Knowledge that Transforms

Most insurance companies are involved in reinsurance activities. For the majority, reinsurance means laying-off portions of the risk that they have assumed in the primary insurance market. A few other companies assume these laid-off risks. Our concern is with the former companies; that is, those seeking to cede a portion of their risk.

George M. Frankfurter, Herbert E. Phillips, John P. Seagle, Estimation Risk in the Portfolio Selection Model: A Comment, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 1 (Jan., 1972), pp. 1423-1424

John C. G. Boot, George M. Frankfurter, The Dynamics of Corporate Debt Management, Decision Rules, and Some Empirical Evidence, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 4 (Sep., 1972), pp. 1957-1965

Yutaka Imai, Mark Rubinstein, Equilibrium in the Pricing of Capital Assets, Risk-Bearing Debt Instruments, and the Question of Optimal Capital Structure: A Comment, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 4 (Sep., 1972), pp. 2001-2003

In this paper a recursive programming model is constructed and optimized so that a mix of bank assets may be selected. The purpose is to link optimization over time with a commercial bank asset management model.

Many recent studies of the demand for financial assets have been of an aggregative nature, using time-series data. However, some efforts to disaggregate and rely more heavily on cross-sectional data have yielded substantial improvements in discovering relationships not evident due to aggregation. The purpose of this paper is to continue in this spirit of disaggregation and to estimate the demand for one homogeneous type of financial asset, credit union shares, on a cross-sectional basis.

Robert H. Litzenberger, C. U. Rao, Portfolio Theory and Industry Cost of Capital Estimates, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 2, Supplement: Outlook for the Securities Industry (Mar., 1972), pp. 1443-1462

The federal deposit insurance system of the United States was instituted as a result of severe financial crises in the United States and was intended to prevent the recurrence of some of the evils of such crises, specifically those resulting from bank deposit losses. Since the Federal Deposit Insurance Corporation (FDIC) was established in 1934, the United States has not experienced banking panics or harmful effects on the economy due to widespread destruction of bank deposits. As a result, there is a fairly widespread feeling that the present deposit insurance system has been a success. If prevention of panics and large-scale deposit destruction are the only criteria for success, this judgment may be justified, although, if the insurance system uses resources, it must be proved that panics and deposit losses would be unacceptably frequent or large in its absence.

This paper examines the random-walk hypothesis in the forward exchange market by applying spectral analysis to the three-month forward rates for dollars against sterling in the period 1961–1967.

The literature of Index numbers contains much discussion of the relative merits of geometric and arithmetic averages of prices and quantities. The controversy on this subject dates from the middle of the nineteenth century and is fully described by Crowe [2], In recent times both types of averages have been applied to security price relatives to measure the performance of groups of securities over time. The purpose of this paper is to demonstrate the properties of these security indexes and to show the relationships between them and an index based upon a more general type of average called the power mean. The concluding section of this paper contains the proof of an interesting and important limit property which provides the conceptual link between geometric and arithmetic security indexes.