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    Academic Journals

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• Going, going, gone? The apparent demise of the accruals anomaly

  Authors:Jeremiah Green, John R.M. Hand, and Mark T. SolimanFrom:Management Science (Vol. 57, Issue 5) Peer-Reviewed

  May 2011 Report 1820L

• Evaluating value-at-risk models with desk-level data

  Authors:Jeremy Berkowitz, Peter Christoffersen, and Denis PelletierFrom:Management Science (Vol. 57, Issue 12) Peer-Reviewed

  Dec. 2011 Report 1420L

• 11130000 Optimal exercise

  Authors:Terence Lim, Andrew W. Lo, Robert C. Merton, and Myron S. ScholesFrom:Foundations and Trends in Finance (Vol. 1, Issue 5-6) Peer-Reviewed

  Sept. 2005253 words Brief article, Recom... 1650LR. Breen, 1990, "Binomial Option Pricing and the Conditions for Early Exercise--An Example Using Foreign-Exchange Options", Economic And Social Review, 21:151-161 G. Constantinides and R. Rosenthal, 1984, "Strategic...

• 15020510 Arbitrage relations

  Authors:Terence Lim, Andrew W. Lo, Robert C. Merton, and Myron S. ScholesFrom:Foundations and Trends in Finance (Vol. 1, Issue 5-6) Peer-Reviewed

  Sept. 2005184 words Brief article, Recom... 1700LG. Baroneadesi and R. Whaley, 1986, "The Valuation of American Call Options and the Expected Ex-Dividend Stock-Price Decline", Journal of Financial Economics, 17:91-111 R. Bookstaber, 1981, "Observed Option...

• Semi-parametric specification tests for discrete probability models

  Author:Yue FangFrom:Journal of Risk and Insurance (Vol. 70, Issue 1) Peer-Reviewed

  Mar. 20034,895 words Article ABSTRACT Loss functions play an important role in analyzing insurance portfolios. A fundamental issue in the study of loss functions involves the selection of probability models for claim frequencies. In this...

• Causality tests between the S&P 500 cash and futures markets

  Authors:George W. Kutner and Robert J. SweeneyFrom:Quarterly Journal of Business and Economics (Vol. 30, Issue 2) Peer-Reviewed

  Spring 19913,839 words Article Causality Tests Between the S&P 500 Cash and Futures Markets Abstract This study examines whether the S&P 500 index cash and futures markets are causally related in the statistical sense of Granger (1969)....

• The application of expert systems to securities analysis

  Authors:Susan J. Harrington and Allan J. TwarkFrom:Review of Business (Vol. 12, Issue 4) Peer-Reviewed

  Spring 19913,176 words Article The Application of Expert Systems to Securities Analysis The single most important factor determining the value of a share of common stock is the level of the expected future earnings per share (16). Earnings can be...

• HUMANIZING FINANCIAL ADVICE WITH FINTECH

  Author:Chuck GraceFrom:Ivey Business Journal ReprintsPeer-Reviewed

  September-October 20181,592 words Article 1450LFacing unprecedented industry disruption, Canadian financial institutions have been announcing plenty of organizational changes, research commitments, and digital-solution incubators--all aimed at keeping globally...

• With double trump portfolio through whirls of financial crisis/Su dvigubo kozirio portfeliu per finansu krizes sukurius

  Authors:Aleksandras Vytautas Rutkauskas and Donatas ValiulisFrom:Business: Theory and Practice (Vol. 10, Issue 4) Peer-Reviewed

  Dec. 20092,521 words Report In the article decision management in global currency market FOREX model is presented. The model is based on the adequate for investment profit stochasticity assessment portfolio, earlier suggested by the author,...

• BNY Mellon optimization reduces intraday credit risk by $1.4 trillion.

  Authors:Brian Blank, Erika Lunceford, John Morik, Song He, Madhusudan Rana, Pavithran Rajendran, et al.From:Interfaces (Vol. 47, Issue 1) Peer-Reviewed

  Jan-Feb 20178,920 words Article 1370LAbstract. As part of the U.S. Tri-Party Repo Infrastructure Reform Program, Bank of New York Mellon developed a set of integrated mixed-integer programming models to solve collateral-management challenges involving...

• Portfolio choice under cumulative prospect theory: an analytical treatment

  Authors:Xue Dong He and Xun Yu ZhouFrom:Management Science (Vol. 57, Issue 2) Peer-Reviewed

  Feb. 2011 Report 1580L

• A generalized measure of riskiness

  Authors:Turan G. Bali, Nusret Cakici, and Fousseni Chabi-YoFrom:Management Science (Vol. 57, Issue 8) Peer-Reviewed

  Aug. 2011 Report 1560L

• The spirit of capitalism, precautionary savings, and consumption

  Authors:Yulei Luo, William T. Smith, and Heng-Fu ZouFrom:Journal of Money, Credit & Banking (Vol. 41, Issue 2-3) Peer-Reviewed

  March-April 20094,526 words Article 1380LRecent research has shown that the "spirit of capitalism"--a preference for wealth itself, in addition to consumption--has important implications for growth and asset pricing. This paper explores how the spirit of...

• The Daniel H. Wagner prize for excellence in operations research practice

  Author:Joseph H. DiscenzaFrom:Interfaces (Vol. 35, Issue 5) Peer-Reviewed

  September-October 20052,056 words Article The Wagner prize for 2004 goes to Merrill Lynch, winning over five strong competitors. Key words: professional: comments on. ********** CPMS, the Practice Section of INFORMS, strives to support OR/MS...

• The Internet as an investment tool

  Author:Sarah PhelanFrom:Journal of Accountancy (Vol. 192, Issue 2)

  Aug. 20013,335 words Article EXECUTIVE SUMMARY * CPA/FINANCIAL PLANNERS NEED TO BE WEB SAVVY. The Internet makes it possible for CPA/financial planners and individual investors to be notified on-screen when news breaks about a particular stock....

• A jump-diffusion model for option pricing

  Author:S.G. KouFrom:Management Science (Vol. 48, Issue 8) Peer-Reviewed

  Aug. 2002145 words Article Brownian motion and normal distribution have been widely used in the Black-Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic...

• Understanding risk in mutual fund selection

  Authors:Robert A. Clarfeld and Phyllis BernsteinFrom:Journal of Accountancy (Vol. 184, Issue 1)

  July 19973,068 words Article Thorough risk analysis of mutual funds can provide clients with the information needed to invest intelligently. Too often, individual investors are swayed by high rates of return, without considering risk. Accountants,...

• New DOL ruling eases PFP worries

  From:Journal of Accountancy (Vol. 182, Issue 3)

  Sept. 1996391 words Brief article The Department of Labor's Interpretive Bulletin 96-1, Participant Investment Education, released June 11, removes roadblocks for companies that provide financial guidance to their employees on 401(k) and other pension...

• Innovation portfolio architecture: an innovation portfolio is designed to funnel ideas from initial conception to product development. Unlike a project portfolio, which is focused on managing products in development and guided by a clearly defined strategy, an innovation portfolio is a collection of concepts loosely organized around an emerging strategy

  Author:Scott MathewsFrom:Research-Technology Management (Vol. 53, Issue 6) Peer-Reviewed

  November-December 20105,800 words Article 1430LOVERVIEW: An innovation portfolio, which is focused on early-stage ideas whose role in the overall strategy is still evolving, is very different from a project portfolio, which is focused on managing products in...

• Pricing and hedging of discrete dynamic guaranteed funds

  Authors:Wai-Man Tse, Eric C. Chang, Leong Kwan Li, and Henry M.K. MokFrom:Journal of Risk and Insurance (Vol. 75, Issue 1) Peer-Reviewed

  Mar. 20087,774 words Article 1650LABSTRACT We derive a risk-neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the...