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On the Endogeneity of the Mean-Variance Efficient Frontier
Somerville, R. A.; Paul G. J. O’Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366
The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...
Persistent link: https://www.econbiz.de/10005600630
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Optimal Portfolio Selection: A Note with a VBA Solution
Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …
Persistent link: https://www.econbiz.de/10010762986
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Recruitment of highly skilled labour abroad : the practice of selected OECD countries
Ochel, Wolfgang - In: CESifo Forum 1 (2000) 2, pp. 48-52
Persistent link: https://www.econbiz.de/10004998572
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The Digital Divide
Piazolo, Daniel - In: CESifo Forum 2 (2001) 3, pp. 29-34
Persistent link: https://www.econbiz.de/10004998577
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American Economic Growth in the Information Age
Jorgenson, Dale W. - In: CESifo Forum 2 (2001) 3, pp. 14-22
Persistent link: https://www.econbiz.de/10004998590
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Outsourcing, Offshoring - Outsourcing and Offshoring
Cronin, Bruce; Catchpowle, Lesley; Hall, David - In: CESifo Forum 5 (2004) 2, pp. 17-21
Persistent link: https://www.econbiz.de/10004998629
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Changing Patterns and Determinants of Growth
Anderson, Thomas - In: CESifo Forum 2 (2001) 3, pp. 23-28
Persistent link: https://www.econbiz.de/10009021246
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Portfolio allocation using multivariate variance gamma models
Hitaj, Asmerilda; Mercuri, Lorenzo - In: Financial Markets and Portfolio Management 27 (2013) 1, pp. 65-99
In this paper, we investigate empirically the effect of using higher moments in portfolio allocation when parametric and nonparametric models are used. The nonparametric model considered in this paper is the sample approach; the parametric model is constructed assuming multivariate variance...
Persistent link: https://www.econbiz.de/10010987749
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Gaussian and logistic adaptations of smoothed safety first
Haley, M. - In: Annals of Finance 10 (2014) 2, pp. 333-345
In one model of portfolio choice, dating to the Safety First principle, the investor is assumed to select assets to minimize the probability of realizing a portfolio return below some pre-determined target or benchmark rate of return. This paper builds on a recent refinement of Safety...
Persistent link: https://www.econbiz.de/10010989119
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Combining Forecasts with Missing Data: Making Use of Portfolio Theory
Fastrich, Björn; Winker, Peter - In: Computational Economics 44 (2014) 2, pp. 127-152
In this work we propose the construction of optimized forecast-portfolios where analysts are thought of as “assets” with specific characteristics that may be combined in portfolios. The analysts’ forecasts were made about the German stock market index DAX on a 6-month horizon as provided...
Persistent link: https://www.econbiz.de/10010989265