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An Enjoyable Life Puzzling Over Modern Finance Theory

Paul A. Samuelson
2009 Annual Review of Financial Economics  
This is a terse account of group creation of modern finance theory; and a sampling of my prosaic autobiographical investing and consulting for nonprofit academies.  ...  My attempts to establish pricing theory for options fell a bit short of the Black-Scholes-Merton Holy Grail.  ...  Peace prevailed when a compromise was agreed upon that put most of the portfolios in low-turnover, no-load, broad indexes ("Vanguard" type tactics), and the lesser residual in judgmental stock portfolios  ... 
doi:10.1146/ fatcat:hyjsmooedzbznivcosv54z64ky

Why Markets Crash and What Law Can Do about It

Frank Partnoy
1999 Social Science Research Network  
, of course, the Savings and Loan debacle of the 1980s); others argue that so-called "circuit breakers" have prevented a major stock market decline since 1987 by providing market participants with a short  ...  For example, in the U.S. stock market crash of October 1987, stock prices fell 31%, or roughly $1 trillion in value, during a four-day period on turnover of a mere 3%. See Robert R.  ... 
doi:10.2139/ssrn.183473 fatcat:sye3xy3n2fecrmaltoguvcfiky

Abstracts of Working Papers in Economics

1992 Abstracts of Working Papers in Economics  
AB We consider the classical lot-sizing problem with constant production capacities (LCC) and a variant in which the capacity in each period is an integer multiple of some basic batch size (LCB).  ...  We first show that the classical dynamic program for (LCC) simplifies for (LCB) leading to an 0(n"2min(n,Q) algorithm (where n is the number of periods and C the batch size).  ...  In this paper we propose some Wald tests of the mean-variance models, and apply the tests to a ten country asset pricing model of equities.  ... 
doi:10.1017/s0951007900002655 fatcat:rqdkdsblmbgtzph36qdxu5t36q

Abstracts of Working Papers in Economics

2000 Abstracts of Working Papers in Economics  
AB It is shown that the net fiscal externality created by an additional member of a pay-as-you-go pension system that is endowed with individual accounts equals the gross contributions of this member.  ...  In Germany, this is an amount of about DM 175,000.  ...  AB The basic distinction in the optimization conditions between the general equilibrium model of a T period exchange economy and a strategic market game process model is between a set of equations homogenous  ... 
doi:10.1017/s095100790000485x fatcat:wj7y5p23efgobpbzgvmn6rt6ze

Abstracts of Working Papers in Economics

1999 Abstracts of Working Papers in Economics  
We analyze an environment in which firms post wages and workers may at a small cost observe one or more of the posted wages, i.e. search, before deciding where to apply.  ...  for a market economy to function.  ...  AB This paper is a mathematical companion to "Fast Equilibrium Selection by Rational Players Living in a Changing World", by TI Competing in the Marketspace: An Empirical Study.  ... 
doi:10.1017/s095100790000454x fatcat:aqrflp22hvgpnmcxuc5wqkvgai

A FMOLS Analysis of FDI Flows to Latin America

Miguel D. Ramirez
2019 Applied Economics and Finance  
The estimates suggest that real GDP (a proxy for market size), credit provided by the private banking sector, government expenditures on education, and the level of economic freedom as measured by the  ...  Second, the paper provides an overview of FDI flows to Latin America during the 1990-2017 period, with particular emphasis on their contribution to the financing of gross fixed capital formation.  ...  The bias induced by endogeneity is eliminated by applying a semi-parametric correction into the model.  ... 
doi:10.11114/aef.v6i2.4088 fatcat:py7woi6qlbfi5gwzozve4jamwq

Abstracts of Working Papers in Economics

1991 Abstracts of Working Papers in Economics  
AB In a simple efficiency wage model an employers' confederation always wants a lower wage than the individual employers.  ...  R squared values were calculated for the returns of large stocks as explained by systematic economic influences, by the returns on other stocks in the same industry, and by public firm specific news events  ...  Stock Market. Futures Market. AB We examine the welfare effects of price limits and trading halts in a linear mean-variance model of stock and futures trading.  ... 
doi:10.1017/s0951007900002333 fatcat:5kalfjkzh5bdfb7zbu7plj5yzu

How to Lose Money in Derivatives: Examples from Hedge Funds and Bank Trading Departments

Sebastien Lleo, William T. Ziemba
2014 Social Science Research Network  
In some cases, the failures lead to contagion in other hedge funds and financial institutions.  ...  To illustrate, we discuss the specific cases of Long Term Capital Management, Niederhoffer's hedge fund, Amaranth and Société Genéralé.  ...  It had about £31.5 million invested in a portfolio selected by Man Group's Chicago-based Glenwood Capital Investments LLC unit, which is part of Man Group PLC, and has $58 billion in assets under management  ... 
doi:10.2139/ssrn.2433506 fatcat:77v76i65i5g2ho32wotitunpby

Abstracts of Working Papers in Economics

1995 Abstracts of Working Papers in Economics  
Two approaches are used to examine the nature of wood use and substitution in the Japanese market. The majority of the study uses an informal technical/descriptive or "engineering" approach.  ...  firm adjusts toward an optimal debt ratio.  ...  The second study involves the Global 2100 model, which also uses a mathematical programming model of energy technology, but couples it to a macro, rather than an applied general equilibrium model.  ... 
doi:10.1017/s0951007900004460 fatcat:onhxyp33uzgj5dik2msoea27sy

Financial Crisis in the Euro-Zone and Moral Hazard

Hernán Ricardo Briceño Avalos
2016 Journal of Finance and Accounting  
This after a short period of euphoria and wellbeing, with reduction of the interest rate and easily access of fresh capital to finance unprofitable and risky biased businesses without appropriate banking  ...  This research is dealing with the question how moral hazard problem in the Euro-zone periphery after the introduction of the Euro currency as a global competitor of the U.S.A.  ...  This indicator was used before to assess Asian Financial crisis in an Early Warning Model by Zhuang and Dowling (2002).  ... 
doi:10.11648/j.jfa.20160404.12 fatcat:tibsx3czlbesdneum5d3dvo6t4


Monal A. Abdel-Baki, Nirmala Dorasamy
2012 Corporate Ownership and Control  
Abstract The efficacy of the 2005-Personal Income Tax (PIT) reform in enhancing the macroeconomic performance in Egypt is tested using a structural vector autoregressive model.  ...  the subprime mortgage lending process such as, banks' and investment funds management, rating agencies, banking and financial markets supervisory authorities.  ...  Following the methodology applied to the former Survey-2006, the selected banks have been interviewed on various supervisory aspects (as discussed in detail in the following) by means of a written questionnaire  ... 
doi:10.22495/cocv9i2c4art1 fatcat:xeg3bv2jibh3lhgt67lcxid57a

The Political Economy of Japanese Financial Markets: Myths versus Reality

Richard N. Cooper, Dick Beason, Jason James, Adam Simon Posen
1999 Foreign Affairs  
In a sense, all the models tested in this section are variations on the standard model of stock market behaviour.  ...  If we assume that roughly 30 per cent of those assets end up invested in stocks, the net investment in the stock market over a ten-year period might approach ¥30 trillion, equivalent to nearly 10 per cent  ...  The latter of these is an important factor when trying to apply the textbook theories of valuation in practice.  ... 
doi:10.2307/20049378 fatcat:joxz2z7favbilii4wbyq6chgnq

Abstracts of Working Papers in Economics

1996 Abstracts of Working Papers in Economics  
Brief entries appear for secondary authors, cross-referenced to the primary author.  ...  This section contains abstracts and complete bibliographic information for current working papers, listed alphabetically by primary author.  ...  Bernanke, Ben AB Adverse shocks to the economy may be amplified by worsening credit-market conditions-the "financial accelerator".  ... 
doi:10.1017/s0951007900003296 fatcat:ltm2obr35ngbhbcciqgnibegqe

Counterparty Credit Risk Management in Industrial Corporates

Christian Langkamp
2011 Social Science Research Network  
, Portfolio means that a portfolio can be setup in relation to which services can be defined (such as an email rating alert), Download means that the technical option to download data into Text, CSV or  ...  In particular a portfolio model with an integrated asset-based single obligor model could be of great illustrative use.  ... 
doi:10.2139/ssrn.1939905 fatcat:2e4v623yh5an3j6zs3bfuijo7m

Appendix II [chapter]

2013 Understanding International Bank Risk  
Grace period A period of days within which the borrower is allowed to remedy a breach or failure of payment before that breach or failure becomes an event of default; confusingly, can also mean the period  ...  The Japanese financial markets have been modelled on the US with commercial and investment banking separated by law.  ...  Often found in management buyouts. Profit and loss account A record of income and expenses in the business in a specific period of time.  ... 
doi:10.1002/9781118673294.app2 fatcat:rwe4vsc2vjgplecs2oqko3xeqi
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