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Estimating temptation and commitment over the life-cycle

Kovacs, Agnes; Low, Hamish; Moran, Patrick - 2020

accumulation in a structural life-cycle model. We use two complementary estimation strategies: ﬁrst, we estimate the Euler equation … substantially higher than without temptation. Finally, our Method of Simulated Moments estimation is able to match well the life … the importance of temptation are robust to the diﬀerent estimation strategies. …

Persistent link: https://www.econbiz.de/10012253295

Mean-Variance Optimization Using Forward-Looking Return Estimates

Bielstein, Patrick - 2017

Despite its theoretical appeal, Markowitz mean-variance portfolio optimization is plagued by practical issues. It is especially difficult to obtain reliable estimates of a stock's expected return. Recent research has therefore focused on minimum volatility portfolio optimization, which...

Persistent link: https://www.econbiz.de/10012946518

Using Portfolio Returns to Estimate the Probability of Large Jumps

Cacho-Diaz, Julio - 2021

Sudden jumps in the stock market have a significant impact on consumers’ wealth. A market crash, in particular, can devastate lives and destabilize the entire economy. Therefore, it would be desirable if consumers, policy makers, and financial intermediaries could better anticipate such...

Persistent link: https://www.econbiz.de/10013239109

Generalized regression neuronal networks to predict the value of numismatic assets : evidence for the walking liberty half dollar

Alcázar-Blanco, Antonio Carlos; Paule-Vianez, Jessica; … - In: European research on management and business economics 27 (2021) 3, pp. 1-8

Unstable fluctuations in financial markets caused by the 2008 financial crisis and currently by the Covid-19 crisis have generated greater concern among investors regarding their capital protection. In view of this situation, the consideration of alternative investments has taken a relevant...

Persistent link: https://www.econbiz.de/10012650575

Non-parametric estimation of marginal propensities to consume : the case of regression splines

Jørgensen, Casper Nordal; Kuchler, Andreas - 2017

I papiret undersøges anvendeligheden af en ikke-parametrisk metode, en såkaldt regression spline, til estimation af …

Persistent link: https://www.econbiz.de/10011696531

Life-cycle income hypothesis and demographic structure : a semi-nonparametric analysis using a panel of countries

Park, Cheolbeom; Yu, Jina - In: The Singapore economic review : journal of the Economic … 58 (2013) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009786053

Portfolio optimization using forward-looking information

Kempf, Alexander; Korn, Olaf; Saßning, Sven - 2014 - Current Version: January 2014

We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based on these fully-implied estimators outperforms several...

Persistent link: https://www.econbiz.de/10010235241

Portfolio Optimization Using Forward-Looking Information

Kempf, Alexander - 2014

In this paper we develop a new family of estimators of the covariance matrix that relies solely on forward-looking information. These estimators only use current price information from a cross-section of plain-vanilla options and employ different higher moments of the implied return...

Persistent link: https://www.econbiz.de/10013066555

Portfolio optimization using forward-looking information

Kempf, Alexander; Korn, Olaf; Saßning, Sven - 2011

In this paper we develop the first estimator of the covariance matrix that relies solely on forward-looking information. This estimator only uses price information from a cross-section of plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that a minimum-variance...

Persistent link: https://www.econbiz.de/10009270560

Predicting the Global Minimum Variance Portfolio

Reh, Laura - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

Persistent link: https://www.econbiz.de/10012847269