Research bulletin
The aim of the research bulletin is to keep finance and investment actuaries up to date with the latest research. As finance and investment is a very wide area the bulletin focuses on research which is most likely to be of interest to members of the profession. The bulletin is updated once a month.
You may like to visit the finance and investment CPD page, which can be found here.
Last updated: 4 April 2012
Blogs
Published research - All items available from the Profession's libraries
Latest recommendations
The financial crisis and aftermath, and on related ethical/behavioural issues
- The end of growth: adapting to our new economics reality.- Heinberg, Richard. New Society Publishers, 2011.- 336 pages.
- Free capital : how 12 private investors made millions in the stock market. - Thomas, Guy. - Harriman House Publishing, 2011. - x, 279 p. pages.
- The trouble with markets: saving capitalism from itself.- Bootle, Roger. Nicholas Brealey Publishing, 2nd ed., 2011.- 305 pages.
Comment: All books above were recommended in The Actuary and may be borrowed from the Profession's libraries.
You may also be interested in:
- The AAA handbook 2011 : a new dimension. - 9th ed. - Barclays Capital, 2011. - 762 pages.
- Extreme events: Robust portfolio construction in the presence of fat tails.- Kemp, Malcolm. - John Wiley & Sons Ltd, 2011. - 312 pages.
- Manias, panics and crashes; a history of financial crises. - 6th ed. - Kindleberger, Charles P; Aliber, Robert Z. - Palgrave Macmillan, 2011. - viii, 356 p pages.
Papers
Professional investor, Spring 2012Request article from libraries
Roundtable. - Broby, Daniel and others
A discussion on putting information into context.
When simple solutions trump complex ones. - Klement, Joachim; Miranda, Robin
Simple ideas can add value even in the most complex industries.
Investment selection of private equity managers during challenging times - Rossi, Lorenzo
Challenging market circumstances pose severe headwinds to even the strongest private equity managers.
Changing perspectives on passive investing: customised beta. - Krieg, John
Turbulence, uncertainty, and inconsistent returns epitomised the last 10 years of investing, leading some investors to reconsider their objectives.
Information overload. - Laud, Sonja; Kelly, Ian
The proliferation of short-term company and macro-economic data has distorted the true picture of companies' financial positions.
Behavioural biases. - Smith, Malcolm
How managers' decision-making biases affect investment performance.
Financial Analysts Journal, vol. 67, 6 (Nov/Dec 2011) Request article from libraries
- Most likely to succeed: Leadership in the fund industry.- Pozen, Robert; Hamacher, Theresa
- Active management in mostly efficient markets. - Jones, Robert C; Wermers, Russ
- When two anomalies meet: The post-earnings announcement drift and the value-glamour anomaly.- Yan, Zhipeng; Zhao, Yan
- The impact of international institutional investors on local equity prices: Reversal of the size premium. - Jiang, Hao; Yamada, Takeshi
- Trading relative performance with alpha indexes.- Sagi, Jacob S; Whaley, Robert E
Journal of Asset Management, vol. 12 (6) (2011) Request article from libraries
- Style rotation and dynamic asset allocation. - Satchell, Stephen
- Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios.- Al Janabi, Mazin A M
- Information spillovers between size and value premium in average stock returns.- Anheluk, Tobias E; Simlai, Pradosh
- Style investing and momentum investing: A case study. - de Moerloose, Sandrine; Giot, Pierre
- A new asset allocation technique to reduce financial portfolio risk. - Gandolfi, Gino; Sabatini, Antonella; Rossolini, Monica
- Momentum change, industry group rotation and portfolio returns. - Islam, Muhammad M; Gomes, Lawrence
- Impact of investment horizon on the performance of value versus growth styles and style allocation. - Wang, Jia
Applied mathematical finance, vol. 18 (5-6) (2011) Request article from libraries
- Early exercise boundary for American type of floating strike Asian option and its numerical approximation.- Bokes, Tomáš; Ševcovic, Daniel
- Mean-variance optimal adaptive execution. - Lorenz, Julian; Almgren, Robert
- Arithmetic Asian options under stochastic delay models.- McWilliams, Nairn; Sabanis, Sotirios
- Closed form approximations for spread options. - Venkatramanan, Aanand; Alexander, Carol
- Option valuation with a discrete-time double Markovian regime-switching model. - Siu, Tak Kuen; Fung, Eric S; Ng, Michael K
- Good-deal bounds in a regime-switching diffusion market. - Donnelly, Catherine
- Small-time asymptotics for an uncorrelated local-stochastic volatility model. - Forde, Martin; Jacquier, Antoine
- The British put option. - Peskir, Goran; Sammee, Farman
Research in progress
- Bank for International Settlements
- BVCA (British Venture Capital Association)
- CFA Society of the UK
- EVCA (European Private Equity & Venture Capital Association)
- FSA
- FTSE
- INQUIRE UK (Institute for Quantitative Investment Research). A not-for-profit organisation dedicated to furthering research and understanding in the field of quantitative investment methodologies. Their goal is to bridge the gap between theory and practice. The website includes a section on research projects in progress.
- Investment Manager Association
- MSCI (Morgan Stanley Capital International)
- Research centres list maintained by Ohio State University
Link collections
- Finance site list maintained by Ohio State University