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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 Two-Stage Preferences

Taboga, Marco - EconWPA - 2005

We propose a model of portfolio selection under ambiguity, based on a two-stage valuation procedure which disentangles ambiguity and ambiguity aversion. The model does not imply 'extreme pessimism' from the part of the investor, as multiple priors models do. Furthermore, its analytical...

Persistent link: https://www.econbiz.de/10005134917

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

Performance evaluation of ethical mutual funds in slump periods

Basso, Antonella; Funari, Stefania - EconWPA - 2005

In this paper we tackle the problem of the presence of negative average rate of returns in the computation of the performance of ethical mutual funds. The presence of these negative values raises problems both in the computation of the classical performance indicators and in DEA modeling. In...

Persistent link: https://www.econbiz.de/10005062743

Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland

Stanko, Dariusz - EconWPA - 2003

The paper is an updated first performance evaluation study of the Polish pension funds operating from 1999. The unconditional performance evaluation models are used. It is shown that pension fund managers did produce additional value due to active management. Therefore, unsatisfactory overall...

Persistent link: https://www.econbiz.de/10005413168

Measuring China's Fiscal Policy Stance

Dullien, Sebastian - EconWPA - 2005

deficit or cyclically adjusted budget deficits is misleading in the case of China, since a lot of what usually would be …-cyclical in China over the past two decades. …

Persistent link: https://www.econbiz.de/10005076727

China's Changing Competitive Position: Lessons from a Unit-Labor- Cost-Based REER

Dullien, Sebastian - EconWPA - 2005

This paper calculates a unit labor-cost based real effective exchange rate for China for the period 1987-2002. It …

Persistent link: https://www.econbiz.de/10005124915

China and Neo-liberal Constitutionalism

Killion, M. Ulric - EconWPA - 2004

This article discusses the probability of growth of neoliberalism in modern China and its implications for Chinese … constitutionalism. A China polity under the vision of a neo-liberal regime engenders problems of prescribing a legal system and … historicity of Western liberalism and China's ontological base in tradition, being Confucianism. The historic excesses and abuses …

Persistent link: https://www.econbiz.de/10005124920

Optimal Monetary Policy Rules in A Simple Stochastic Macro Model: China's Evidence

Wang, Shengzu; Guo, Shen - EconWPA - 2005

In this paper we apply a simple macro model to explore and evaluate certain optimal monetary policy rules for China …'s economy. To be more consistent with the central bank (the People's Bank of China)'s behaviour, we use money supply as a …

Persistent link: https://www.econbiz.de/10005126241

Monitoring Costs and the Mode of International Investment

Lin, Chu-Chia S.; Png, Ivan P.L. - EconWPA - 2002

direct investments in Mainland China provide robust support to the hypothesis. A project that was located 1000 kilometers …

Persistent link: https://www.econbiz.de/10005134453