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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10010490408
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Skewness expectations and portfolio choice
Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022
with the skewness of respondents' return expectations for the respective asset, controlling for other moments of a …
Persistent link: https://www.econbiz.de/10012805556
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Skewness and kurtosis ratio tests : with applications to multiperiod tail risk analysis
Wong, Woon K. - 2016
This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The …
Persistent link: https://www.econbiz.de/10011688190
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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Risk-taking-neutral background risk
Franke, Guenter; Schlesinger, Harris; Stapleton, Richard C. - 2013
We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...
Persistent link: https://www.econbiz.de/10010291486
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A note on skewness seeking: an experimental analysis
Brünner, Tobias; Levínský, René; Qiu, Jianying - 2007
In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered … ¯nd that the skewness of a distribution has a signi¯cant impact on the decisions. Yet, while skewness has an impact, its … direction di®ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to …
Persistent link: https://www.econbiz.de/10010275666
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Occupational choice and the private equity premium puzzle
Hintermaier, Thomas; Steinberger, Thomas - 2002
This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...
Persistent link: https://www.econbiz.de/10009725485
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Illusion of expertise in portfolio decisions : an experimental approach
Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001
Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...
Persistent link: https://www.econbiz.de/10011408429
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Sampling methods for investment portfolio formulation procedure at increased market volatility
Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89
Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial instruments formulation procedure at an...
Persistent link: https://www.econbiz.de/10013166371