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Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?
Connolly, Robert A.; Nuray G½ner; Hightower, Kenneth N. - Society for Computational Economics - SCE - 2001
for asset pricing tests and risk management. …
Persistent link: https://www.econbiz.de/10005345608
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Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization
Widijanto, D.; Nagornii, S. - Society for Computational Economics - SCE - 2004
stationary. Multi-dimensional optimization problem is formulated in terms of risk-sensitivity matrix (RSM), allocation & yield … VcV matrix and RSM, which is specified by risk budgeting & duration management. So, optimal allocation is conditional on … RSM, i.e. on risk & portfolio management strategies. Instantly efficient portfolio derived from static one …
Persistent link: https://www.econbiz.de/10005706550
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Probability distribution of returns in the Heston model with stochastic volatility
Dragulescu, A.; Yakovenko, V. M. - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706612
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Dynamic Portfolio Optimization and Economics Uncertainties
Yang, Xiaolou - Society for Computational Economics - SCE - 2005
estimation error assumes investors have only a single prior or is neutral to the risk. Further, the Bayesian approach has …
Persistent link: https://www.econbiz.de/10005343063
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On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms
Keber, Christian; Maringer, Dietmar G. - Society for Computational Economics - SCE - 2001
A popular argument states that most of the diversification in a portfolio can be obtained with a rather small number of securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a cardinality constraint. All three of these...
Persistent link: https://www.econbiz.de/10005537757
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Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments
Pujal, Dominique; Saint-Pierre, Patrick - Society for Computational Economics - SCE - 2006
One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the...
Persistent link: https://www.econbiz.de/10005132590
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On the Expectations Hypothesis in US Term Structure
Bataa, Erdenebat; Kim, Dong Heon; Osborn, Denise R. - Society for Computational Economics - SCE - 2006
We extend the vector autoregression (VAR) based expectations hypothesis (EH) test of term structure, considered in Bekaert & Hodrick (2001), B&H thereafter, using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional...
Persistent link: https://www.econbiz.de/10005132632
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Evolution, Efficiency and Noise Traders in a One-Sided Auction Market
Guo Ying (Rosemary) Luo - Society for Computational Economics - SCE - 2001
This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...
Persistent link: https://www.econbiz.de/10005132870
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Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations
McCulloch, J. Huston - Society for Computational Economics - SCE - 2006
The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH, but with an unobserved volatility that realistically evolves independently of the observed errors, instead of being mechanically determined by them. It has one fewer parameter to...
Persistent link: https://www.econbiz.de/10005342861
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Price Formation and Asset Allocations of the Electronic Trading System Xetra
Wenzelburger, Jan; Li, Xihao - Society for Computational Economics - SCE - 2004
In the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German...
Persistent link: https://www.econbiz.de/10005345323