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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2005
In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …
Persistent link: https://www.econbiz.de/10005791415
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2005
In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …
Persistent link: https://www.econbiz.de/10005124485
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Model Misspecification and Under-Diversification
Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2002
In this Paper we develop a model of intertemporal portfolio choice where an investor accounts explicitly for the possibility of model misspecification. This work is motivated by the difficulty in estimating precisely the probability law for asset returns. Our contribution is to develop a...
Persistent link: https://www.econbiz.de/10005504745
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An allegory of the political influence of the top 1%
De Donder, Philippe; Roemer, John E - C.E.P.R. Discussion Papers - 2013
We study how rich shareholders can use their economic power to deregulate firms that they own, thus skewing the income distribution towards themselves. Agents differ in productivity and choose how much labor to supply. High productivity agents also own shares in the productive sector and thus...
Persistent link: https://www.econbiz.de/10011083884
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Regulatory Capture by Sophistication
Hakenes, Hendrik; Schnabel, Isabel - C.E.P.R. Discussion Papers - 2014
One explanation for the poor performance of regulation in the recent financial crisis is that regulators had been captured by the financial sector. We present a micro-founded model with rational agents in which banks capture regulators by their sophistication. Banks can search for arguments of...
Persistent link: https://www.econbiz.de/10011083329
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Industrial and Trade Policies for the Emerging Market Economies
Audretsch, David B - C.E.P.R. Discussion Papers - 1994
The purpose of this paper is to suggest how institutions can be created and modified to devise and implement industrial policy in the emerging market economies. Two main issues confronting industrial policy institutions are how to avoid regulatory capture, that is, having those policy-makers...
Persistent link: https://www.econbiz.de/10005791806
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Reversing unconventional monetary policy: technical and political considerations
Buiter, Willem H. - C.E.P.R. Discussion Papers - 2009
There are few if any technical problems involved in reversing the unconventional monetary policies - quantitative easing, credit easing and enhanced credit support - implemented by central banks around the world as short-term nominal interest rates became constrained by the zero lower bound. The...
Persistent link: https://www.econbiz.de/10008557018
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Governing the Governors: A Clinical Study of Central Banks
Frisell, Lars; Roszbach, Kasper F.; Spagnolo, Giancarlo - C.E.P.R. Discussion Papers - 2008
Recent research on central bank governance has focused mainly on their monetary policy task. As the sub-prime loan market turmoil reminded us - central banks play a crucial role in financial markets not only in setting monetary policy, but also in ensuring their soundness and stability. In this...
Persistent link: https://www.econbiz.de/10005656403
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The Race for Polluting Permits
Brechet, Thierry; Peralta, Susana - C.E.P.R. Discussion Papers - 2007
International markets for tradable emission permits (TEP) co-exist with national energy taxation. A firm trading emission permits in the international market also pays energy taxes in its host country, thus creating an interaction between the international TEP-market and national energy taxes....
Persistent link: https://www.econbiz.de/10005666994
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Enhancing the Efficiency of Water Supply – Product Market Competition versus Trade
Foellmi, Reto; Meister, Urs - C.E.P.R. Discussion Papers - 2011
In most developed countries, the provision of water is organized at a local level. The costs and tariffs vary significantly, even between adjacent water utilities. Such heterogeneity is an obvious indication of the sector’s overall inefficiency and stresses a need for institutional...
Persistent link: https://www.econbiz.de/10009493560