loss aversion models. The goal of this paper is to assess empirically which of them fits the observed excess returns best … theoretical dynamic generated by these models with the observed dynamic. I find that the external habit model and a loss aversion … loss aversion model with a reference level based on expected consumption and, to some extend, the internal habit model …

We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss … procedure performs well relative to alternative estimators. An application to operational loss data illustrates the proposed …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varyingrst and second moments of …. This generates a positive correlation between dividendyields and nominal yields and between stock and bond returns. High …

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be …

seemingly weaker one-step H-hypothesis. Furthermore, we provide a canonical construction of a loss process in this setup and …

as exit channel. We find significant statistical evidence for the negative correlation between early stage investments … on correlation coefficients, but need to carefully consider a funds investment strategy. The conflict of objectives for …

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the … simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … optimal portfolio demand for hedging correlation risk. We calibrate the model and find that the optimal demand to hedge …

allow for efficient simulation of portfolio loss distributions. …