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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …
Persistent link: https://www.econbiz.de/10011780610
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A Dynamic Mean-Variance Analysis for Log Returns
Dai, Min - 2019
We propose a dynamic portfolio choice model with the mean-variance criterion for log-returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g....
Persistent link: https://www.econbiz.de/10012864640
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Lifetime Active Portfolio Selection for Investments and Consumption – A Bull Bear Market Cycle Based Probabilistic Approach
Yang, Z. George - 2018
Persistent link: https://www.econbiz.de/10012920654
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Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation
Xu, Yuhong - 2016
and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in … risk premium.Kelly criterion for the wealth process to reach a goal is also studied under such ambiguous market. Ambiguity …
Persistent link: https://www.econbiz.de/10012987227
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Noise, Beliefs, and Momentum
Jordan, Steven J. - 2013
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
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Ambiguity Aversion and Asset Prices in Production Economies
Jahan-Parvar, Mohammad R. - 2014
chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to …
Persistent link: https://www.econbiz.de/10013066542
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Performance of active and passive management of Korea's NPS funds
Chung, Jay M.; Khil, Jaeuk; Shin, Jhinyoung - In: Asia-Pacific journal of financial studies 46 (2017) 4, pp. 535-557
Persistent link: https://www.econbiz.de/10011764234
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Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions
Stock, Robert D. - 2020
Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...
Persistent link: https://www.econbiz.de/10012844430
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Cooperative Game with Nondeterministic Returns
Yang, Jian - 2020
We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players' contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to...
Persistent link: https://www.econbiz.de/10012847133
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110