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Cyclical asset returns in the consumption and investment goods sector

Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …

Persistent link: https://www.econbiz.de/10009786095

Machine learning for continuous-time finance

Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - 2024

We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito's lemma allows for the computation of exact...

Persistent link: https://www.econbiz.de/10014464166

Start-up investment with scarce venture capital support

Kanniainen, Vesa; Keuschnigg, Christian - 2001

Start-up entrepreneurs are often commercially inexperienced. In giving managerial advice, venture capitalists can importantly enhance the success of innovative but highly risky ventures. The supply of experienced venture capitalists is not easily increased, however. When the rate of business...

Persistent link: https://www.econbiz.de/10011398098

How do entrepreneurial portfolios respond to taxation?

Fossen, Frank M.; Rees, Ray; Rostam-Afschar, Davud; … - 2017

business income to tax authorities, we show that a fall in the tax rate may increase investment in risky entrepreneurial … business equity at the intensive margin, but decrease entrepreneurial investment at the extensive margin. To test these … due to tax avoidance or evasion, but increase investment in private businesses that are also worthwhile in the absence of …

Persistent link: https://www.econbiz.de/10011672485

Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets

Miles, David; Černý, Aleš - 2001

This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

Persistent link: https://www.econbiz.de/10011398101

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

When carry goes bad : the magnitude, causes, and duration of currency carry unwinds

Melvin, Michael; Shand, Duncan - 2016

control carry-related losses and improve investment performance. …

Persistent link: https://www.econbiz.de/10011568722

Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011646274

The optimal taxation of risky capital income : the Rate of Return Allowance

Spiritus, Kevin; Boadway, Robin W. - 2017

investment, but positive with decreasing returns to scale, and vice versa. The optimal tax rate on excess returns to risky assets …

Persistent link: https://www.econbiz.de/10011588034

Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns

Melvin, Michael; Pan, Wenqiang; Wikstrom, Petra - 2020

The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...

Persistent link: https://www.econbiz.de/10012174753