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possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a … results show that the bootstrap procedure performs well in finite samples. The empirical application reveals that the Fama and …
Persistent link: https://www.econbiz.de/10005858776
In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...
Persistent link: https://www.econbiz.de/10005858585
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://www.econbiz.de/10013441507
Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://www.econbiz.de/10014468188
, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation …This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …
Persistent link: https://www.econbiz.de/10005858020
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …
Persistent link: https://www.econbiz.de/10010500237
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011460767
in the current paper, it turns out that using the Bartlett kernel in the long-run variance estimation renders the most …
Persistent link: https://www.econbiz.de/10013208507
. The cluster sizes are assumed to be large. We …nd that the conventional estimation technique suggested by the literature … recommend that our proposal be implemented in the software of GLMM techniques so that the estimation procedure can switch …
Persistent link: https://www.econbiz.de/10012654332
In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...
Persistent link: https://www.econbiz.de/10012654423