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Time-Consistent Investment Under Model Uncertainty : The Robust Forward Criteria
Källblad, Sigrid - 2013
an investor who starts with a logarithmic utility and applies a quadratic penalty function. The investor builds a … dynamical estimate of the market price of risk and updates her stochastic utility in accordance with the so-perceived elapsed …
Persistent link: https://www.econbiz.de/10013072977
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Kelly Criterion under Model Uncertainty
Xu, Yuhong - 2020
The optimal growth of a wealth process toward a goal is studied under ambiguous markets with first- and second-order moment uncertainties relating to stock returns. Optimal strategies and value functions are solved explicitly. A verification theorem is proved to show that the results solve the...
Persistent link: https://www.econbiz.de/10012825179
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Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels
Almeida, Caio - 2011
We develop a new approach to identify model misspecifications based on Minimum Discrepancy (MD) projections that correct asset pricing models with the use of nonlinear functions of basis assets returns. These nonlinear corrections make our method more effective than the Hansen and Jagannathan...
Persistent link: https://www.econbiz.de/10013128539
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Modelling Energy Spot Prices by Lévy Semistationary Processes
Barndorff-Nielsen, Ole E. - 2010
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy … models can be embedded into our novel modelling framework …
Persistent link: https://www.econbiz.de/10013144201
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Ambit Processes and Stochastic Partial Differential Equations
Barndorff-Nielsen, Ole E. - 2010
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection...
Persistent link: https://www.econbiz.de/10013144202
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Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels
Almeida, Caio - 2010
We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...
Persistent link: https://www.econbiz.de/10013147434
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Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models
Shen, Xiangjin - 2013
We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...
Persistent link: https://www.econbiz.de/10013078996
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In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10009130742
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Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models
Shen, Xiangjin; Tsurumi, Hiroki - 2011
We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...
Persistent link: https://www.econbiz.de/10009151894
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General-to-Specific Modeling : An Overview and Selected Bibliography
Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005
This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an … of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …
Persistent link: https://www.econbiz.de/10014062671