This is a summary of links featured on Quantocracy on Friday, 06/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Decision Moose Asset Allocation Framework [CXO Advisory]A reader suggested a review of the Decision Moose asset allocation framework of William Dirlam. Decision Moose is an automated framework for making intermediate-term investment decisions. Decision Moose focuses on asset class momentum, as augmented by monetary policy, exchange rate and interest rate indicators. Its signals tell followers when to switch from one index fund
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The Market For Lemons : A Lesson For Dividend Investors [Research Affiliates]Central banks the world over are buying high-quality bonds, thereby removing them from the market and forcing savers to find alternative strategies to meet their income needs. In this environment of financial repression and near-zero interest rates, dividend-yield (or equity income) investing has become increasingly popular. Investors are understandably reallocating their portfolios fro
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Estimating Crash-Risk Potential For The US Stock Market [Capital Spectator]History shows rather clearly that the stock market is prone to extreme events, aka crashes. The challenge is deciding when the risk for a repeat performance is unusually high. The literature offers endless possibilities, which is a reminder that the market can crumble for any number of reasons. The leading factor, of course, is the business cycle. But internal market issues cant be ign
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Risk Aversion, Information Choice, and Price Impact [Alex Chinco]Kyle (1985) introduces an information-based asset-pricing model where informed traders keep trading until the marginal benefit of holding one additional share of the asset is exactly offset by the marginal cost of this last trades price impact. This model has really nice intuition, but it also has some undesirable features. For instance, traders in Kyle (1985) are risk neutral and don