Presentation Files

Behavioral Finance: Are the Disciples Profiting from the Doctrine?

Behavioral finance has received a great deal of attention in academia over the past 15 years or so. But attention in academia does not always correspond with real-world acceptance or success. We analyze 16 mutual funds that are self-proclaimed or media-identified disciples of behavioral finance to determine whether 1) they…

Beyond Stochastic Volatility and Jumps in Returns and Volatility

This talk examines the relationship between real-world distributions of S&P 500 index returns and option-implied return distributions. While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. This presentation investigates…

Portfolio Risk Mitigation: Traditional Methods vs. New Techniques

This presentation looks at asset allocation to determine if it does indeed help investors protect against significant losses or even help in down markets. Asset allocation, market timing and other previously accepted risk mitigation techniques will be broken down and analyzed as to their effectiveness. In addition, more recent developments…