Roger J. Bowden
Wellington Management Company
33 Papers
192 Citations
Roger J. Bowden is an academic researcher from Wellington Management Company. The author has contributed to research in topics: Portfolio & Entropy (information theory). The author has an hindex of 9, co-authored 33 publications. Previous affiliations of Roger J. Bowden include Victoria University of Wellington.
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Papers
An Asymmetry Generator for Error-Coorection Mechanisms, With Application to Bank Mortgage-Rate Dynamics
Denise Frost,Roger J. Bowden +1 more
TL;DR: In this article, a wide variety of such mechanisms can be nested within an asymmetry generator, which represents the interactions between the disequilibrium term of an error-correction mechanism and an ancillary driver process.
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Information, measure shifts and distribution metrics
TL;DR: In this article, the authors proposed a summary metric for distributional asymmetry and spread based on the relative strengths of left and right-hand shifts, which is applicable even for long tail densities where distributional moments may not exist.
25
Directional entropy and tail uncertainty, with applications to financial hazard
TL;DR: In this article, a regime-specific concept of directional entropy is introduced, which enables a change of measure via a rescaling function to an equivalent logistic distribution, one that has the same total and directional entropies at the chosen critical point.
20
The agribusiness cycle and its wavelets
Roger J. Bowden,Jennifer Zhu +1 more
TL;DR: In this paper, the authors used wavelet analysis to decompose the cycle and trend, analyse causal influences, and detect structural breaks in the New Zealand dairy industry, showing that shorter cycles are almost wholly the result of commodity prices.
18
The generalized value at risk admissible set: constraint consistency and portfolio outcomes
TL;DR: In this article, the authors consider portfolio optimization problems in the presence of both the censored mean and the conditional value at risk lower bound and show that the latter turn out to imply much tighter bounds for the admissible portfolio set and indeed for the logistic, an upper bound for the portfolio variance that yields a simple portfolio choice rule.
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