BKLN White Papers

Custom Direct Indexing: Benefits of Separately Managed Accounts with Tax Loss Harvesting

We review opportunities for taxable investors to improve the outcomes of their overall portfolio.

BKLN White Paper Series | Q3 2022
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Finance & Portfolio Management

Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

We present broad-based evidence that the monthly payment cycle induces systematic patterns in liquid markets around the globe. We document temporary increases in the costs of debt and equity capital.

The Review of Financial Studies
Finance & Portfolio Management

Financial Intermediaries and the Cross-Section of Asset Returns

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor than that of a representative consumer.

Journal of Finance, Winner of Amundi Smith Breeden Distinguished Paper Prize
Finance & Portfolio Management

Advancing Strategic Asset Allocation in a Multi-Factor World

Strategic asset allocation is arguably one of the most important, yet least advanced, aspects of investing. We present a new approach to strategic asset allocation that leverages the idea that long-term investment returns derive from multiple distinct sources.

Journal of Portfolio Management
Finance & Portfolio Management

Broker-Dealer Risk Appetite and Commodity Returns

We show that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity derivatives markets.

Journal of Financial Econometrics, Winner of Engle Prize in Financial Econometrics
Finance & Portfolio Management

Financial Amplification of Foreign Exchange Risk Premia

We decompose the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediary balance sheets.

European Economic Review
Finance & Portfolio Management

Blockchain Policy and Fintech

We describe use cases of blockchain technology in finance.

Global Fintech: Financial Innovation in the Connected World
Artificial Intelligence

Data-Driven Dynamic Decision Models

We develop a machine learning method for automatically generating models of dynamic decision-making that both have strong predictive power and are interpretable in human terms.

IEEE Press
Artificial Intelligence

Generalizability: Machine Learning and Humans-in-the-Loop

We explore the relationship between generalizability and the division of labor between humans and machines in decision systems. Taking generalizability explicitly into account highlights important aspects of decision system design, as well as important normative trade-offs, that might otherwise be missed.

Big Data Law
Artificial Intelligence

Natural Language Processing and Machine Learning for Law and Policy Texts

We introduce the core idea of representing words and documents as numbers and describe NLP tools for leveraging legal text data to accomplish tasks.

Cambridge University Press
Artificial Intelligence

Contract as Automaton: Representing a Simple Financial Agreement in Computational Form

We show that the fundamental legal structure of a well-written financial contract follows a state-transition logic that can be formalized mathematically as a finite-state machine. By conceptualizing and representing the structure of a financial contract in this way, we expose it to a range of powerful tools and results from the theory of computation.

Artificial Intelligence & Law
Artificial Intelligence

Computable Contracts and Insurance: An Introduction

We explain how computable contracts, coupled with automation, can drive innovation in the insurance business.

MIT Computational Law Report
Artificial Intelligence

Predicting Human Cooperation

We present the first computational model of human behavior in repeated Prisoner’s Dilemma games that unifies the diversity of experimental observations in a systematic and quantitatively reliable manner.

Plos One
Artificial Intelligence

Predicting and Understanding Law-making with Word Vectors and an Ensemble Model

We develop a machine learning approach to forecasting the probability that any bill will become law.

Plos One
Impact Investing & Climate Change

Climate-Contingent Finance

Climate-contingent finance is a fresh approach to addressing catastrophic risk, building a bridge between long-term funding needs and financial risk management. It can be generalized to any situation where multiple entities share exposure to a risk where they lack direct control over whether it occurs (e.g., climate change, or a natural pandemic), and one type of entity can take proactive actions to benefit from addressing the effects of the risk if it occurs (e.g., through innovating on crops that would do well under extreme climate change or vaccination technology that could address particular viruses) with funding from another type of entity that seeks a targeted financial return to ameliorate the downside if the risk unfolds.

Berkeley Business Law Journal
Impact Investing & Climate Change

Environmental Impact Bonds: A Common Framework and Looking Ahead

We define Environmental Impact Bond mechanics, elucidate the difference between EIBs and Green Bonds, and propose a common vocabulary for the field.

Environmental Research: Infrastructure and Sustainability
Impact Investing & Climate Change

Betting and Belief: Prediction Markets and Attribution of Climate Change

We present a simulation model as a computational test-bed for climate prediction markets. Traders adapt their beliefs about future temperatures based on the profits of other traders in their social network.

IEEE Press
Impact Investing & Climate Change

A Machine Learning Approach to Forecasting Remotely Sensed Vegetation Health

We built an open-source AI tool to produce short-term forecasts of vegetation health at high spatial resolution, using data that are global in coverage.

International Journal of Remote Sensing
Impact Investing & Climate Change

Impact of Seasonal Forecast Use on Agricultural Income: An Empirically-Grounded Simulation

Our simulation models show that a farmer using seasonal forecasts has more diversified crop selections, which drive increases in average agricultural income.

Environmental Research Letters
Impact Investing & Climate Change

A Review of Decision-Support Models for Adaptation to Climate Change in the Context of Development

We review models and literature regarding climate change adaptation, and present an argument in favor of using various computational modeling tools.

Climate & Development
BKLN White Papers

Custom Direct Indexing: Benefits of Separately Managed Accounts with Tax Loss Harvesting

We review opportunities for taxable investors to improve the outcomes of their overall portfolio.

BKLN White Paper Series | Q3 2022

Advisory services, including planning and portfolio management, are provided for a fee by Brooklyn Investment Group, LLC, a registered internet-only investment adviser and a wholly-owned subsidiary of Skopos Labs, Inc. For more information about Brooklyn Investment Group’s advisory services, see our Form ADV, Form CRS and other Disclosures.

Investing involves risks. The value of your investment will fluctuate over time. It could increase or you could lose some or all of your investment. Before investing, consider your financial circumstances, investment objectives, Brooklyn Investment Group’s fee, and other expenses. Brooklyn Investment Group, LLC does not provide legal or tax advice, and the information provided should not be considered legal or tax advice. Consult an attorney, tax professional, or other advisor regarding your specific legal or tax situation.

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