Narrow search
Showing 1 - 10 of 26,099
Cover Image
On the distribution and estimation of trading costs
Kourtis, Apostolos - In: Journal of Empirical Finance 28 (2014) C, pp. 104-117
This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns....
Persistent link: https://www.econbiz.de/10010939530
Cover Image
Mean-variance target-based optimisation in DC plan with stochastic interest rate
Menoncin, Francesco; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2013
We solve a mean-variance optimisation problem of a defined contribution pension scheme in the accumulation phase. The financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a stochastic interest rate following the Vasicek [1977]...
Persistent link: https://www.econbiz.de/10010862060
Cover Image
Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes
Vigna, Elena - Centre for Research on Pensions and Welfare Policies … - 2009
We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...
Persistent link: https://www.econbiz.de/10008635813
Cover Image
Fuzzy portfolio optimization model under real constraints
Liu, Yong-Jun; Zhang, Wei-Guo - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 704-711
theory, fuzzy return and liquidity are quantified by possibilistic mean, and market risk and liquidity risk are measured by …
Persistent link: https://www.econbiz.de/10010719101
Cover Image
Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis
Coelho, Luis A.G. - Centro de Estudos e Formação Avançada em Gestão e … - 2014
The Cumulative Prospect Theory (CPT) is one of the most popular theories for evaluating the behavior of decision makers … in the context of risk and uncertainty. This theory emerged as a generalization of the Expected Utility Theory (EUT) and … being a relatively recent theory, its application has been somewhat reduced, especially when linked to optimization models …
Persistent link: https://www.econbiz.de/10010892272
Cover Image
Asset Pricing under Rational Learning about Rare Disasters
Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10009201120
Cover Image
Asset pricing under rational learning about rare disasters
Koulovatianos, Christos; Wieland, Volker - House of Finance, Goethe Universität Frankfurt am Main - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10010982194
Cover Image
Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
Cakir, Murat - Volkswirtschaftliche Fakultät, … - 2005
/or focused upon on a firm basis to understand firms’ financial behaviours. Finance theory summarizes firms’ risks under financial …
Persistent link: https://www.econbiz.de/10011111559
Cover Image
Consumer Search Costs and Preferences on the Internet
Jolivet, Grégory; Turon, Hélène - Institute for the Study of Labor (IZA) - 2014
We analyse consumers' search and purchase decisions on an Internet platform. Using a rich dataset on all adverts posted and transactions made on a major French Internet platform (PriceMinister), we show evidence of substantial price dispersion among adverts for the same product. We also show...
Persistent link: https://www.econbiz.de/10011078385
Cover Image
Consumer Search Costs and Preferences on the Internet
Jolivet, Grégory; Turon, Hélène - School of Economics, Finance and Management, University … - 2014
We analyse consumers’ search and purchase decisions on an Internet platform. Using a rich dataset on all adverts posted and transactions made on a major French Internet platform (PriceMinister), we show evidence of substantial price dispersion among adverts for the same product. We also show...
Persistent link: https://www.econbiz.de/10011082495