This is where the more technical special interest articles are kept. Please feel free to download and view at your leisure.

Multi-scale variation, path risk and long term portfolio management   Strategic fund management and similar investment styles may be exposed over time to multi-scale variation that can create inconsistencies between portfolio methodology and welfare objectives. This paper utilises a more embracing temporal frame of reference that can reconcile macro-scale variation in investment value with the shorter run, according to welfare preferences as to path risk versus terminal value. Path exposures give rise to path risk, and this is operationally defined in terms of a spectral welfare function, encompassing Fourier and wavelet analysis within a common framework. The approach leads to dynamic analogues of mean-variance such as band pass portfolios that are more sensitive to variability at designated scales.   Click Here To Download

Lifecycle derivatives, defined benefits and retirement income assurance   As the cost of funding babyboomer retirement under defined benefit schemes has become apparent, the resulting paradigm shift to defined contribution - but undefined rewards - has left pensioners exposed to performance, credit, and longevity risk, as life tables lengthen. Defined benefit schemes can be designed off the back of high grade debt issuance programmes by public long term asset vehicles, as an infrastructure-retirement double play. Derivatives can be used to enhance coupons and to correctly align risk preferences as between income while still alive and bequests. Variable lifetime reinvested coupon options and annuity swaps utilise market pricing to provide unambiguous pricing benchmarks and a necessary underpinning of lifecycle planning certainty. The result is a flexible mix of private and public provision of old age income assurance, which exploits the externalities of a well-designed system of public debt.   Click Here To Download

Bifurcations and bubbly outcomes: The local instability of financial markets   Concerns about ‘short termism’ associated with hedge funds, and other manifestations of diminishing risk aversion, have revived interest in speculative bubbles and related episodes of financial instability. Earlier models of rational bubbles fell short in explaining why bubbles appear and collapse; nor can their dynamics generate local dependences in volatility or the mean of returns. It is shown that social reflexivity of investor opinions in response to information flows is capable of creating equilibrium bifurcations in the mapping from signals to states, and hence bubbly outcomes. Even serially uncorrelated information results in episodic locally-trapped states, that exhibit serially dependent returns and path dependence. Structural modelling of social influence connects local stickiness propensities to parameters and states of investor unanimity and risk aversion. As to hedge funds, it is suggested that the real risk lies in convergent behaviour.   Click Here To Download