Robust Portfolio Optimisation with Specified Competitors. (arXiv:1701.02958v1...
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way...
View ArticleModeling stochastic skew of FX options using SLV models with stochastic...
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous...
View ArticlePhase-type Approximation of the Gerber-Shiu Function. (arXiv:1701.02798v1...
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the...
View ArticleOrganizational Culture and Leadership, 5th Edition
The book that defined the field, updated and expanded for today's organizationsread more...
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Wall Streetâs Most Famous Quants Fed Up With JPMorgan Soothsayer
As AQR sees it, quant / algo funds are just scapegoats in a doomed quest to explain jarring market movements. https://t.co/0c5HAM2JIF â moneyscienceâ¦
View ArticleAre Your New Hires Fitting In?
Joann Lublin reported yesterday in the Wall Street Journal about new research regarding cultural fit of new employees. Lublin described the research of Sameer B. Srivastava, Amir Goldberg, and their...
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Almost time for class: My Line Up for the Spring Semester!
If you have been reading my blog for awhile, you should be familiar with the routine at the start of every semester. If I am teaching that semester, I list the classes that I will be teaching, describe...
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Health Care Industry Developments, 2015/16: Audit Risk Alert
This new edition helps achieve a robust understanding of regulatory developments affecting investor-owned, not-for-profit and governmental health care entities. It keeps you updated on emerging issues...
View ArticleStatement on Auditing Standards 130: An Audit of Internal Control Over...
As a result of its Attestation Clarity Project, the Auditing Standards Board (ASB) has issued Statement on Auditing Standards (SAS) No. 130, An Audit of Internal Control Over Financial Reporting That...
View ArticleAccounting and Financial Reporting Guidelines for Cash- and Tax-Basis...
Due to the complexities of US GAAP accounting, many smaller entities decide that financial statements prepared by applying the cash- or tax-basis of accounting better suits their needs. But unlike...
View ArticleDevelopments in Preparation, Compilation, and Review Engagements, 2015/16
This Alert will help you create a smooth transition into performing your engagements under the new SSARS 21 standard. The new standard will have a major impact in this core area of practice, and this...
View ArticleComplete Guide to the CITP Body of Knowledge
Looking for tools to help you prepare for the CITP Exam?read more...
View ArticleOptimizing Company Cash: A Guide for Financial Professionals
Optimizing Company Cash provides a comprehensive guide to all elements of cash management in a business including:read more...
View ArticleState and Local Governments, 2016
Whether you are a financial statement preparer or auditor or you practice in state and local government, this guide provides you with advice for handling auditing and accounting issues common to state...
View ArticleInvestment Companies, 2016
Whether you are a financial statement preparer or auditor, it is critical to understand the complexities of the specialized accounting and regulatory requirements for investment companies.read more...
View ArticlePreparation, Compilation, and Review Engagements Guide, 2016
This guide provides authoritative guidance on preparation, compilation and review engagements in compliance with the newly effective SSARS No. 21. This new standard makes substantial changes to...
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