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There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...
Persistent link: https://www.econbiz.de/10012838940
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10003814462
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, it is possible to hold more than one (small-r) “rational” expectation. When rational...
Persistent link: https://www.econbiz.de/10012919580
We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...
Persistent link: https://www.econbiz.de/10012181099
We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component. Agents cannot observe the component but learn about...
Persistent link: https://www.econbiz.de/10013291472
This article explores the influence of competitive conditions on the evolutionary fitness of risk preferences, using the professional competition between fund managers as a practical example. To explore how different settings of competition parameters, the exclusion rate and the exclusion...
Persistent link: https://www.econbiz.de/10013106565
; genetic programming ; fund managers ; portfolio theory …
Persistent link: https://www.econbiz.de/10009244214
measures on how to achieve this. -- risk preferences ; competition ; genetic programming ; fund managers ; portfolio theory …
Persistent link: https://www.econbiz.de/10009553043
; competition ; genetic programming ; fund managers ; portfolio theory …
Persistent link: https://www.econbiz.de/10009528957
The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a behavioural perspective, model uncertainty naturally leads to...
Persistent link: https://www.econbiz.de/10013043893