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In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...
Persistent link: https://www.econbiz.de/10005475098
This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as...
Persistent link: https://www.econbiz.de/10005475121
a deeper understanding as to why the economy lacks in specific areas of risk sharing arrangements. As well, it can point … to areas where the economy's risk sharing capability can be enhanced. Using household data from the Panel Study of Income … Dynamics, we find that a negligible amount of risk (around 10%) is shared in the aggregate, about 50% is shared within regions …
Persistent link: https://www.econbiz.de/10005475171
, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough …
Persistent link: https://www.econbiz.de/10005475303
Persistent link: https://www.econbiz.de/10005475306
not only the standard arguments like expected prices but also risk. We extend Lin's work [1991, 1992] by modelling supply … national Chinese agricultural supply is price and price risk responsive. Further, we fit our model to data for North, Northeast … national level, Chinese agriculture is found to be price and price risk responsive. The regional analyses suggest that …
Persistent link: https://www.econbiz.de/10005475946
paper concludes with an empirical section where we provide further evidence and new results on the risk-return trade-off. We …
Persistent link: https://www.econbiz.de/10005476038
This paper analyses the adoption process of water-conserving irrigation technologies by a risk averse farmer in a … individual risk preferences of the producer, on the variance and asymmetry of the cost of water applied, and on the elasticity of … of uncertainty regarding water availability incentives the adoption of modern irrigation technologies only if this allows …
Persistent link: https://www.econbiz.de/10005476814
designed to keep domestic beef prices low inject considerable risk into the investment decision. …
Persistent link: https://www.econbiz.de/10005477115
This book was originally published by Westview Press, Boulder CO, 1995.
Persistent link: https://www.econbiz.de/10005477245