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Dec 21

Selected Papers of Third Day Conference 12162011

Posted by abiao at 01:29 | Review | Comments(0) | Reads(3652)
Like other conference, the last day of the 24th Australasian Finance & Banking Conference witnessed fewer attendance and less active discussion: people have left or eager to leave. Fortunately or unfortunately, my session was in the afternoon and had even fewer audiences.

Entropic Least-Squares Valuation of American Options Subject to Moment Constraints: improvement of pricing accuracy of American options by incorporating a set of risk-neutral moment constraints into an entropic pricing framework.

Forecasting Equicorrelations: We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets.

Integrated Framework for Portfolio Risk Management: Various risk measures are managed in a unique integrated framework for portfolio selection problems.

Information Asymmetry and Momentum Anomalies: In this paper, we construct an information asymmetry factor (VECINF) based on the price discovery of large trades. VECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets.

Why Did Some Banks Perform Better During the Credit Crisis?: thoughtful question and investigation.

Volatility, Correlation, and Spread ETFs as Factors: Several methods for measuring factors have been investigated in previous literature, but an easy-to-implement general method is simply to specify a group of heterogeneous indexes or traded portfolios.

That's the end of this conference, hopefully you have found some interesting articles as I did, enjoy them.

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