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Blog Post: Falkenblog: Do Low Vol Tactics Matter?

March 7, 2012 by MoneyScience   Comments (0)

An important question for any strategy is how important tactics are. That is, for some strategies, tactics are unimportant because the algorithm has a 'flat maximum', where lots of parameters generate outputs very nearly as good as the optimal parameters. Debt models have this characteristic, as a handful of inputs generate the optimal metric pretty well with a variety of weightings and transformations. What about low volatility investing, where one can invest several ways. In the first, you...

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Blog Post: AllAboutAlpha: Final CFTC Rule Limits Registration Exemptions for Commodity Pools

March 7, 2012 by MoneyScience   Comments (0)

With the enactment of the Dodd-Frank Act (more formally the Wall Street Reform and Consumer Protection Act) in 2010, Congress demanded change. It did not specifically demand changes in the rules relating to CPOs, but it did demand that the SEC change certain rules regarding hedge fund advisors, and the CFTC has decided that a reconsideration of the CPO rules is “consistent with the tenor of the provisions” of that act because the “sources of risk delineated in the Dodd-Frank Act with...

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Published / Preprint: Asymptotics of robust utility maximization. (arXiv:1203.1191v1 [math.PR])

March 7, 2012 by MoneyScience   Comments (0)

For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\lambda\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our results characterize the optimal growth rate, an optimal long-term trading strategy and an asymptotic worst-case model in terms of an ergodic Bellman equation. With these results we propose a duality approach to a "robust large deviations"...

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Published / Preprint: The evolvability of business and the role of antitrust. (arXiv:1203.1311v1 [q-fin.GN])

March 7, 2012 by MoneyScience   Comments (0)

In this paper, based on theories of complex adaptive systems, I argue that the main case for antitrust policy should be extended to include the criteria of "evolvability." To date, the main case focuses on economizing, including market power as a key filter for identifying suspect cases. Both production and transaction costs are considered as part of economizing and other factors are use to consider the benefits of different industry structures. CAS analysis focuses attention on dynamics,...

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Published / Preprint: UPDATE February 2012 - The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion. (arXiv:1203.1313v1 [physics.soc-ph])

March 7, 2012 by MoneyScience   Comments (0)

Increases in global food prices have led to widespread hunger and social unrest---and an imperative to understand their causes. In a previous paper published in September 2011, we constructed for the first time a dynamic model that quantitatively agreed with food prices. Specifically, the model fit the FAO Food Price Index time series from January 2004 to March 2011, inclusive. The results showed that the dominant causes of price increases during this period were investor speculation and...

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Blog Post: FINalternatives: CTA Pardo Launches 2 Managed Futures Programs

March 7, 2012 by MoneyScience   Comments (0)

Chicago-based commodity trading advisor Pardo Capital has launched two new managed futures programs based on its flagship XT99 Diversified trading more...

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