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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
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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
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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
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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
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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
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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
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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
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Predicting the global minimum variance portfolio
Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 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/10012243462
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Dissecting time-varying risk exposures in cryptocurrency markets
Bianchi, Daniele; Guidolin, Massimo; Pedio, Manuela - 2020 - This draft: May 23, 2020
In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoffs sufficiently...
Persistent link: https://www.econbiz.de/10012224331
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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