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I address the comments made by Ortner (Games 9(4): 93, 2018) in relation to my note “Incentive Systems for Risky Investment Decisions Under Unknown Preferences: Ortner et al. Revisited” (Games 9(2): 26, 2018).
Persistent link: https://www.econbiz.de/10012014919
In this article we discuss welfare-optimal capacity allocation of different electricity generation technologies available for serving system demand. While the classical peak load pricing theory derives the efficient portfolio structure from a deterministic marginal production cost curve ("merit...
Persistent link: https://www.econbiz.de/10010429439
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
Using the Markowitz mean-variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai, Liu, and Wong (2009) propose a...
Persistent link: https://www.econbiz.de/10013008389
In this paper, I estimate the non-parametric optimal bond portfolio choice of a representative agent that acts optimally with respect to his/her expected utility one period forward, provided that he/she observes the ex ante liquidity signal. Using daily observations of zero-coupon Treasury and...
Persistent link: https://www.econbiz.de/10013056037
Article refers to the issue of credit risk management in commercial banks. Particular attention is paid to the problem of stress testing. In addition, methods are presented that allow prediction of the losses of the portfolio in the context of extreme events relating to the crises of financial...
Persistent link: https://www.econbiz.de/10009741563
Persistent link: https://www.econbiz.de/10010392596
To measure income inequality with right censored (topcoded) data, we propose multiple imputation for censored observations using draws from Generalized Beta of the Second Kind distributions to provide partially synthetic datasets analyzed using complete data methods. Estimation and inference...
Persistent link: https://www.econbiz.de/10010269337
To measure income inequality with right censored (topcoded) data, we propose multiple imputation for censored observations using draws from Generalized Beta of the Second Kind distributions to provide partially synthetic datasets analyzed using complete data methods. Estimation and inference...
Persistent link: https://www.econbiz.de/10010271567
To measure income inequality with right censored (topcoded) data, we propose multiple imputation for censored observations using draws from Generalized Beta of the Second Kind distributions to provide partially synthetic datasets analyzed using complete data methods. Estimation and inference...
Persistent link: https://www.econbiz.de/10003810324