Similar Search Results

Recursive portfolio selection with decision trees

Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10010274142

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Persistent link: https://www.econbiz.de/10010274190

Price adjustment to news with uncertain precision

Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008

Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that …. Therefore, we extend standard Bayesian learning allowing traders to infer news' precision from two different sources. If …: Bayesian learning ; information quality ; precision signals ; macroeconomic announcements …

Persistent link: https://www.econbiz.de/10010274280

Empirical pricing kernels and investor preferences

Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10010275864

A microeconomic explanation of the EPK paradox

Härdle, Wolfgang Karl; Krätschmer, Volker; Moro, … - 2009

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/10010275866

Managerial overconfidence and corporate risk management

Adam, Tim R.; Fernando, Chitru S.; Golubeva, Evgenia - 2012

We show that managerial overconfidence, which has been found to influence a number of corporate financial decisions, also affects corporate risk management. We find that managers increase their speculative activities using derivatives following speculative gains, while they do not reduce their...

Persistent link: https://www.econbiz.de/10010281528

The aging investor: Insights from neuroeconomics

Mohr, Peter N. C.; Heekeren, Hauke R. - 2012

Individuals in most industrialized countries have to make investment decisions throughout their adult life span to save for their retirement. These decisions substantially affect their living standards in old age. Research on cognitive aging has already demonstrated several changes in cognitive...

Persistent link: https://www.econbiz.de/10010318792

Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns

Myšičková, Alena; Song, Song; Majer, Piotr; Mohr, … - 2011

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underly (risky) investment decisions are important goals in neuroeconomics. Here, we reanalyze functional magnetic resonance...

Persistent link: https://www.econbiz.de/10010319198