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Finding common ground when experts disagree : belief dominance over portfolios of alternatives
Baker, Erin; Bosetti, Valentina; Salo, Ahti A. - 2016
We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief dominance as a way to derive a set of non-dominated portfolios and robust individual alternatives. Our approach departs from the tradition of providing a single recommended...
Persistent link: https://www.econbiz.de/10011504367
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
Persistent link: https://www.econbiz.de/10011303812
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Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes
Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024
Persistent link: https://www.econbiz.de/10014631072
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Ordering ambiguous acts
Jewitt, Ian; Mukerji, Sujoy - 2017
We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...
Persistent link: https://www.econbiz.de/10011694759
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An Approximate Dual-Self Model and Paradoxes of Choice under Risk
Fudenberg, Drew; Levine, David K.; Maniadis, Zacharias - 2012
Persistent link: https://www.econbiz.de/10009615723
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Market allocations under ambiguity : a survey
Billot, Antoine; Mukerji, Sujoy; Tallon, Jean-Marc - 2019
We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or...
Persistent link: https://www.econbiz.de/10012121980
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Market allocations under ambiguity : a survey
Billot, Antoine; Tallon, Jean-Marc; Mukerji, Sujoy - 2019
Persistent link: https://www.econbiz.de/10012233248
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Banking leverage procyclicality : a theoretical model introducing currency diversification
Pedrono, Justine - 2017
Persistent link: https://www.econbiz.de/10011745493
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Measuring the origins of macroeconomic uncertainty
Mumtaz, Haroon - 2018
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
Persistent link: https://www.econbiz.de/10011895010
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...
Persistent link: https://www.econbiz.de/10015084442