Vol. 16. No. 4, 2018 Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios Jürgen Vandenbroucke and Sanjiv Ranjan Das View PDF… Read More
Surveys and Crossovers
Distributed Ledger and Blockchain Technology: Framework and Use Cases
Vol. 16, No.3, 2018 Seoyoung Kim and Atulya Sarin Since its first widespread implementation in 2009, distributed ledgers in general, and blockchain technology in particular, have rapidly become a part of the FinTech vernacular. In this paper, we provide an overview of the history of trade settlement and discuss this nascent technology that may now… Read More
Crypto-Assets Unencrypted
Vol. 16, No. 2, 2018 Seoyoung Kim, Atulya Sarin and Daljeet Virdi With the recent surge in crypto-activity, a natural question arises as to what exactly a “cryptocurrency” is and how to value and assess these digital assets. In this paper, we provide an overview of the history and technology underlying cryptocurrencies. We also present… Read More
Machine Learning in Finance: The Case of Deep Learning for Option Pricing
Volume 15, Number 4, 2017 Robert Culkin and Sanjiv R. Das View PDF… Read More
The Economics of Flash Orders and Trading
Lawrence E. Harris and Ethan Namvar Volume 14, Number 4, 2016 View PDF… Read More
Correlation or Causation?: The Sorry State of Inference in Empirical Modeling
Volume 14, Number 3, 2016 Xiaojing Dong and John Heineke For decades, statistical methods, many based upon the “general linear model,” have been used to do estimation and test hypotheses in the social and natural sciences, in medicine, and in the private sector. These tools have become increasingly sophisticated and are often paired with powerful… Read More
SURVEYS AND CROSSOVERS: A Survey of University Endowment Management Research
Georg Cejnek, Richard Franz, Otto Randl and Neal Stoughton Volume 12, Number 3, Third Quarter 2014 There is significant interest in how university endowments manage money and perform, and an emerging strand of finance research specializes in this growing area. The purpose of this paper is to survey and review the state-of-the-art in this field… Read More
SURVEYS AND CROSSOVERS: Sovereign Credit Default Swap Premia
Patrick Augustin Volume 12, Number 2, Second Quarter 2014 This paper reviews the young but rapidly growing literature on sovereign credit default swap premia. A discussion of current debates in the academic and popular press hopefully raises thought-provoking questions with valuable insights for academics, policymakers and practitioners alike. The main elements of the review relate… Read More
TECHNOLOGY REVIEW: Multiple-Core Processors For Finance Applications
Sanjiv R. Das Volume 4, Number 2, Second Quarter View PDF… Read More
SURVEY OF THE RECENT LITERATURE: Venture Capital Syndication
Sanjiv R. Das, Hoje Jo and Yongtae Kim Volume 2, Number 4, Fourth Quarter 2004 View PDF… Read More