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The risk-adjusted carbon price
Ploeg, Frederick van der; Bremer, Ton van den - 2021
sensitivity and the damage ratio, and correlated shocks. We identify prudence, insurance, and exposure effects, reproduce earlier …
Persistent link: https://www.econbiz.de/10012545108
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Explaining hedge fund investment styles by loss aversion
Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10011326964
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Explaining hedge fund investment styles by loss aversion: a rational alternative
Siegmann, Arjen; Lucas, André - 2002
Persistent link: https://www.econbiz.de/10001689199
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Insurance, entrepreneurial start-up, and performance
Ejrnæs, Mette; Hochgürtel, Stefan - 2014
Availability of (partial) insurance mechanisms is arguably important for the decision of (riskaverse) workers to start … up a risky entrepreneurial venture. Using administrative data from Denmark, where unemployment insurance (UI) is … UI choice process. Results show that the causal effect of insurance on the probability of starting up a venture is …
Persistent link: https://www.econbiz.de/10010259625
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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
Persistent link: https://www.econbiz.de/10003934133
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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We gauge the uncertainty pertaining to the country risk...
Persistent link: https://www.econbiz.de/10011379612
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Robust optimization of the equity momentum strategy
Oord, Arco van; Martens, Martin; Dijk, Herman K. van - 2009
Persistent link: https://www.econbiz.de/10003813788
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Robust optimization of the equity momentum strategy
Oord, Arco van; Martens, Martin; Dijk, Herman K. van - 2009
Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...
Persistent link: https://www.econbiz.de/10011377578
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Price clustering and natural resistance points in the Dutch stock market
Sonnemans, Joep - 2003
The main contribution of this study is the finding that round numbers can act aspricebarriers for individual stocks. In addition, a first step is made to explain this and therelated phenomena of round number clustering by testing two competing hypotheses,using data from the Dutch stock market...
Persistent link: https://www.econbiz.de/10011333894