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Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios

Liu, Zhenya - 2017

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relative low correlated portfolios, relatively to fractional Kelly...

Persistent link: https://www.econbiz.de/10012960889

The Impact of Regulatory Change on EU Energy Utility Returns : The Three Liberalization Packages

Tulloch, Daniel J. - 2017

The European Union's (EU) energy sector is changing due to major policy reforms. In this article, we examine the impact of major legislative changes which were designed to induce competition in the energy sector: the three liberalization packages. Competition was expected to benefit the industry...

Persistent link: https://www.econbiz.de/10012949854

The profitability of non-competitive defence contracts : the UK experience

Hartley, Keith - In: Defence and peace economics 29 (2018) 6, pp. 577-594

Persistent link: https://www.econbiz.de/10011956995

Forty years' experience of deregulated express coach services in Britain

Reynolds, Tim; White, Peter - In: Research in transportation economics 94 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013396466

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10003636008

The effect of the term auction facility on the London inter-bank offered rate

McAndrews, James Joseph (contributor); … - 2008

This paper examines the effects of the Federal Reserve’s Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association...

Persistent link: https://www.econbiz.de/10003781580

McCallum rules, exchange rates, and the term structure of interest rates

Díez de los Ríos, Antonio (contributor) - 2008

McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...

Persistent link: https://www.econbiz.de/10003775749

How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange

Alquist, Ron (contributor) - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and … prices are available to conduct asset-pricing tests. Empirical analysis of these data establishes three new results. First … innovations in market liquidity. Third, market liquidity is a state variable important for pricing the cross-section of sovereign …

Persistent link: https://www.econbiz.de/10003790566

Information salience, investor sentiment, and stock returns : the case of British soccer betting

Palomino, Frédéric (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003807045

Inflation, human capital and Tobin's q

Basu, Parantap; Gillman, Max; Pearlman, Joseph - 2010

A less well-known empirical finding for the US and UK is a pronounced low frequency negative relationship between inflation and Tobin’s q; a normalized market price of capital. This stylized fact is explained within a dynamic stochastic general equilibrium model using three key features: (i) a...

Persistent link: https://www.econbiz.de/10008668754

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