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Title: Professor

Short Description: Research Scientist in mathematical models of risk and uncertainty with applications to gambling systems, and behavioural and financial economics.

Institution: Institute for Innovation and Technology Management, Ted Rogers School of Management, Ryerson University

Special Academic Interests: , , , , , ,

Joined: March 8th, 2012


G. Charles-Cadogan wrote a new blog post titled REVISION: A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applications to Financial Institutions

Among the issues raised during post-mortem of the financial crisis of 2008 is regulatory capture and revolving doors for regulators and political operatives transitioning to lobbying firms or financial firms they once regulated. Several papers claim that this facilitated lax enforcement by regulators, and excessive risk taking by financial firms – key factors that led to the crisis. This paper fills a gap in the literature by posing the revolving door hypothesis in the context of managerial compensation, and labor market mobility, for regulators who design mechanism(s) that affect firm...
(97 days ago)

G. Charles-Cadogan wrote a new blog post titled New: Expected Utility Theory and Inner and Outer Measures of Loss Aversion

We introduce a weak rank dependent utility (RDU) model, with one extra parameter compared to the canonical expected utility (EUT) model, which makes many of the same predictions as cumulative prospect theory (CPT). The model extends a set of nonconvex preferences to its maximal inner convex subset, satisfies stochastic dominance principles, resolves the Allais paradox, predicts CPT fourfold pattern of risk attitudes, and characterizes reference dependent preferences. Unlike extant RDU models that transform probability weighting functions (pwfs), our model transforms ranked choice sets while...
(384 days ago)

G. Charles-Cadogan wrote a new blog post titled REVISION: Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly competitive financial markets where ASRs for experienced traders are often much less than 2, those numbers imply that the ASR for HFT is misspecified. Thus, HFT performance is incomparable to the performance of experienced traders, hedge funds, and other actively managed portfolios. This paper addresses...
(606 days ago)