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Robust Consumption and Portfolio Choice forTime-varying Investment Opportunities

Liu, Hening - Manchester Business School - 2009

This paper examines a continuous-time intertemporal consumption and portfoliochoice problem for an investor with Duffie and Epstein (1992a)’s recursive preferenceswho worries about model misspecification (model uncertainty) and wants toseek robust decision rules. The expected excess return of...

Persistent link: https://www.econbiz.de/10005870703

Robust Stock Option Plans

Korn, Olaf; Paschke, Clemens; Uhrig-Homburg, Marliese - Universität <Göttingen>; Institut für Industrielle … - 2010

change. As companies arenow forced to value their stock options at grant date for accounting purposes,the robustness of … issueby first analyzing certain building blocks of existing stock option plans withregard to their robustness properties …. Based on our analysis, we then showhow robustness of stock option plans can be achieved. The resulting stockoption plans are …

Persistent link: https://www.econbiz.de/10008911535

Improving predictive validity of choice-based conjoint models

Natter, Martin; Feurstein, Markus - 2000

This paper measures the performance of a Latent Class CBC model with aggregate real world scanning data.

Persistent link: https://www.econbiz.de/10005841648

The Characteristics of Individual Analysts' Forecasts in Europe

Bolliger, Guido - 2001

This paper investigates the determinants of European financial analysts' forecasts differential accuracy.

Persistent link: https://www.econbiz.de/10005843252

Who Are The Best? Local Versus Foreign Analysts on the Latin American Stock Markets

Bacmann, Jean-François; Bolliger, Guido - 2003

This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets.

Persistent link: https://www.econbiz.de/10005843437

Time-Varying Betas and Cross-Sectional Return-Risk Relation : Evidence form the UK

Fraser, Patricia; Hamelink, Foort; Hoesli, Martin; … - Université <Genève> / Section des Hautes Etudes … - 2000

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies.(...)

Persistent link: https://www.econbiz.de/10005843529

Non-linear versus non-gaussian volatility models in application to different financial markets

Miazhynskaia, Tatiana; Dorffner, Georg; Dockner, … - 2003

We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

Persistent link: https://www.econbiz.de/10005844728

On the Trend Recognition and Forecasting Ability of Professional Traders

Glaser, Markus; Langer, Thomas; Weber, Martin - Universität <Mannheim> / Lehrstuhl für Allgemeine … - 2007

Empirical research documents that temporary trends in stock pricemovements exist. Moreover, riding a trend can be a profitable investment strategy. (...)

Persistent link: https://www.econbiz.de/10005844860

Anticipating critique and occasional reason : Modes of reasoning in face of a radically open future

Seidl, David; Aaken, Dominik van - 2004

This paper argues for a new conceptualisation of strategic foresight.Drawing on the philosophical concepts of 'anticipating critique' by Paul Feyerabend and 'occasional reason' by Helmut Spinner this paper tries to show how an new openness can be accomplished.

Persistent link: https://www.econbiz.de/10005846092

Credibility of Managerial Forecast Disclosure - Game Theory and Regulative Implications

Dobler, Michael - 2004

This paper analytically investigates the credibility of managerial forecast disclosure introducing a game theoretic perspective by extracting robust implications from disclosure models.

Persistent link: https://www.econbiz.de/10005846095