Narrow search
Showing 1 - 10 of 462
Cover Image
Aggregate risk and efficiency of mutual funds
Kucinskas, Simas - 2015
I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …
Persistent link: https://www.econbiz.de/10011339154
Cover Image
Common risk factors in equity markets
Atanasov, Victoria - 2014 - This version: May 26, 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …
Persistent link: https://www.econbiz.de/10010362976
Cover Image
On the on-line scheduling algorithm RLS
Chen, Bo; Vliet, André van - 1993
Persistent link: https://www.econbiz.de/10000122499
Cover Image
Linear quadratic optimization for models with rational expectations
Amman, Hans M.; Kendrick, David A. - 1997
Persistent link: https://www.econbiz.de/10000972454
Cover Image
How duality can be used to solve generalized fractional programming problems
Barros, A. I.; Frenk, J. B.; Zhang, S. - 1994
Persistent link: https://www.econbiz.de/10000151674
Cover Image
Combinatorial integer labeling theorems on finite sets with an application to discrete systems of nonlinear equations
Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2007
Tucker's well-known combinatorial lemma states that for any given symmetric triangulation of the n-dimensional unit cube and for any integer labeling that assigns to each vertex of the triangulation a label from the set {1,2,...n,-1,-2,....-n} with the property that antipodal vertices on the...
Persistent link: https://www.econbiz.de/10011373836
Cover Image
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
Cover Image
On the duality theory of convex objects
Brinkhuis, Jan; Tichomirov, Vladimir M. - 2001
Persistent link: https://www.econbiz.de/10001601718
Cover Image
Robust optimization of the equity momentum strategy
Oord, Arco van; Martens, Martin; Dijk, Herman K. van - 2009
Persistent link: https://www.econbiz.de/10003813788
Cover Image
Linear quadratic optimization for models with rational expectations
Amman, Hans M.; Kendrick, David A. - 1997
In this paper we present a method for using rational expectations in a linear-quadratic optimizationframework. Following the approach put forward by Sims, we solve the model through a QZdecomposition, which is generally easier to implement than the more widely used method of Blanchardand Kahn.
Persistent link: https://www.econbiz.de/10010361657