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Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

Taflin, Erik - EconWPA - 1999

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...

Persistent link: https://www.econbiz.de/10005125679

Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo

Rossi, Pietro; Tavoni, Massimo; Cocco, Flavio; … - EconWPA - 2002

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...

Persistent link: https://www.econbiz.de/10005413052

Gains and losses: the same or different choices? A “non-ideal” economics approach.

Harin, Alexander - EconWPA - 2005

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

Persistent link: https://www.econbiz.de/10005124942

Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events

Harin, Alexander - EconWPA - 2004

The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.

Persistent link: https://www.econbiz.de/10005124993

Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.

Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading … issue for financial risk management in emerging markets. …

Persistent link: https://www.econbiz.de/10005413068

A Rational Irrational Man

Harin, Alexander - EconWPA - 2005

paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper …

Persistent link: https://www.econbiz.de/10005560978

THE ROLES OF MONEY IN AN ECONOMY AND THE OPTIMUM QUANTITY OF MONEY

Feige, Edgar L.; Parkin, M.; Avery, R; Stones, C. - EconWPA - 2005

What is the optimum quantity of money in a society? This paper answers this question both from the perspective of a utility maximizing model with real balances in the utility function, and employing an inventory theoretic model which focuses attention on the costs of transacting in different...

Persistent link: https://www.econbiz.de/10005076699

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

Persistent link: https://www.econbiz.de/10005076992

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...

Persistent link: https://www.econbiz.de/10005077018

Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data

Galagedera, Don U.A.; Maharaj, Elizabeth A. - EconWPA - 2004

enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic … timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be …

Persistent link: https://www.econbiz.de/10005125060

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