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Keywords:Portfolio management 

A new era of bank supervision

Remarks at the New York Bankers Association Financial Services Forum, New York City.
Speech , Paper 65

Working Paper
Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.
Working Paper Series , Paper WP-07-11

Working Paper
Search in asset markets: market structure, liquidity, and welfare

This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.
Working Papers (Old Series) , Paper 0701

Conference Paper
Portfolio lending decisions at small commercial banks

Proceedings , Paper 941

The Federal Reserve Bank of New York's involvement with AIG

Joint written testimony before the Congressional Oversight Panel, Washington, D.C.
Speech , Paper 24

Working Paper
Seasonality and portfolio balance under rational expectations

Working Papers , Paper 58

Managing the Federal Reserve's balance sheet

Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.
Speech , Paper 32

Working Paper
Does health affect portfolio choice?

Previous studies find a strong and positive empirical connection between health status and the share of risky assets held in household portfolios. But is this relationship truly causal, in the sense that households respond to changes in health by altering their portfolio allocation, or does it simply reflect unobserved differences across households? We find that most of the variation by health is on the extensive margin of stock ownership (rather than the marginal allocation conditional on ownership), which more plausibly points to non-causal explanations. Moreover, we find that any link ...
Finance and Economics Discussion Series , Paper 2007-45

Arbitrage pricing theory

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios. Consequently, applying the model to evaluate managed portfolios is contradictory to the no-arbitrage spirit of the model. An empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than ...
Staff Reports , Paper 216

Working Paper
Dynamic factor value-at-risk for large, heteroskedastic portfolios

Trading portfolios at Financial institutions are typically driven by a large number of financial variables. These variables are often correlated with each other and exhibit by time-varying volatilities. We propose a computationally efficient Value-at-Risk (VaR) methodology based on Dynamic Factor Models (DFM) that can be applied to portfolios with time-varying weights, and that, unlike the popular Historical Simulation (HS) and Filtered Historical Simulation (FHS) methodologies, can handle time-varying volatilities and correlations for a large set of financial variables. We test the DFM-VaR ...
Finance and Economics Discussion Series , Paper 2011-19


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