NEOMA Business School
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stock market crashes, equity markets, market value-to-GNP ratio, equity market, GNP, GDP, likelihood ratio test, Monte Carlo
hedge fund trading disasters, over betting, Long Term Capital Management, Amarath and Société Genéralé
stock market, crashes, efficient capital markets, China, Iceland
collateralized loans, animal spirits, confidence indices, market-consistent valuation, numeraire portfolio, structural credit risk models
stock market corrections, bond-stock earnings yield model, FED model, price earnings ratio, Campbell and Shiller model
stock market crashes, BSEYD and Fed models, long term investing
mathematical finance, financial economics, history of economics, history of mathematics, embedding, derivatives pricing, financial crisis, Barnesian performativity
Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, parameter estimation, expert opinion
stock market corrections and crashes, Shanghai Stock Exchange, Shenzhen Stock Exchange, Bond-Stock Earnings Yield Differential (BSEYD), Price-to-Earnings ratio, Cyclically-Adjusted Price Earnings ratio (CAPE).
Behavioral Finance; Black-Litterman; Expert Opinions; Kalman Filter; Portfolio Selection; Stochastic Control
Black-Litterman, Kalman filter, stochastic control, risk-sensitive control, asset management, expert opinion, equity market crashes, BSEYD, CAPE
hedge fund trading disasters, over betting, rogue traders, 2007-2009 financial crisis, subprimes
asset management, time diversification, decision theory, decision quality
real estate, equity market, regime switching models, hidden Markov chains, Copulas
Swiss franc, euro peg, black swans, currency trading losses, swiss exports, quantitative easing, negative interest rates
Asset and Liability Management, Risk-Sensitive Asset Management, Risk-Sensitive Control, Classical Solutions, Viscosity Solutions, Jump Diffusion Processes, Fund Separation Theorems
animal spirits, behavioural finance, value at risk, hidden Markov models, estimation
jump-diffusion processes, Markov chains, piecewise deterministic process, risk-sensitive control, animal spirits, fund separation result, Kelly strategies.
changepoint methods, regime switching models, machine learning, factor models, empirical asset pricing, event studies
Behavioral Finance, Black-Litterman, Expert Opinions, Kalman Filter, Portfolio Selection, Stochastic Control
active management, benchmark, expert opinions, Kalman filter, Kelly criterion, risk-sensitive stochastic control
mean changing model, stochastic processes, Apple Computer stock, trend following strategies, bubble asset price exits, stock market crashes, errors in mean estimates, portfolio optimization, Covid-19 2020 era
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stock market crashes, bond‐stock earnings yield mode, Fed model, price‐earnings‐ratio
portfolio selection, expert opinion, behavioural finance, Black-Litterman, Kalman filter, benchmarked asset management, Asset and Liability Management, stochastic programming, stochastic control.
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