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Persistent link: https://www.econbiz.de/10003224850
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10002523934
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10002574365
Persistent link: https://www.econbiz.de/10001492678
Persistent link: https://www.econbiz.de/10003020793
Persistent link: https://www.econbiz.de/10001541302
This paper presents an empirical analysis of the efficiency of the UK debt management authorities's (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government's bond portfolio was subject to...
Persistent link: https://www.econbiz.de/10009781627
This paper presents an empirical analysis of the efficiency of the UK debt management authorities?s (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government?s bond portfolio was subject to...
Persistent link: https://www.econbiz.de/10013321183
This paper provides a recursive empirical analysis of the scope for cost minimization in public debt management when the debt manager faces a given short-term interest rate dictated by monetary policy as well as risk and market impact constraints. It simulates the 'real-time' interest costs of...
Persistent link: https://www.econbiz.de/10014063415
Persistent link: https://www.econbiz.de/10002636144