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Nonlinear Regime Shifts in Oil Price Hedging Dynamics
Cifarelli, Giulio - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2011
The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...
Persistent link: https://www.econbiz.de/10009291773
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An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Normandin, Michel; Saint-Amour, Pascal - Institut d'Économie Appliquée, HEC Montréal (École … - 2005
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use …, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main … results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio …
Persistent link: https://www.econbiz.de/10005677358
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An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Normandin, Michel; St-Amour, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2005
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use … portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolios shares. …
Persistent link: https://www.econbiz.de/10005670292
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Canadian Consumption and Portfolio Shares
Normandin, Michel; St-Amour, Pascal - Centre de Recherche sur l'Emploi et les Fluctuations … - 2001
This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets …
Persistent link: https://www.econbiz.de/10005611930
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The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates
Christodoulopoulos, Thanasis N.; Grigoratou, Ioulia - Bank of Greece - 2003
When interest rates change, interest rate options dealers buy or sell securities to adjust the hedging positions that they have taken in order to offset their options exposures. The net result of this trading activity, which is unrelated to economic fundamentals, can be to push interest rates...
Persistent link: https://www.econbiz.de/10005129452
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Smooth transition regime shifts and oil price dynamics
Cifarelli, Giulio - In: Energy Economics 38 (2013) C, pp. 160-167
The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...
Persistent link: https://www.econbiz.de/10010665580
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Performance en la gestión de carteras en contexto de la Teoría de la Utilidad en presencia de riesgo
FERRUZ AGUDO, L.; SARTO MARZAL, J.L. - In: Estudios de Economía Aplicada 20 (2002) Abril, pp. 81-110
Cartera (Portfolio Theory) en el aspecto concreto de la eficiencia o performance en la gestión de carteras realizando una … Portfolio Theory, namely that of efficiency or performance in portfolio management, one that reflects an appropiate interacion …
Persistent link: https://www.econbiz.de/10005814488
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Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management.
Browne, S. - Graduate School of Business, Columbia University - 1996
We study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.
Persistent link: https://www.econbiz.de/10005776744
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General closed-form solutions to the dynamic optimization problem in incomplete markets
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal … portfolio. …
Persistent link: https://www.econbiz.de/10008457184
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GENERAL CLOSED-FORM SOLUTIONS TO THE DYNAMIC OPTIMIZATION PROBLEM IN INCOMPLETE MARKETS
Alghalith, Moawia - Department of Economics, University of the West Indies - 2009
the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal … portfolio. …
Persistent link: https://www.econbiz.de/10008459964