Journal
Earning Returns in a 'Bear Market'
By Harry Niederau | August 13, 2008
The current 'bearish' market conditions pose challenges to the investment decisions of both private and institutional investors. Although it was observed in our February 2008 study that also in a bearish market substantial returns on investment can be realized, getting the entry and exit points right for investment or disinvestment decisions is by far more essential as compared to a 'bullish' market. In continuation of the analysis of long-term indicators of turning points in the Dow Jones Industrial Average along the past 40 years (see above link), we will endeavour to scrutinize in this study the power of more short- to medium-term predictions, especially those of turning pints. This analysis is carried out by employing so-called wavelet transforms to the Dow Jones data used in above mentioned study, but completed as of present date. A short project draft is available via the link above, while the results of the study are expected towards the end of the year.
As with all contributions in our Journal, constructive comments or hints are welcome.
Topics: macro-economics | | Comments
Quasi Risk-Neutral Pricing - Update
By Harry Niederau | July 12, 2008
The paper <<quasi risk-neutral pricing in insurance>>, submitted to the Astin Bulletin at mid November 2007, has passed the initial referee screening and is now under revision.
Topics: pricing in insurance | | Comments
The Deliberate Investor
By Harry Niederau | March 15, 2008
As alluded to in our Dow Jones post in February 2008, structured products granting capital protection can be cost-intensive if capital protection is achieved by means of hedging. In this post we introduce a fictitious but substantial private investor who pursues and investment strategy in stocks which assures capital protection at a 95% level of confidence and which (up to the initial portfolio set-up) is free of transaction costs and costs of hedging. This post is supplemented by a small C++ optimization executable to mimic the outcome of such a strategy.
Topics: macro-economics | | Comments
Dow Jones: Do we understand it?
By Harry Niederau | February 24, 2008
Project set-up and preliminary results.
Relating to the Dow Jones Industrial Average (DJIA) we allude to a macro-economic measure of risk-aversion in the sense of Pratt-Arrow and a leading indicator of switches in long-term trends of the DJIA in normalized scale. Albeit assumed as a fact in financial media, we scrutinize whether or not Dow titans outperform T-bonds on an expected return basis long-term. These subject matters are embedded in a context of discussing a new species of long-term investment products with application for instance to provision of old age.
Topics: macro-economics, pricing in insurance | | Comments
Quasi Risk-Neutral Pricing
By Harry Niederau | November 11, 2007
paper submission on: Quasi Risk-Neutral Pricing in Insurance
Submission to the ASTIN Bulletin in November 2007.
Topics: pricing in insurance | | Comments
EGRIE Talk at September 2007 Seminar in Cologne
By Harry Niederau | September 18, 2007
Power Point presentation on: Quasi Risk-Neutral Pricing
Presentation at theĀ EGRIE seminar, 17 - 19 September 2007.
Topics: pricing in insurance | | Comments