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Bayesian inference for hedge funds with stable, distribution of returns

Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010

Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...

Persistent link: https://www.econbiz.de/10008653564

Segregation by skill and the rise in inequality

Kremer, Michael; Maskin, Eric - 1995

Persistent link: https://www.econbiz.de/10000952776

Pleasures of skill and moral conduct

Falk, Armin; Szech, Nora - 2016

As was recognized by Bentham, skillfulness is an important source of pleasure. Humans like achievement and to excel in tasks relevant to them. This paper provides controlled experimental evidence that striving for pleasures of skill can have negative moral consequences and causally reduce moral...

Persistent link: https://www.econbiz.de/10011414704

Worker personality : another skill bias beyond education in the digital age

Bode, Eckhardt; Brunow, Stephan; Ott, Ingrid; Sorgner, Alina - 2016

We present empirical evidence suggesting that technological progress in the digital age will be biased not only with respect to skills acquired through education but also with respect to noncognitive skills (personality). We measure the direction of technological change by estimated future...

Persistent link: https://www.econbiz.de/10011559027

Picking winners : managerial ability and capital allocation

Benz, Andreas; Demerjian, Peter R.; Hoang, Daniel; … - 2024 - This Version: November 14, 2023

We examine how division managers' human capital affects internal capital allocation using a hand-collected data set of … divisional managers at S&P 1,500 firms. Based on a novel measure of division-manager ability, we show that more able division … managers receive substantially larger capital allocations. This effect is robust to controlling for the possibility of …

Persistent link: https://www.econbiz.de/10014476579

The pricing of human capital and financial assets

Palacios-Huerta, Ignacio - 1997

Persistent link: https://www.econbiz.de/10000983740

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - 2019 - This draft: May 20, 2018

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10011958200

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - 2019

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

Persistent link: https://www.econbiz.de/10011958215

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

used by portfolio managers in portfolio construction: the marginal VaR and the marginal AVaR. We illustrate the proposed …

Persistent link: https://www.econbiz.de/10009576319

Stock market calendar anomalies : the case of Malaysia

Lim, Shiok Ye (contributor); Ho, Chong Mun (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003618971