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assets. As portfolio theory predicts, there could be a trade-off between returns to education and risks concerning those …
Persistent link: https://www.econbiz.de/10012389884
To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...
Persistent link: https://www.econbiz.de/10013247805
called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional …
Persistent link: https://www.econbiz.de/10010426240
The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of … geometric probability functions. The estimation will be found by maximizing the likelihood function. The two examples will … estimation approaches, the average holding periods of ETFs increase by 4%-29%. This increase depends on the time interval T of …
Persistent link: https://www.econbiz.de/10011890392
Correlations between claims in insurers lines of business may change results obtained on claims reserving. Here we develop univariate and multivariate generalized link ratios to port-folio data, that is estimating several triangles at the same time with correspondent correla-tions. Two options...
Persistent link: https://www.econbiz.de/10014236548
orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011301159
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …
Persistent link: https://www.econbiz.de/10012887711
We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel...
Persistent link: https://www.econbiz.de/10012988681
investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …
Persistent link: https://www.econbiz.de/10014246136
We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family present some optimal statistical properties, such as robustness to misspecification and better...
Persistent link: https://www.econbiz.de/10012848570