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Performance analysis of international mutual funds incorporating market frictions
ter Horst, Jenke; Nijman, Theo; de Roon, F.A. - Tilburg University, Center for Economic Research - 1998
Persistent link: https://www.econbiz.de/10011090489
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Decision Making in the Pension Fund Board Room : An Experiment with Dutch Pension Fund Trustees
van Dalen, H.P.; Henkens, K.; Koedijk, C.G.; Slager, A.M.H. - Tilburg University, Center for Economic Research - 2010
We ask how pension fund trustees deal with the booms and busts that funds encounter, and to what extent the decisions of pension fund trustees are affected by behavioral biases. We examine these issues by using a vignette-method field experiment among Dutch pension fund trustees. We find that...
Persistent link: https://www.econbiz.de/10011092529
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Finance and Growth for Microenterprises : Evidence from Rural China
Beck, Thorsten; Lu, L.; Yang, R. - Tilburg University, Center for Economic Research - 2013
Abstract: Using a survey dataset of Chinese rural households, we find that access to external finance is positively … associated with the decision to become entrepreneur, the initial investment for microenterprises and the use of external finance …. Also, we find that the use of informal finance is positively associated with sales growth of microenterprises with …
Persistent link: https://www.econbiz.de/10011092482
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Global Optimization for Black-box Simulation via Sequential Intrinsic Kriging
Kleijnen, Jack P.C.; Mehdad, E. - Tilburg University, Center for Economic Research - 2014
In this paper we investigate global optimization for black-box simulations using metamodels to guide this optimization. As a novel metamodel we introduce intrinsic Kriging, for either deterministic or random simulation. For deterministic simulation we study the famous `efficient global...
Persistent link: https://www.econbiz.de/10011144433
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Simulation Experiments in Practice : Statistical Design and Regression Analysis
Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2007
In practice, simulation analysts often change only one factor at a time, and use graphical analysis of the resulting Input/Output (I/O) data. Statistical theory proves that more information is obtained when applying Design Of Experiments (DOE) and linear regression analysis. Unfortunately,...
Persistent link: https://www.econbiz.de/10011092593
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Response Surface Methodology
Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2014
Abstract: This chapter first summarizes Response Surface Methodology (RSM), which started with Box and Wilson’s article in 1951 on RSM for real, non-simulated systems. RSM is a stepwise heuristic that uses first-order polynomials to approximate the response surface locally. An estimated...
Persistent link: https://www.econbiz.de/10011092681
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Sensitivity Analysis of Simulation Models
Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2009
This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of gradients. It covers classic designs and their corresponding (meta)models; namely, resolution-III designs including fractional-factorial two-level designs for first-order polynomial...
Persistent link: https://www.econbiz.de/10011092780
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Income Aspirations and Cooperation : Experimental Evidence
Dalton, Patricio Santiago - Tilburg University, Center for Economic Research - 2010
This article is the first attempt to study the empirical link between income aspirations and cooperation in a one shot public good game. By combining experimental with survey data, we find evidence that the more frustrated people are with their income, the lower is their propensity to cooperate...
Persistent link: https://www.econbiz.de/10011092810
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Expected Improvement in Efficient Global Optimization Through Bootstrapped Kriging - Replaces CentER DP 2010-62
Kleijnen, Jack P.C.; van Beers, W.C.M.; van Nieuwenhuyse, I. - Tilburg University, Center for Economic Research - 2011
This article uses a sequentialized experimental design to select simulation input com- binations for global optimization, based on Kriging (also called Gaussian process or spatial correlation modeling); this Kriging is used to analyze the input/output data of the simulation model (computer...
Persistent link: https://www.econbiz.de/10011092889
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The Endogenous Evolution of Market Institutions : An Experimental Investigation
Potters, Jan; Kirchsteiger, G.; Niederle, M. - Tilburg University, Center for Economic Research - 1998
We study an experimental market in which the structure of the information flows is endogenized. When making an offer, traders choose not only the price at which they are prepared to trade, but also the subset of traders they want to inform about the offer. This design allows for two extreme...
Persistent link: https://www.econbiz.de/10011090309