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Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Management Science 58 (2012) 9, pp. 1732-1746
In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...
Persistent link: https://www.econbiz.de/10010990462
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Is Regime Switching in Stock Returns Important in Portfolio Decisions?
Tu, Jun - In: Management Science 56 (2010) 7, pp. 1198-1215
The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the...
Persistent link: https://www.econbiz.de/10009293043
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Confronting model misspecification in macroeconomics
Waggoner, Daniel F.; Zha, Tao - In: Journal of Econometrics 171 (2012) 2, pp. 167-184
considerably. Our estimation indicates that the DSGE model plays an important role only in the late 1970s and the early 1980s. We … show how to use the mixture model as a data filter for estimation of the DSGE model when the BVAR model is not identified …
Persistent link: https://www.econbiz.de/10010588324
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Bayesian Portfolio Analysis
Avramov, Doron; Zhou, Guofu - In: Annual Review of Financial Economics 2 (2010) 1, pp. 25-47
This paper reviews the literature on Bayesian portfolio analysis. Information about events, macro conditions, asset pricing theories, and security-driving forces can serve as useful priors in selecting optimal portfolios. Moreover, parameter uncertainty and model uncertainty are practical...
Persistent link: https://www.econbiz.de/10008835308
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2014
has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …
Persistent link: https://www.econbiz.de/10010958503
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A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …
Persistent link: https://www.econbiz.de/10011083547
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Sovereign default and macroeconomic tipping points
Joy, Mark - Central Bank of Ireland - 2012
This paper examines the impact of macroeconomic fundamentals on the probability of sovereign default and the probability of exit from default while allowing explicitly for model uncertainty. Model uncertainty is addressed by employing Bayesian model-averaging techniques, averaging over a very...
Persistent link: https://www.econbiz.de/10010601988
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Modeling model uncertainty
Onatski, Alexei; Williams, Noah - European Central Bank - 2002
Recently there has been much interest in studying monetary policy under model uncertainty. We develop methods to analyze different sources of uncertainty in one coherent structure useful for policy decisions. We show how to estimate the size of the uncertainty based on time series data, and...
Persistent link: https://www.econbiz.de/10005222386
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Transitional Dynamics of Oil Prices
Kal, Süleyman Hilmi; Arslaner, Ferhat; Arslaner, Nuran - Volkswirtschaftliche Fakultät, … - 2013
There has been a well-known relationship between macro financial fundamentals and oil prices, yet there is also ample evidence that this relationship weakens during some periods. In this paper, we investigated whether the relationship between oil and macro financial fundamentals vary depending...
Persistent link: https://www.econbiz.de/10011112687
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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …
Persistent link: https://www.econbiz.de/10009385759