We consider a popular problem in finance, option pricing, through the lens of an online learning game between Nature and an Investor. In the Black-Scholes option pricing model from 1973, the Investor can continuously hedge the risk of an option by trading the underlying asset, assuming that the asset’s price fluctuates according to Geometric Brownian Motion (GBM). We consider a worst-case model...

Research has focussed on the impact that factors such as IT, marketplace process design and competition have on electronic marketplace performance. However, such research has neglected the impact of ownership upon the performance of an electronic marketplace. This paper explores the issue of ownership in electronic marketplaces and derives a broad, multi-faceted perspective of ownership, incorp...

In this paper, we present an intelligent agent based portfolio management system, which can be used by the financial services industry to provide inexpensive Internetbased "self serve" offerings to small investors. This system is designed to assist investment banking firms, which offer funds of funds. Banker agents assist mutual fund managers in devising a global efficient frontier from the ind...

Investor sentiment about future returns of financial instruments is a highly relevant information source for investment managers and other stakeholders in the financial industry. Investor sentiments are abundant in financial blog texts. Making use of these sentiments constitutes a massive information management challenge when considering the millions of blog articles with everchanging and growi...

In this first study to test formally the market value of investor relations (IR) activity, we employ the annual US Investor Relations Magazine Investor Relations Awards from 2000 to 2002 to proxy for the quality of firm investor relations. We find firms perceived to have the most effective IR strategies earn superior abnormal returns, both before and after the nominations. This shows that while...

Modern asset pricing theory generally assumes frictionless trading. Under this assumption, an investor would revise his portfolio holdings at every date on which he could trade. However, in models where an investor faces financial market frictions such as transactions costs, the portfolio is optimally rebalanced less frequently. This paper examines the portfolio trading problem for an investor ...

In this paper, we study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin [1]. Instead of considering only expected utility maximizers, we also take into consideration different preference paradigms. In particular, we analyze a representative agent who follows the tenets of cumulative prospect theory as developed by Kahneman and Tversky [15], together wi...

 Abstract 9025 Genomic profiling of circulating tumor DNA (ctDNA) from patients (pts) with advanced non-small cell lung cancer (NSCLC). Poster Board #351  Abstract 9064 Updated efficacy and safety of the j-alex study comparing alectinib (ALC) with crizotinib (CRZ) in ALK-inhibitor naïve ALK fusion positive non-small cell lung cancer (ALK+ NSCLC). Poster Board #390  Abstract 9092 Atezolizumab...

Impact of investor sentiments on mean variance trade off with respect to Pakistani market has been investigated in this paper. Composite index for Investor Sentiments for Karachi stock exchange is developed. The six measures incorporated in the composite investor sentiment index are closed end fund discount, KSE turnover, the number of IPOs, average first day returns of IPOs, equity share in ne...

Building on Schnitzer (1998), this paper develops a model of strategic interaction between a foreign direct investor, a host country, and the investor’s country. By including the investor country we are able to consider the impact of political retaliation on the likelihood of expropriation. The model confirms that expropriation is more likely for lower technology sectors and site-specific asset...