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Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk. …

Persistent link: https://www.econbiz.de/10012024377

Illusion of expertise in portfolio decisions : an experimental approach

Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001

Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...

Persistent link: https://www.econbiz.de/10011408429

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

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

Investors' portfolio choice and tax reforms : the 2008 German corporate tax reform reconsidered

Stimmelmayr, Michael - 2015 - This version: March 2015

The paper provides a comprehensive assessment of the latest German corporate income and capital tax reform, which entails a major shift of the capital tax burden from the firm to the household level. Using a dynamic two-country computable general equilibrium model with integrated capital...

Persistent link: https://www.econbiz.de/10010509614

Oligopoly, macroeconomic performance, and competition policy

Azar, José; Vives, Xavier - 2018

We develop a macroeconomic framework in which firms are large and have market power with respect to both products and labor. Each firm maximizes a share-weighted average of shareholder utilities, which makes the equilibrium independent of price normalization. In a one-sector economy, if returns...

Persistent link: https://www.econbiz.de/10011891742

Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

equation ; risk aversion ; debt management ; warning signals …

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

Risk-taking-neutral background risk

Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2013

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

Persistent link: https://www.econbiz.de/10009690709

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 a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

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

Decomposing the disposition effect

Maier, Johannes K.; Fischer, Dominik Simon - 2021

We theoretically show that there is a fundamental disconnect between the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses...

Persistent link: https://www.econbiz.de/10012628736

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