Similar Search Results

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10003807893

Tenure choice, portfolio structure and long-term care : optimal risk management in retirement

Fehr, Hans; Hofmann, Maurice - 2019

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

Persistent link: https://www.econbiz.de/10012050806

Harvesting a remote renewable resource

Bayındır-Upmann, Thorsten; Behringer, Stefan - 2017

In standard models of spatial harvesting, the resource is distributed over the complete domain and the agent is able to control the harvesting activity everywhere all the time. In some cases though, it is more realistic to assume that the resource is located at a single point in space and that...

Persistent link: https://www.econbiz.de/10011749978

Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach

Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...

Persistent link: https://www.econbiz.de/10011420698

Using GPT-4 for financial advice

Fieberg, Christian; Hornuf, Lars; Streich, David Jia-Hui - 2023

We show that the recently released text-based artificial intelligence tool GPT-4 can provide suitable financial advice. The tool suggests specific investment portfolios that reflect an investor's individual circumstances such as risk tolerance, risk capacity, and sustainability preference....

Persistent link: https://www.econbiz.de/10014307134

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10003936616

Assets returns volatility and investment horizon : the french case

Bec, Frédérique; Gollier, Christian - 2009

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

Persistent link: https://www.econbiz.de/10003833321

Lessons of the financial crisis for the design of national pension systems

Burtless, Gary - 2009

The recent financial crisis and historical record suggest important lessons about the design of national pension systems. First, wide fluctuation in asset returns makes it hard for well-informed savers to select a saving rate or a sensible investment strategy for DC pensions. Workers who follow...

Persistent link: https://www.econbiz.de/10003872221

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456

The standard portfolio choice problem in Germany

Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2015

We study an investment experiment conducted with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable...

Persistent link: https://www.econbiz.de/10011298558

1
2
3
4
5
6
7
8
9
10
Next
Last