traditional approach in both in-sample and out-of-sample applications.", http://papers.ssrn.com/sol3/papers.cfm?abstract_id=972121

This week's tweets:
1, The 25 Most Powerful Men In Finance, http://dealbreaker.com/2009/12/the-25-most-powerful-men-in-fi.php;
2, Remembering Paul Samuelson, http://www.bbc.co.uk/blogs/thereporters/stephanieflanders/2009/12/remembering_paul_samuelson.html.

Have a nice weekend, everyone.

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