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Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay
Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay
Finance
The recent market crash which has led to as much as a 47% drop in the value of the S&P500 index has made some of us wonder if there is a cost effective way for us to hedge our retirement portfolios against such a drastic loss. Our objective is to investigate empirically the tradeoffs that will arise from using a protective put strategy for hedging retirement portfolios over an investment horizon that is long enough to be comparable to the average holding period for retirement portfolios
What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay
What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay
Finance
As the financial crisis of 2008 has revealed, there are some flaws in the models used by financial firms to assess risk. Credit, volatility, and liquidity risk were all inadequately modeled by supposedly sophisticated financial institutions employing dozens of financial engineers with advanced degrees. It is now clear that some of the underlying assumptions of the statistical models utilized were seriously flawed, and interactive and systemic effects were improperly modeled. Correcting these modeling flaws is one approach to preventing a reoccurrence. However, another approach is suggested by Six Sigma quality programs used in manufacturing and service industries. Some basic tenets …