An optimal trading strategy trades off the benefits of trading fast (you get to your target portfolio sooner) with the cost of trading fast (transaction costs are higher). This presentation presents a closed form solution to the problem of optimal trading when the trading horizon is endogenous.

Presenter: Jarrod Wilcox PERSONAL INVESTING POLICY Good policies led to good long-term results. In investing, attention to stochastic growth models can provide a foundation for good investment policy. Maximizing expected log after-tax return of discretionary wealth each period is a robust way to set appropriate risk aversion tradeoffs so as…

Agency costs of institutional trading Roger M. Edelen* Carroll School of Management

Summary of Research Conducted on the Behavior of Institutional Investors Boston University Authors: Heisler, Karim, Knittel, Neumann, Stewart

•Previous analytical evidence •Mechanics of 130/30 portfolios •Empirical performance of 130/30’s •Performance attribution •Preliminary performance of actual 130/30 portfolios

Introduction to Quantile Regression • Tail Behavior in Investing: promising and challenging • Alpha Distribution: – QRAD-location – QRAD-probability • Portfolio Distribution: QRPD

Abstract: In finance there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the context of financial markets. We then explore the full distributional impact of factors on returns…

Boston File: Slides for meeting of 12 June 2007 (Capital_Structure_Valuation_Boston2007.pdf by Yaacov Kopeliovich)

Capital Asset Theory and Performance Analysis © 2007 John Nagorniak Performance measurement is dependent on the risk/return model used or assumed in the analysis. Every model of capital market behavior is incomplete. Fama and French, with their three-factor model of market structure, moved toward performance measurement that spanned more of…

Supplemental material for the DIY crowd is attached.  This vignette shows how to use R to do quantile regression.  It provides all the instructions from obtaining the relevant R libraries through running the example code. Of course such an exercise would not be for those who are not inclined to…