This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....

We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting with multiple assets that all can be risky. Using the Lagrange duality method and the dynamic programming approach, we derive explicit closed-form expressions for the efficient...

Selecting program portfolios within a budget constraint is an important challenge in the management of new product development (NPD). Optimal portfolios are difficult to define because of the combinatorial complexity of project combinations. However, at the aggregate level of the strategic...

Im Mittelpunkt der Arbeit steht die theoretische und empirische Analyse von Angebot und Nachfrage auf den Im- und Exportmärkten. Sie ist mit dem Ziel verknüpft, die Reagibilität von Preisen und Mengen im Außenhandel in Bezug auf Änderungen des realen Wechselkurses und der wirtschaftlichen...

In this paper, we study the evolution of inflation expectations for two key emerging economies, Brazil and Turkey, using a reduced form model in a state-space framework, where the level of inflation is modeled explicitly. We match the survey-based inflation expectations and inflation targets set...

This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and generalized models. I fi nd...

This paper employs a structural time series model designed with three components of stochastic seasonality, trigonometric expression of cyclicality and local linear trend to investigate the evolutionary process of China's GDP. In particular, the model is able to detect the stop–go feature of...

This paper provides new empirical evidence that price-based momentum indicator variables can enhance the ability of accounting variables in explaining cross-sectional stock returns. We apply both OLS and state-space modelling to a sample of firms included in the Russell 3000 index over the...

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...