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Generational Accounting, Solidarity and Pension Losses
Teulings, Coen N.; de Vries, Casper G. - 2003
consumption and portfolio theory shows that the younger generations should have the higher equity exposure due to their human …
Persistent link: https://www.econbiz.de/10010324730
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Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme
Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005
and a stochastic simulation model of enterprise development. The results show that the method used is superior to …
Persistent link: https://www.econbiz.de/10010269950
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Panel estimation of state dependent adjustment when the target is unobserved
von Kalckreuth, Ulf - 2008
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...
Persistent link: https://www.econbiz.de/10010295881
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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - 2008
of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …
Persistent link: https://www.econbiz.de/10010298775
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Stochastic Dominance: Convexity and Some Efficiency Tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10010325820
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"Ito's Lemma" and the Bellman equation for poisson processes : an applied view
Sennewald, Ken; Wälde, Klaus - 2006
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...
Persistent link: https://www.econbiz.de/10010261427
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - 2007
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10010295926
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"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...
Persistent link: https://www.econbiz.de/10010296536
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"Itô's Lemma" and the Bellman equation: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...
Persistent link: https://www.econbiz.de/10010296792
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On the equivalence between labor and consumption taxation
Panteghini, Paolo M. - 2009
This article studies the equivalence between labor and consumption taxes in a stochastic context, where the government can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two-period model we show that such taxes let consumers make the...
Persistent link: https://www.econbiz.de/10010276146