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"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
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returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended … to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a … wide range of models: CAPM, quadratic CAPM, C‐CAPM, Carhart’s 4‐factor model, an extended C‐CAPM with durable consumption …
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We construct monthly economic-activity indices for 51 U.S. metropolitan statistical areas for 1990 to 2014. Each index is computed via a dynamic factor model that includes 14 variables measuring various aspects of economic activity in a metro area. We estimate the dynamic factor model using the...
Persistent link: https://www.econbiz.de/10011027333
We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...
Persistent link: https://www.econbiz.de/10010951615
"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...
Persistent link: https://www.econbiz.de/10002977388
methods are applied to a simple portfolio selection problem involving choosing between a stock index and a risk-free asset in …
Persistent link: https://www.econbiz.de/10002917583