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If a given risky prospect is compared with multiple choice alternatives, then a joint test for optimality is more appropriate than a series of pairwise Stochastic Dominance tests. We develop and implement a bootstrap empirical likelihood ratio test for this hypothesis. The test statistic and...
Persistent link: https://www.econbiz.de/10012936941
renewables, respectively. The return distributions resulting from this analysis are then used as an input to a portfolio …
Persistent link: https://www.econbiz.de/10010294022
renewables, respectively. The return distributions resulting from this analysis are then used as an input to a portfolio …
Persistent link: https://www.econbiz.de/10009736649
Persistent link: https://www.econbiz.de/10003510413
A Stochastic Arbitrage Opportunity is defined as a zero-cost investment portfolio that enhances every feasible benchmark portfolio for all admissible utility functions. The present study provides a formal theory of consistent estimation of the set of arbitrage opportunities and an Empirical...
Persistent link: https://www.econbiz.de/10014237302
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
shortfall being less than or equal to a specified level. In the empirical analysis, we use the select sector ETFs to test the …
Persistent link: https://www.econbiz.de/10013375264
metals. Our out of sample comparative performance analysis indicates that investors impression of gains and losses affects …
Persistent link: https://www.econbiz.de/10014246136
This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...
Persistent link: https://www.econbiz.de/10012909312
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319