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Optimal portfolio choice under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime...

Persistent link: https://www.econbiz.de/10002917583

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Guidolin, Massimo (contributor); … - 2005

stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and recovery … form. Exits from the crash state are almost always to the recovery state and occur with close to 50 percent chance … suggesting a bounce-back effect from the crash to the recovery state"--Federal Reserve Bank of St. Louis web site …

Persistent link: https://www.econbiz.de/10002917580

On the real-time forecasting ability of the consumption-wealth ratio

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979828

Conjectural guarantees loom large : evidence from the stock returns of Fannie Mae and Freddie Mac

Schmid, Frank A. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001986488

Understanding the risk-return tradeoff in the stock market

Guo, Hui (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001969582

Time-varying risk premia and the cross section of stock returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001973914

Does idiosyncratic risk matter : another look

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984084

Idiosyncratic volatility, stock market volatility, and expected stock returns

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001985899

Stock prices, firm size, and changes in the federal funds rate target

Guo, Hui (contributor) - 2003 - [Elektronische Ressource],rev

Persistent link: https://www.econbiz.de/10001971174

On the out-of-sample predictability of stock market returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001971221

A service of the