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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

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

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

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

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

Factor Sreening For Simulation With Multiple Responses : Sequential Bifurcation

Kleijnen, Jack P.C.; Shi, W.; Liu, Zhixue - Tilburg University, Center for Economic Research - 2013

Abstract: Factor screening searches for the really important inputs (factors) among the many inputs that are changed in a realistic simulation experiment. Sequential bifurcation (SB) is a sequential method that changes groups of inputs simultaneously. SB is the most efficient and effective...

Persistent link: https://www.econbiz.de/10011090433

Optimization of Simulated Inventory Systems : OptQuest and Alternatives

Kleijnen, Jack P.C.; Wan, J. - Tilburg University, Center for Economic Research - 2006

This article illustrates simulation optimization through an (s, S) inventory management system.In this system, the goal function to be minimized is the expected value of specific inventory costs.Moreover, specific constraints must be satisfied for some random simulation responses, namely the...

Persistent link: https://www.econbiz.de/10011090482

Experimental Research On Asset Pricing

Noussair, Charles; Tucker, S. - Tilburg University, Center for Economic Research - 2013

Abstract This paper selectively surveys some of the more prominent laboratory experimental studies on asset market behavior. The strands of literature considered are market microstructure, pari-mutuel betting markets, characteristics of participants, the effect of information release, and...

Persistent link: https://www.econbiz.de/10011090526

White Noise Assumptions Revisited : Regression Models and Statistical Designs for Simulation Practice

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2006

Classic linear regression models and their concomitant statistical designs assume a univariate response and white noise.By definition, white noise is normally, independently, and identically distributed with zero mean.This survey tries to answer the following questions: (i) How realistic are...

Persistent link: https://www.econbiz.de/10011090588

Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals

Noussair, Charles; Powell, O.R. - Tilburg University, Center for Economic Research - 2008

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals...

Persistent link: https://www.econbiz.de/10011090651

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