James Chen, CMT is an expert trader, investment adviser, and global market strategist. Thomas J. Brock is a CFA and CPA with more than 20 years of experience in various areas including investing, ...
What Is Bernoulli's Hypothesis? Bernoulli's Hypothesis states a person accepts risk not only on the basis of possible losses or gains, but also based upon the utility gained from the risky action ...
Available empirical evidence suggests that skewness preference plays an important role in understanding asset pricing and gambling. This paper establishes a skewness-comparability condition on ...
A mathematical paradox posed in a letter 300 years ago sowed the seed of economic theory by asking what money is worth, explains George Szpiro. Three centuries ago, in September 1713, the Swiss ...
In this paper, I attempt to tease out the implications of expected utility models on conflict resolution and peace science. I also consider the trade-conflict model of Polachek (1980) and its ...
We compare different ways of modeling real world probabilities of default over a fixed time horizon conditioned on a vector of explanatory variables. Besides a simple logistic regression, we introduce ...
John Armstrong and Damiano Brigo show that, in a Black-Scholes market, value-at-risk and expected shortfall are irrelevant in limiting traders’ excessive tail risk-seeking behaviour, as modelled by ...
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