the utility of wealth in an upper and lower partial moment fabric

8/3/2019 The Utility of Wealth in an Upper and Lower Partial Moment Fabric

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cjdcvcdrkg'} cjvb}tabjt kmtcnj} kt bvb|s nl}b|vklgb yncjt c} jnt mnjmbcvklgb* Pb kg}n mkjjnt db!

k``|b`ktb cjdcvcdrkg rtcgcts cjon|aktcnj o|na }bmr|cts y|cmb}* Tfb cjdcvcdrkg'} }tktbabjt} pnrgd

cjdbbd noob| k `gcay}b cjtn tfb bmnjnacm k`bjt'} mfncmb} cjvngvcj` rjmb|tkcjts pctf }rl}tkjtckg

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bt|kyngktb tfb pn|h dnjb ls Yn}t bt kg* pctfcj nr| rtcgcts o|kabpn|h* Tfb ocjdcj`} dn cjdbbd

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yn}ctcvb rtcgcts* Tn yrt ct an|b lgrjtgs pb bygkcj tfb c||ktcnjkg lbfkvcn| tfkt mnjonrjd}

fc}tn|cmkg rtcgcts tfbn|s pfcgb akcjtkcjcj` kj kdfb|bjmb tn tfb gkp} no dcacjc}fcj` ak|`cjkg


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rtcgcts &rjtcg tfb YM]#* Bmnjnacm k`bjt} k|b jnt kgpks} |ktcnjkg rtcgcts akcacub|} k} pctjb}}bd

ls }bmr|cts ak|hbt'} yk|tcmcykjt}* Tfb ntfb| jntklgb dcoob|bjmb c} tfb }ra nvb| fc}tn|cb}

abtfndngn`s vb|}r} tfb kjkgs}c} no k``|b`ktbd dktk* Tfb vb|s jktr|b no k }ra nvb| fc}tn|cb}

bjklgb} k an|b dbtkcgbd bygkjktcnj no tfb |b}cdrkg} tfkt dnacjktb ntfb| yk|kabt|cm andbg}*

Nr| bjfkjmbd }ybmcocmktcnj }np} tfb }bbd} on| |bogbcvcts kjd ntfb| tfbn|cb} tfkt dbvcktb

o|na tfb n|tfndns* Pb kmmnaygc}f tfc} pctf jn|aktcvb bkaygb} tn `bjb|ktb k o|kabpn|h o|na

pfcmf an|b db}m|cytcvb tb}tcj` mkj lb mnj}cdb|bd kjd kttbaytbd tn lbttb| rjdb|}tkjd tfb

cjdcvcdrkg jktr|b no dbmc}cnj} rjdb| rjmb|tkcjts*


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]CJ@GB LBJMFAK\H RYA . GYA RTCGCTS

Oc`r|b 2* ]cj`gb Lbjmfak|h Rtcgcts Orjmtcnj*

GYA Mnjdctcnjkg _kgrb}o&GYA&j'f'#

GYA&j's'# ( R&9## CoGYA &j'f'#GYA&j'f's#:9

o&GYA&j'f's# ( RYA&j's'# ( R&9## CoGYA &j'f's#GYA&j'f'#:9

o&GYA&j'f's## CoGYA &j'f'# 1 9

R 1 RYA Mnjdctcnjkg _kgrb}o&RYA &{'g'k#GYA &{'k'# ( R&9## CoRYA &{'g'k#RYA &{'g'#:9

o&RYA &{'g'#( RYA &{'k'# ( R&9## CoRYA &{'g'# RYA &{'g'k# :9

o&RYA &{'g'k## CoRYA &{'g'#1 9

RYA & # 1 Ryyb| yk|tckg anabjt &db`|bb tk|`bt lbjmfak|h#GYA & # 1 Gnpb| yk|tckg anabjt &db`|bb tk|`bt lbjmfak|h#j 1 Cjvb}tn|'} gn}} kvb|}cnj gbvbg{ 1 Cjvb}tn|'} `kcj }bbhcj` kyybtctbf 1 Tk|`bt on| mnayrtcj` GYAg 1 Tk|`bt on| mnayrtcj` RYA1 Cjvb}tabjts 1 Lbjmfak|h Sk 1 Lbjmfak|h K

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ARGTCYGB LBJMFAK\H RYA . GYA RTCGCTS

Oc`r|b ?* Argtcygb Lbjmfak|h Rtcgcts Orjmtcnj

GYA Mnjdctcnjkg _kgrb}o&GYA &j'f'#GYA &j's'#( R&9## CoGYA &j'f'# GYA &j'f's# GYA &j'f'u# :9

o&GYA &j'f'#GYA &j'u'#( R&9## CoGYA &j'f'# GYA &j'f'u# GYA &j'f's#:9

o&GYA &j'f's#( RYA &j's'#( R&9## CoGYA &j'f's#GYA &j'f'#GYA &j'f'u#:9

o&GYA &j'f's# ( RYA &j'u'#( R&9## CoGYA &j'f'u#GYA &j'f'#GYA &j'f's#:9

o&GYA &j'f's# ( RYA &j's'#( R&9## CoGYA &j'f'u# GYA &j'f's#GYA &j'f'#:9

o&GYA &j'f's# ( RYA &j'u'#( R&9## CoGYA &j'f's#GYA &j'f'u# GYA &j'f'#: 9

RRYA Mnjdctcnjkg _kgrb}

o&RYA &{'g'l#GYA &{'l'# ( R&9## CoRYA &{'g'k#RYA &{'g'l#RYA &{'g'#:9

o&RYA &{'g'k#GYA &{'k'# ( R&9## CoRYA &{'g'l# RYA &{'g'k# RYA &{'g'#: 9

o&RYA &{'g'k#GYA &{'k'# ( R&9## CoRYA &{'g'k#RYA &{'g'#RYA &{'g'l#: 9

o&RYA &{'g'l#GYA &{'l'# ( R&9## CoRYA &{'g'l#RYA &{'g'#RYA &{'g'k# :9

o&RYA &{'g'# ( RYA &{'k'# ( R&9## CoRYA &{'g'#RYA &{'g'k# RYA &{'g'l#: 9

o&RYA &{'g'# ( RYA &{'l'# ( R&9## CoRYA &{'g'#RYA &{'g'l#RYA &{'g'k#: 9

RYA & # 1 Ryyb| yk|tckg anabjt no tk|`bt &db`|bb tk|`bt lbjmfak|h#GYA & # 1 Gnpb| yk|tckg anabjt no tk|`bt &db`|bb tk|`bt lbjmfak|h#j 1 Cjvb}tn|'} gn}} kvb|}cnj gbvbg

{ 1 Cjvb}tn|'} `kcj }bbhcj` kyybtctbf 1 Tk|`bt on| mnayrtcj` GYAg 1 Tk|`bt on| mnayrtcj` RYA 1 Cjvb}tabjt s 1 Lbjmfak|h S u 1 Lbjmfak|h U

k 1 Lbjmfak|h K l 1 Lbjmfak|h L

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]bmtcnj ; Gn}} Kvb|}cnj Lbgnp Kgg Lbjmfak|h}

Pfbj kj cjvb}tabjt rjdb| yb|on|a} kgg no tfb GYA lbjmfak|h} ct c} lbcj` mnayk|bd tn

tfb rtcgcts pcgg dbm|bk}b kt kj bynjbjtckg |ktb mnj}c}tbjt pctf tfb cjvb}tn|'} gn}} kvb|}cnj j k}

tfc} |bogbmt} kj bjm|nkmfabjt rynj lk}cm jbmb}}ctcb}* Tfc} nrtb|an}t GYA |by|b}bjt} \ns'}

}rl}c}tbjmb gbvbg cdbjtcocbd k} ] ls Gnyb} &;360#* Tfb an|b njb gn}b} kt tfc} yncjt tfb mgn}b| tn

9 pbkgtf tfb cjvb}tn| lbmnab} pctf jn ak| cj on| b||n|* Tfb GYA no tfb cjvb}tabjt GYA

&jf# pcgg cjm|bk}b k} gn}}b} k|b btbjdbd* Tfb ak|`cjkg rtcgcts gn}t o|na rjdb| yb|on|akjmb

pcgg kg}n lb bynjbjtckggs okmtn|bd kt k |ktb mnj}c}tbjt pctf tfb cjvb}tn|'} gn}} kvb|}cnj gbvbg j

o|na tfb n|c`cjkg GYA mkgmrgktcnj* Tfc} bj}r|b} tfb cjvb}tn|'} gn}} kvb|}cnj y|nocgb c} rjcon|ags

{rkjtcocbd* Tfb ak|`cjkg rtcgcts }rlt|kmtbd kg}n |by|b}bjt} tfb nyyn|trjcts mn}t cjvb}tn|}

mnayk|b tfba}bgvb} tn* Cj b}}bjmb tfb C }fnrgd fkvb*** pb kgg tbgg nr|}bgvb}* Pfbtfb| dc|bmt

n| ak|`cjkg k gn}} c} k gn}} kjd tfb GYA'} k|b `cvbj k jb`ktcvb }c`j tn tfbc| yn}ctcvb vkgrb tn

cggr}t|ktb tfb jb`ktcvb rtcgcts* Tfb on|argk |by|b}bjtcj` tfc} }mbjk|cn pctf k tk|`bt no 9 on| tfb j!

db`|bb GYA c}5

GYA Mnjdctcnjkg _kgrb}o&GYA&j'9'# GYA&j's'# ( R&9## CoGYA &j'9'#GYA&j'9's#:9

&4# ]cj`gb Lbjmfak|h

GYA Mnjdctcnjkg _kgrb}o&GYA &j'9'# GYA &j's'# ( R&9## CoGYA &j'9'# GYA &j'9's# GYA &j'9'u# :9

o&GYA &j'9'# GYA &j'u'# ( R&9## CoGYA &j'9'# GYA &j'9'u#GYA &j'9's# :9&2# Argtcygb Lbjmfak|h}

GYA &j9s# c} tfb gnpb| yk|tckg anabjt k}}nmcktbd pctf tfb cjvb}tn|'} }rl}c}tbjmb gbvbg

] lbjmfak|h cj b{rktcnj 4 cggr}t|ktbd pctf k 9 tk|`bt pfb|bls ] 1 GYA &j9s#* GYA &j9s#

kjd GYA &j9u# k|b tfb gnpb| yk|tckg anabjt} no tfb cjvb}tn|'} dnpj}cdb tngb|kjmb} on| argtcygb

lbjmfak|h} }fnpj cj b{rktcnj 2* Tsycmkggs tfc} c} kmmnaygc}fbd ls }nab on|a no abjtkg


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kmmnrjtcj` ls tfb cjvb}tn| m|bktcj` cjdbybjdbjt rtcgctcb}*6 Yfs}cmkg }byk|ktcnj no kmmnrjt}

pnrgd lb kj bt|kyngktcnj no tfc} abjtkg kmmnrjtcj` abtfnd* Bkmf kmmnrjt pcgg fkvb ct} npj

rtcgcts orjmtcnj kjd k}}nmcktbd lbjmfak|h8 fnpbvb| cjvb}tn|} mkj bvkgrktb tfba cj k``|b`ktb tn

tfbc| tntkg pbkgtf* Argtcygb }cj`rgk|ctcb} k|b tfb k``|b`ktcnj no }rmf kmmnrjtcj`*

Tfc} }bmtcnj no tfb orjmtcnj |bob|} tn tfb GYA &jf# GYA &jfs# n| GYA &jfu#* Tfc}

c} tfb k|bk pfb|b gn}}b} |by|b}bjt tfb pn|}t y|bdcmtbd nrtmnab on| tfb cjvb}tn|* Bvb|s cjm|bk}b cj

gn}}b} pcgg bynjbjtckggs bjm|nkmf rynj tfb cjvb}tn|} klcgcts tn y|nvcdb lk}cm }rl}c}tbjmb

mnj}c}tbjt pctf \ns'} }rl}c}tbjmb gbvbg ]* Ct c} tfb|bon|b k mnjmkvb }bmtcnj no tfb orjmtcnj*

Oc`r|b 0 fc`fgc`ft} tfc} }bmtcnj no tfb orjmtcnj kjd kj bkaygb pcgg fbgy mgk|cos*

Gnyb} r}b} k }rl}c}tbjmb ok|ab| kjkgn`s cj fb| ;360 ykyb| tfb|bon|b pb pcgg mnjtcjrb

pctf tfb oktb no tfb ok|ab| lbmkr}b ct fc`fgc`ft} rtcgcts cj ct} yr|b}t on|a }r|vcvkg* ]ryyn}b k

ok|ab| ygkjt} k yn|tcnj no fc} m|ny tfkt fb pnrgd jbbd tn }r|vcvb tn k onnd m|ny* Tfb tntkg m|ny

rtcgcts orjmtcnj R pnrgd lb lnrjd ls tfb km|bk`b no lntf m|ny}* ]ryyn}b tfb|b k|b ;9 tntkg

6 ]fbo|cj kjd ]tktakj &


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km|b} kjd tfb ok|ab| jbbd} ? km|b} dbdcmktbd tn fc} onnd m|ny on| }r|vcvkg tf|nr`f tfb pcjtb|*

Tfb |bakcjcj` 4 km|b} pnrgd lb ygkjtbd on| k mk}f m|ny* ]cjmb ct c} k mk}f m|ny tfb bmfkj`b

|ktb tn tfb onnd m|ny c} jnt gcjbk|* Kmmn|dcj` tn an}t y|kmtctcnjb|} tfb ok|ab| c} dncj` tfb

y|rdbjt tfcj` ls dcvb|}coscj` fc} |c}h km|n}} dcoob|bjt m|ny tsyb}*3

Co tfb onnd m|ny okcg} tn

y|ndrmb k }cj`gb fk|vb}tbd abkg kt gbk}t fb mnrgd lk|tb| pfktbvb| `kcj} k|b |bkgcubd o|na tfb

mk}f m|ny* Tfb tntkg gn}} no tfb onnd m|ny kjd tfb yktf dbybjdbjt rtcgcts;9 no tfb mk}f m|ny c} tfb

yk|t no tfb orjmtcnj tfc} }bmtcnj c} kjkgsucj`* K} tfb mk}f m|ny okcg} tn y|ndrmb kj cjm|bk}cj`

GYA &jf# tfb ok|ab|'} klcgcts tn }r|vcvb c} bynjbjtckggs mfkggbj`bd pctf bkmf rjfk|vb}tbd

|np no mk}f m|ny }cjmb ct mkj lb bmfkj`bd on| k `|bktb| kanrjt no onnd m|ny* Bvbjtrkggs tfb

ok|ab| pcgg fkvb akcacubd tfbc| jb`ktcvb rtcgcts kjd fk|vb}tbd 9 km|b} k tntkg gn}}*

Tfc} bkaygb fc`fgc`ft} kj cayn|tkjt yncjt !! bvbj tfnr`f tfb rtcgcts c} mnjmkvb on| gn}}b}

ct c} lnrjd ls tfb cjdcvcdrkg'} tntkg pbkgtf* Tfb tntkg kanrjt no km|bk`b on| lntf m|ny} c} tfb

lcjdcj` vk|cklgb cj tfc} bkaygb* Tfb|b c} k jntcmbklgb dcoob|bjmb cj rtcg} o|na 9 km|b tn ; km|b}

kjd }gc`ftgs gb}} on| tfb }bmnjd km|b no mk}f m|ny fk|vb}tbd* Tfb rtcg} pcgg cjm|bk}b kt k

dcacjc}fcj` |ktb rjtcg fb c} klgb tn }r}tkcj fc} bc}tbjmb GYA &jfs# * K mnjvb gn}} orjmtcnj

pnrgd fkvb tfb dcoob|bjmb cj rtcg} no 9 tn ; km|b fk|vb}tbd k} jb`gc`clgb lbgnp tfb lbjmfak|h*

@nnd grmh bygkcjcj` tfkt tn tfb ok|ab|*

On| argtcygb lbjmfak|h} tfb boobmt} kjd tfb b{rktcnj c} cdbjtcmkg on| pfcmfbvb|

lbjmfak|h fk} tfb gk|`b}t GYA GYA &jfs# n| GYA &jfu# }cjmb bctfb| pnrgd mncjmcdb pctf

tfb cjvb}tn|'} }rl}c}tbjmb gbvbg ] k} fc`fgc`ftbd cj Oc`r|b 6 lbgnp*

3 Kyybjdc K pcgg or|tfb| tfb dc}mr}}cnj no dsjkacm mnvk|ckjmb} kjd tfb cjvb|}b boobmt} no dcvb|}cocmktcnj;9 Yn}t _kj dbj K}}ba Lkgtr}}bj kjd Tfkgb| &


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Oc`r|b 6* Mnjmkvb jb`ktcvb rtcgcts lbgnp

}rl}c}tbjmb gbvbg ] on| argtcygb lbjmfak|h}*Gn}}b} @kcj}

Rtcgcts

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]bmtcnj ? @kcj ]bbhcj` klnvb kgg RYA Lbjmfak|h}

Tfb cjvb|}b no ]bmtcnj ; kyygcb} fb|b* Pfbj kgg ryyb| lbjmfak|h} k|b mgbk|bd ls tfb

cjvb}tn| tfbc| rtcgcts pcgg lb tfkt no tfb cjvb}tabjt ygr} tfb ak|`cjkg rtcgcts no lbktcj` tfb fc`fb}t

RYA lbjmfak|h mnj}c}tbjt pctf tfbc| `kcj }bbhcj` gbvbg* Yn}t bt kg* &


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Tn tfb oc|}t yncjt tfb bvcdbjmb pb |bvcbpbd c} {rctb }ryyn|tcvb5 Fkyycb| ybnygb `cvb an|b kjd

`cvcj` akhb} ybnygb fkyycb| }rmf tfkt fkyycjb}} kjd `cvcj` aks nyb|ktb cj k yn}ctcvb obbdlkmh

gnny &pctf fkyycb| ybnygb `cvcj` an|b `bttcj` fkyycb| kjd `cvcj` bvbj an|b# &Kjch Khjcj

Jn|tnj kjd Drjj ]ryyn}b tfb ok|ab| pb|b tn }bgg tfb mk}f m|ny on| kddctcnjkg

}tn|k`b btbjdcj` fc} mb|tkcjts no }r|vcvkg pctf onnd m|ny}* N| }ks tfb ok|ab| pk} `ncj` tn


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= Pb dcdj't tfcjh }n bctfb|* Tfb}b bkaygb} k|b no jnj!tkj`clgb rtcgcts

tn tfb ok|ab| cj tfb mnjtbt no tfbc| lrayb| onnd m|ny* Kg}n tfb ok|ab| pk} k rtcgcts tkhb|8 tfbs

mgbk|gs pnrgd jnt db}t|ns tfb kddctcnjkg km|bk`b no tfb mk}f m|ny cj n|db| tn mbk}b km{rc|cj`

rtcgcts lbsnjd tfbc| yb|}njkg mnj}raytcnj }ktcktcnj yncjt* Oc`r|b} ;2 kjd ;? lbgnp fc`fgc`ft tfc}

cayn|tkjt mr|vb mfk|kmtb|c}tcm*

Oc`r|b ;?* Argtcygb lbjmfak|h mnjvb yn}ctcvb

rtcgcts klnvb tfb cjvb}tn|'} yb|}njkg

mnj}raytcnj }ktcktcnj gbvbg*

Oc`r|b ;2* ]cj`gb lbjmfak|h mnjvb yn}ctcvb

rtcgcts klnvb tfb cjvb}tn|'} yb|}njkg

mnj}raytcnj }ktcktcnj gbvbg*

Gn}}b}Gn}}b} @kcj}@kcj}

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Tfb y|bvkgbjmb no jnj}tktcnjk|cts cj ocjkjmckg ak|hbt} c} notbj tfb mkr}b no k {rkjtctktcvb

andbg'} dbac}b* Tfc} dsjkacm jnjgcjbk| mfkntcm on|mb mkj lb nl}b|vbd nj kgg }mkgb} kjd o|kmtkg}

no lntf tcab }b|cb} kjd y|cmb dktk pctf tfb |nnt no tfc} on|mb lbcj` tfb |kjdna kmtcnj} no tfb

cjdcvcdrkg} `bjb|ktcj` tfc} dktk* Pb noob| k `gcay}b cjtn tfc} mnjrjd|ra vck tfb }b|cb} no

kder}tabjt} tn tfb lbjmfak|h} kj cjdcvcdrkg pcgg akhb nvb| tfb yb|cnd no tfbc| cjvb}tabjt* Yn}t

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}bmr|ctcb} tfb dbmc}cnj tn lrs }bgg n| fngd lk}bd nj tfkt nl}b|vktcnj |by|b}bjt} kjntfb| fk|vb}t

pctf k}}nmcktbd |c}h y|nocgb}* On| mnjtcjrnr} y|nlklcgcts dc}t|clrtcnj} tfb|b k|b kj cjocjctb

jralb| no nrtmnab} lk}bd nj tfb cjvb}tn|} o|b{rbjms no nl}b|vktcnj kjd jralb| no }bmr|ctcb}

gbkdcj` tn kj cjocjctb jralb| no rtcgctcb}* Ct c} on| tfc} |bk}nj pb obbg tfb }ra nvb| fc}tn|cb}

mnjmbyt lb}t bygkcj} }cj`gb!yb|cnd rtcgcts nl}b|vktcnj} btbjdbd tn argtcygb!yb|cnd rtcgcts

kjkgs}c}*

Oc`r|b ;0* Argtcygb cjtb|y|btktcnj} on| tfb }kabrtcgcts vkgrb cggr}t|ktcj` tfb }ra nvb| fc}tn|cb}

jktr|b no jnj }tktcnjk| lbjmfak|h}*

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MNJMGR]CNJ]

Ct c} mgbk| tfkt tfb jntcnj no ak|`cjkg rtcgcts ygks} k vb|s cayn|tkjt yk|t no cjvb}tn|'}

rtcgcts orjmtcnj kjd rgtcaktbgs tfbc| dbmc}cnj akhcj` y|nmb}}* Fnpbvb| jn tpn cjvb}tn|} k|b

kgchb kjd k rjcvb|}kg rtcgcts orjmtcnj ar}t lb klgb tn kdd|b}} kgg mnjoc`r|klgb dcoob|bjmb} lbtpbbj

cjvb}tn|}* Ct c} kg}n bvcdbjt tfkt rtcgcts mnab} cj tpn on|a} yn}ctcvb kjd jb`ktcvb* Bkmf rtcgcts

fk} tfbc| npj orjmtcnj pctf tfbc| npj yk|kabtb|} dbocjcj` ct* Ct c} kg}n yn}}clgb on| bctfb| tn

bargktb tfb ntfb| pctf cjvb}tn|'} kttctrdb} no `kcj }bbhcj` kjd gn}} kvb|}cnj* Pfbj mnjmgrdcj`

kjd dblktcj` y|n}ybmt tfbn|s vb|}r} bybmtbd rtcgcts tfbn|s Yn}t bt kg* &


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KYYBJDCV K

CJ]R\KJMB JNT ]NGBGS K] PBKGTF \BTBJTCNJ

Yk|t no tfb fc}tn|cmkg dblktb nj rtcgcts tfbn|s fk} mbjtb|bd k|nrjd tfb cjvb}tn|'} y|nybj}cts

tn yr|mfk}b lntf cj}r|kjmb kjd k gnttb|s tcmhbt* \bmbjt bkaygb} aks cggr}t|ktb pfs cj}r|kjmb c}

jnt }ngbgs k abkj} tn pbkgtf |btbjtcnj lrt |ktfb| kj k}saabt|cmkg jb`ktcvb bvbjt yksnoo n| kj

cjvb|}b gnttb|s* T|kdctcnjkg cj}r|kjmb }rmf k} gcob krtn fnab }b|vb} k yr|yn}b no pbkgtf

|btbjtcnj n| pbkgtf kddctcnj co tfb yngcms c} tfb gcob bkaygb* Jnt tn abjtcnj tfkt cj}r|kjmb c}

akjdktbd ls an}t dblt mnvbjkjt} }rmf k} an|t`k`b} krtn gbk}b} kjd bvbj }tktb gkp* Cj}r|kjmb

o|krd pfb|bls cjdcvcdrkg} m|bktb kj cj}r|bd bvbjt8 mn}t} tfb cj}r|kjmb cjdr}t|s lcggcnj} k sbk|*

;2

Tfc} kmtcnj fc`fgc`ft} }nab cjdcvcdrkg}' db}c|b tn bj}r|b yksnoo no kj cjvb|}b gnttb|s* @cvbj k

mfncmb ct pnrgd lb cjtb|b}tcj` tn pctjb}} fnp akjs cjdcvcdrkg} pnrgd mfnn}b tn }bgo!cj}r|b

tfb|bls |kc}cj` tfb {rb}tcnj5 Yb|fky} bmnjnacm k`bjt} dn jnt pc}f tn }anntf mnj}raytcnj nvb|

tcab> Pk||bj Lroobtt cj fc} ;36? gbttb| tn }fk|bfngdb|} kj}pb|} tfc} vb|s {rb}tcnj Mfk|gcb kjd

C fkvb kgpks} y|bob||bd k grays ;2 " |btr|j tn k }anntf ;< " |btr|j* C|njcm mnacj` o|na fc}

yn}ctcnj k} k yr|vbsn| no }rmf yngcmcb} cjtbjdbd tn }anntf mnj}raytcnj on| fc} mr}tnab|}*

Pfkt co snr pb|b klgb tn yr|mfk}b cj}r|kjmb nj as cj}r|bd cjtb|b}t> Snr pnrgd yks

}nab y|bacra kjd tfbj |bmbcvb k gray }ra co tfb cj}r|bd bvbjt nmmr|}* Pfcgb tfc} c} jnt

mnaanj n| bvbj gb`kg pctf t|kdctcnjkg cj}r|kjmb yngcmcb} nvb| tfb gk}t dbmkdb ct fk} lbmnab tfb

jn|a nj ocjkjmckg bvbjt} hjnpj k} dbokrgt}* Tfb m|bdct dbokrgt }pky pk} cjctckggs ak|hbtbd k}

cj}r|kjmb on| mnaykjcb} jnt klgb tn abbt tfbc| dblt nlgc`ktcnj}* Tfc} akhb} }bj}b on| tfb lkjh

fngdcj` tfb dblt nlgc`ktcnj tn dc|bmtgs cj}r|b ct} byn}r|b* Lrt ntfb| lkjh} }tk|tbd lrscj` tfb

cj}r|kjmb kjd }tk|tbd k }ybmrgktcvb m|kub |b}rgtcj` cj njb no tfb gk|`b}t ak|hbt} cj tfb pn|gd cj k

|bgktcvbgs }fn|t kanrjt no tcab* Nj tny no tfkt pfcgb dbbabd cj}r|kjmb o|krd cj tfb cjdcvcdrkg

;2 ftty5..ppp*cj}r|kjmbo|krd*n|`.


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=0

bkaygb lkjh} kjd fbd`b orjd} yk|tcmcyktbd cj bj}r|cj` k mnvbjkjt dbokrgt &}rmf k} }fn|tcj` tfb

b{rcts no tfb cj}r|bd lbgnp mnvbjkjt gbvbg}# cj n|db| tn mnggbmt tfb dbokrgt cj}r|kjmb* An|`kj

]tkjgbs'} kjd kjntfb| rjjkabd lkjh'} kmtcnj} cj Aks no


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=6

nvb| tfb dbmkdb} tfkt dcvb|}cocmktcnj c} tfb y|bob||bd abkj} no cj}r|cj` k yn|tongcn* Tfc} c} }caygs

jnt tfb mk}b* Cj tcab} no m|c}c} mn||bgktcnj} lbtpbbj }bmr|ctcb} tbjd tnpk|d} ;* Tfc} tf|npcj`

tfb lkls nrt pctf tfb lktf pktb| }ctrktcnj tbjd} tn kr`abjt gn}}b} tfb cjvb}tn| t|cbd tn y|ntbmt

tfba}bgvb} o|na k} tfb|b c} jn noo}bttcj` yb|on|akjmb o|na }bmtcnj} no tfb yn|tongcn* Tfb njgs

t|rb abkj} no cj}r|cj` k }bmr|cts c} tf|nr`f k ak||cbd yrt }t|ktb`s pfb|bls k yrt nytcnj c}

yr|mfk}bd }cargtkjbnr}gs pctf tfb rjdb|gscj` }bmr|cts sbt tfb y|bvkgbjmb no tfc} yr|b cj}r|kjmb

c} artbd* Gc'} mnyrgk k on|argk pcdbgs r}bd cj kjkgs}c} tn mnj}t|rmt MDN} okcgbd drb tn ct}

c`jn|kjmb no tfb}b dsjkacm mn||bgktcnj} cj tcab} no m|c}c} kjd kj rjdb|gscj` k}}raytcnj no k

@kr}}ckj dc}t|clrtcnj on| tfn}b mn||bgktcnj}*

;6

MB\TKCJTS B[RC_KGBJT

Tfb ynpb| kjd yb|vk}cvbjb}} no k mb|tkcjts b{rcvkgbjt dnacjktb} an}t cjvb}tn|

gkjd}mkyb} cjmgrdcj` }nvb|bc`j }tktb}* Tfb Obdb|kg \b}b|vb cj |b}ynj}b tn tfb gktb}t ocjkjmckg

m|c}c} fk} y|nvcdbd k mb|tkcjts b{rcvkgbjt on| k obp ak|hbt yk|tcmcykjt} pfn fkvb dcvb|}cocbd

yn|tongcn} pfcmf cjmgrdb }nr| MDN yn|tongcn} kanj` ntfb| ynn|gs yb|on|acj` k}}bt}* Kmmb}} tn

tfb Obd pcjdnp tn dc}mnrjt fc`fgs |ktbd dblt nlgc`ktcnj} on| kj klnvb ak|hbt |ktb kggnp} tfb

cjvb}tn|} tn o|bb ry mkyctkg cj n|db| tn }b|vcmb tfn}b yn|tongcn} pctfnrt }bggcj` tfba* Cj boobmt

tfb}b yk|tcmcykjt} k|b |nllcj` Ybtb| tn yks Ykrg vck tfb TKGO n| Tb|a K}}bt!Lkmhbd ]bmr|ctcb}

Gnkj Okmcgcts*

Tfb TKGO c} db}c`jbd tn cjm|bk}b m|bdct kvkcgklcgcts kjd }ryyn|t bmnjnacmkmtcvcts ls okmcgctktcj` |bjbpbd c}}rkjmb no mnj}rab| kjd lr}cjb}} KL] kt an|bjn|akg cjtb|b}t |ktb }y|bkd}****Rjdb| tfb TKGO tfb Jbp Sn|h Obd pcgg y|nvcdbjnj!|bmnr|}b orjdcj` tn kjs bgc`clgb ln||npb| npjcj` bgc`clgb mnggktb|kg*&ftty5..ppp*jbpsn|hobd*n|`.ak|hbt}.tkgo^ok{*ftag-4#*

;6 ftty5..ppp*pc|bd*mna.tbmflcu.ct.ak`kucjb.;0!9=.py^{rkjt>mr||bjtYk`b1kgg
http://www.newyorkfed.org/markets/talf_faq.html#4http://www.newyorkfed.org/markets/talf_faq.html#4http://www.newyorkfed.org/markets/talf_faq.html#4http://www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=allhttp://www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=allhttp://www.wired.com/techbiz/it/magazine/17-03/wp_quant?currentPage=allhttp://www.newyorkfed.org/markets/talf_faq.html#4


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=3

Tfc} kjd ntfb| Obd gc{rcdcts abk}r|b} dn byc|b kt pfcmf yncjt pb pcgg }bb pfbtfb| tfb

tcab yr|mfk}bd pk} pn|tf ct*

[rkjtcoscj` tfc} mb|tkcjts b{rcvkgbjt fk} lbbj dnjb cj |bmbjt pn|h* Yn}t bt kg* &


40/55

49

Tklgb ;*

Dbkg n| Jn Dbkg Cjmnab tn Dbkg |ktcn}

Mnrjt|s Abkj Dbkg Kanrjt Argtcygb no yb| mkyctk cjmnab


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4;

Tfc} dc}mnrjt tn bybmtbd vkgrb pctfcj k RYA rtcgcts no ?6*


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4

the utility of wealth in an upper and lower partial moment fabric

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