Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that noise in market impact causes risk-neutral assessment to underestimate the impact cost. We also study typical examples under a log-linear/quadratic market impact function with Gamma-distributed noise.Comment: 24 pages, 14 figures. Continuation of the paper arXiv:1301.648

RAFI replication: easier done than said?

This is a post-peer-review, pre-copyedit version of an article published in The Journal of Asset Management. The definitive publisher-authenticated version Glabadanidis, Paskalis Teodoros; Obaydin, Ivan; Zurbruegg, Ralf, RAFI replication: easier done than said?, The Journal of Asset Management, 2012; 13(3):210-225 is available online at: dx.doi.org/10.1057/jam.2012.7We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially pronounced during periods of average stock market volatility. We also find that investors can construct a do-it-yourself buy-and-hold replicating portfolio that frequently outperforms the Research Affiliates Fundamental Index®(RAFI®), exchange traded fund out-of-sample.Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbrueg

Effective practices of international volunteering for health : perspectives from partner organizations

Abstract: The demand for international volunteer experiences to promote global health and nutrition is increasing and numerous studies have documented the experiences of the international volunteers who travel abroad; however, little is known about effective practices from the perspective of partner organizations. This study aims to understand how variables such as the skill-level of volunteers, the duration of service, cultural and language training, and other key variables affect partner organizations’ perceptions of volunteer effectiveness at promoting healthcare and nutrition..