Cripwell, Peter; Edelman, David(University College Dublin. School of Business. Centre for Financial Markets, 2008-03-04)
The definition of the decline of long term yields in the light of increasing short term yields as a conundrum by Chairman Greenspan in February 2005 has generated a significant amount of research. This paper presents a ...
Edelman, David(University College Dublin. School of Business. Centre for Financial Markets, 2004-04-18)
A quantity known as the Local Cross-Entropy (LCE) for a density is proposed, defined
to be the local derivative of the Cross-Entropy between a density and a ’kernel-smoothed’ version of itself, with respect to bandwidth ...
Cripwell, Peter; Edelman, David(University College Dublin. School of Business. Centre for Financial Markets, 2008-04-02)
In this paper new results are documented regarding the short term evolution of global short term interest rates. Much work has been carried out concerning the evolution of interest rates over long time scales, on the order ...
Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...
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