Showing 1 - 10 of 14,167
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
/Shiller crash confidence index and the Duke/CFO survey responses, and yet contain additional information. Our analysis points out …
Persistent link: https://www.econbiz.de/10013076811
investment process, there are numerous decision points at which the results of empirical analyses influence the process. Problems … related to the assessment of investment strategies, e.g. by means of backtests, problems related to the evaluation of …, problems related to the selection of investment instruments, such as the selection of funds, or problems related to the …
Persistent link: https://www.econbiz.de/10003678800
Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...
Persistent link: https://www.econbiz.de/10013049185
Persistent link: https://www.econbiz.de/10014439916
Persistent link: https://www.econbiz.de/10015137979
investment between a market index and a risk-free asset, we generate scenarios of future return according to a momentum … excess return, 2) mean-risk strategies generally provide better returns whereas risk parity strategies have less investment … risk, and 3) controlling CVaR limits the investment risk better than controlling variance does …
Persistent link: https://www.econbiz.de/10013247805
Persistent link: https://www.econbiz.de/10011475887
Persistent link: https://www.econbiz.de/10011344325
Persistent link: https://www.econbiz.de/10011406641