for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …

choose a path for the inflation rate that ends with a non-zero value. Such a property is relevant in a wide range of … youth structure. In this setting, profit flows are discounted more heavily than utility flows and the optimal inflation … long-run inflation rate in models with firm entry and exit and in environments with search and matching frictions in the …

Adaptive Asset Allocation builds on Harry Markowitz’s 1952 Modern Portfolio Theory by providing greater risk management …

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of … observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and … use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …

This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily … and policies aimed to stimulate output growth dissipate into domestic currency depreciation and higher inflation, with …

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU … financial world” has an impact on business cycles and contributes to business cycle convergence via the consumption …, similar portfolios contribute to a convergence of business cycles - via a convergence of consumption cycles. This turns out to …