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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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Assessing differences in household needs : a comparison of approaches for the estimation of equivalence scales using German expenditure data
Dudel, Christian; Garbuszus, Jan Marvin; Schmied, Julian - 2017
of their practical importance for the measurement of inequality and poverty, a large number of methods for the estimation … this paper, we employ German household expenditure data to estimate exact equivalence scales using several parametric … inequality and poverty. We conclude that differences in estimation methods for equivalence scales might be less important than …
Persistent link: https://www.econbiz.de/10011764530
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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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Essays on investement and consumption choice
Comon, Etienne - 2001
Persistent link: https://www.econbiz.de/10001717923
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR
Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50
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
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Diversifying estimation errors: an efficient averaging rule for portfolio optimization
Füss, Roland; Koeppel, Christian; Miebs, Felix - 2021
-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation …
Persistent link: https://www.econbiz.de/10012426966
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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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Forward-looking measures of higher-order dependencies with an application to portfolio selection
Brinkmann, Felix; Kempf, Alexander; Korn, Olaf - 2014 - Current Version: January 2014
This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...
Persistent link: https://www.econbiz.de/10010235242