Publicly-traded Private Equity Funds

Private equity has long been considered a form of alternative investments that is able to generate superior returns compared to the traditional public equities asset class. It is not uncommom to see top-quantile funds delivering…

Forecasting Volatility

Volatility forecasting has great applications in financial markets – from feeding in assumptions in models to risk management to derivatives pricing and trading. People have different methods in predicting volatility, and have developed different models…

Market Cap Index as a Strategy

Investors, or even the general public, dealt with market cap indices like S&P 500 or Hang Seng Index frequently: it’s considered as an indicator of the overall financial market’s performance, the health and strength of…

Bubbles for Fama

By Robin Greenwood, Andrei Shleifer, and Yang You from HBS. Nobel laureate Eugene F. Fama has famously claimed that there is no such thing as a bubble, which he defines as a large price run-up…

The Volatility Smile Problem: From Within

By Elie Ayache: The smile problem isn’t something that happens to the Black–Scholes–Merton (BSM) model from outside. It is not a falsification of the BSM model. The smile problem isn’t that BSM assumes the underlying price process…

Economic Survey of China 2017

The Chinese economy will remain the major driver of global growth for the foreseeable future. The Survey was prepared by Margit Molnar, Ben Westmore and Thomas Chalaux, with contributions from Jiangyuan Lu, Wenhao Chen, Baolin Wang and…

Six Impossible Things Before Breakfast

From GMP’s recent White Paper: In order to make sense of today’s pricing, you need to believe in six impossible things: Secular stagnation is permanent and rates will stay low forever. As we have argued…