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Portfolio choice beyond the traditional approach
Penaranda, Francisco - London School of Economics (LSE) - 2007
traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there … are also other important features that are not always made explicit in terms of investor’s wealth, information, and … horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and …
Persistent link: https://www.econbiz.de/10010745189
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Comparing downside risk measures for heavy tailed distribution
Danielsson, Jon; Jorgensen, Bjørn N.; Sarma, Mandira; … - London School of Economics (LSE) - 2005
Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be ranked in a similar and consistent manner for heavy...
Persistent link: https://www.econbiz.de/10011071274
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Consistent measures of risk
Danielsson, Jon; Zigrand, Jean-Pierre; Jorgensen, Bjørn N. - London School of Economics (LSE) - 2006
In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are consistent with first order stochastic dominance, overall risk...
Persistent link: https://www.econbiz.de/10011071496
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Wealth accumulation in Great Britain 1995-2005: the role of house prices and the life cycle
Bastagli, Francesca; Hills, John - London School of Economics (LSE) - 2012
This paper examines trends in the distribution of household wealth in Great Britain from 1995 to 2005 using the British … Household Panel Survey (BHPS). The data show that wealth is very unevenly distributed and reveal a widening absolute gap over … the period between wealthier households and those with no or negative wealth. However, in relative terms, wealth grew …
Persistent link: https://www.econbiz.de/10010884701
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Inequality among the wealthy
Cowell, Frank - London School of Economics (LSE) - 2011
Using the evidence from the Luxembourg Wealth Study it appears that the distribution of wealth in the UK is … and of the wealth differential between the rich and the rest? Using a Pareto model for the upper tail of the distribution …
Persistent link: https://www.econbiz.de/10010745038
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Estimates of the asset-effect: the search for a causal effect of assets on adult health and employment outcomes
McKnight, Abigail - London School of Economics (LSE) - 2011
In this paper we seek to determine the effect of assets held in early adult life on later outcomes. We specifically look at wages, employment prospects, general health and Malaise. The identification of an asset-effect throws up a number of statistical challenges as asset holding is not random....
Persistent link: https://www.econbiz.de/10010745695
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Inheritance and the distribution of wealth
Cowell, Frank - London School of Economics (LSE) - 1998
The theory of functional equations is used to clarify the relationship between equilibrium distributions of wealth and …
Persistent link: https://www.econbiz.de/10010746547
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Wealth and inheritance in Britain from 1896 to the present
Atkinson, Anthony B. - London School of Economics (LSE) - 2013
There has been a large rise in the UK ratio of personal wealth to national income. Personal wealth has grown since the … 1970s about twice as fast in real terms as national income. Has this rise in the wealth-income ratio led to a corresponding … increase in the wealth being passed on from one generation to the next? Are we returning to the levels of inheritance found in …
Persistent link: https://www.econbiz.de/10011126277
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Risk and wealth in a model of self-fulfilling currency attacks
Guimaraes, Bernardo; Morris, Stephen - London School of Economics (LSE) - 2006
Market participants' risk attitudes, wealth and portfolio composition in°uence their positions in a pegged foreign …
Persistent link: https://www.econbiz.de/10011071518
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Robust income distribution estimation with missing data
Victoria-Feser, Maria-Pia - London School of Economics (LSE) - 2001
With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an...
Persistent link: https://www.econbiz.de/10010928590