Following the 2007-09 financial crisis, mainstream finance theory was criticized for failing to forecast the market crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does not take reality into account, failed investors? Do we...

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of...

Title Page -- Copyright -- About the Editor -- Contributors -- Preface -- TOPIC CATEGORIES -- Guide to the Encyclopedia of Financial Models -- ORGANIZATION -- Equity Models and Valuation -- Dividend Discount Models -- DIVIDEND MEASURES -- DIVIDENDS AND STOCK PRICES -- BASIC DIVIDEND DISCOUNT...

Title Page -- Copyright -- About the Editor -- Contributors -- Preface -- TOPIC CATEGORIES -- Guide to the Encyclopedia of Financial Models -- ORGANIZATION -- Asset Allocation -- Mean-Variance Model for Portfolio Selection -- SOME BASIC CONCEPTS -- MEASURING A PORTFOLIO'S EXPECTED RETURN --...

If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability...

This paper examines the economic implications of new factor models and shows that the Hou, Xue, and Zhang (HXZ, 2015a) four-factor model outperforms the Fama and French (FF5, 2015a) five-factor model for investing in anomalies in- and out-of-sample. The difference in certainty-equivalent returns...

We prove the existence of statistical arbitrage opportunities for jump-diffusion models of stock prices when the jump-size distribution is assumed to have finite moments. We show that to obtain statistical arbitrage, the risky asset holding must go to zero in time. Existence of statistical...

A practical guide to adapting financial advice and investing to a post crisis world There's no room for "business as usual" in today's investment management environment. Following the recent financial crisis, both retail and institutional investors are searching for new ways to oversee...