Showing 1 - 10 of 10
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
Persistent link: https://www.econbiz.de/10012479048
Entropy, or the gradual decline through age in the survivorship function, reflects the considerable amount of variance in length of life found in any human population. Part is due to the well-known variation in life expectancy between groups: large differences according to race, sex,...
Persistent link: https://www.econbiz.de/10012463363
This paper characterizes the frequency domain properties of feedback control rules in linear systems in order to better understand how different policies affect outcomes frequency by frequency. We are especially concerned in understanding how reductions of variance at some frequencies induce...
Persistent link: https://www.econbiz.de/10012464290
A growing body of evidence suggests that psychological biases can lead different implementations of otherwise equivalent tax incentives to result in meaningfully different behaviors. We argue that in the presence of such failures of "implementation invariance," decoupling the question of optimal...
Persistent link: https://www.econbiz.de/10012453733
Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount to inventing new, exogenous, unobserved shocks to explain challenging features of business cycles? This paper argues that three conceptually distinct fluctuations, all called...
Persistent link: https://www.econbiz.de/10012456293
If satisfaction with life (SWL) is used to measure individual wellbeing, the dispersion of its distribution offers a comprehensive measure of inequality that subsumes the many and various component forms of inequality in particular domains. The cross-country correlation between the level of SWL...
Persistent link: https://www.econbiz.de/10012456772
In the period 1996-2014, the average investor in the variance swap market was indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that were priced. These results present a challenge to most...
Persistent link: https://www.econbiz.de/10012457485
We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state variables. We find a positive and significant price of risk for the covariance with the market return...
Persistent link: https://www.econbiz.de/10012458421
We derive the limiting distribution of the Oaxaca estimator of average treatment effects studied by Kline (2011). A consistent estimator of the asymptotic variance is proposed that makes use of standard regression routines. It is shown that ignoring uncertainty in group means will tend to lead...
Persistent link: https://www.econbiz.de/10012458880