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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant … problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model … ambiguity gets resolved in later phases of the projects considered. We show that traditional valuation approaches will …

Persistent link: https://www.econbiz.de/10010465169

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...

Persistent link: https://www.econbiz.de/10011376286

Investment under risk with discrete and continuous assets

Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009

This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...

Persistent link: https://www.econbiz.de/10011378329

Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016

This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

Persistent link: https://www.econbiz.de/10011456708

Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Persistent link: https://www.econbiz.de/10011303296

Hedge fund portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2014

This paper features an analysis of the effectiveness of a range of portfolio diversfication strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...

Persistent link: https://www.econbiz.de/10010465157

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285

European market portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...

Persistent link: https://www.econbiz.de/10010414201

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

Investment, resolution of risk, and the role of affect

Winden, Frans A. A. M. van; Krawczyk, Michal; … - 2008

This experimental study is concerned with the impact of the timing of the resolution of risk onpeople's willingness to take risks, with a special focus on the role of affect. While the importanceof anticipatory emotions has so far been only inferred from decisions regarding hypothetical...

Persistent link: https://www.econbiz.de/10011374397

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