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Almost Stochastic Dominance and Moments
Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2013
variance, positive skewness, and smaller kurtosis. This information, in turn, enables decision makers to determine the ASD …
Persistent link: https://www.econbiz.de/10011112992
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Almost Stochastic Dominance and Moments
Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2013
, investors prefer the one with positive gain, smaller variance and positive skewness. This information, in turn, enables decision …
Persistent link: https://www.econbiz.de/10011113097
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Energy Economics 46 (2014) C, pp. 422-434
This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using...
Persistent link: https://www.econbiz.de/10011115893
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Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
Huber, Jürgen; Kirchler, Michael; Stefan, Matthias - In: Journal of Economic Behavior & Organization 107 (2014) PB, pp. 798-809
We investigate the influence of skewness in asset fundamentals on asset prices under different states of uncertainty in …, prices of all assets, irrespective of skewness, are very efficient from the beginning. Thus, when probabilities are not …
Persistent link: https://www.econbiz.de/10011116881
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Conditioned Higher Moment Portfolio Optimisation Using Optimal Control
Boissaux, Marc; Schiltz, Jang - Luxembourg School of Finance, Faculté de droit, … - 2012
Within a traditional context of myopic discrete-time mean-variance portfolio investments, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete...
Persistent link: https://www.econbiz.de/10010900068
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Skewness preferences and asset selection: An experimental study
Bruenner, Tobias; Rene Levinsk?; Qiu, Jianying - Institut für Finanzwissenschaft, Fakultät für … - 2009
In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be …. We find that the skewness of a distribution has a significant impact on the decisions. Yet, while skewness has an impact …, its direction differs substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10 …
Persistent link: https://www.econbiz.de/10004965212
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Chinese pension fund investment efficiency: Evidence from CNCSSF stock holdings
Lang, Gunnar; Shen, Yu; Xu, Xian - 2014
China's pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...
Persistent link: https://www.econbiz.de/10010330309
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Holding Horizon: A New Measure of Active Investment Management
Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2018
This paper proposes a new holding horizon (HH) measure of active management and examines the relation between horizon and manager skill. Our HH measure identifies, in the cross-section, funds with higher future long-term alphas, while reported turnover identifies, in the time-series, when a...
Persistent link: https://www.econbiz.de/10012312946
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Cash holdings and the performance of European mutual funds
Graef, Frank; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2018 - This version: February 2018
We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past...
Persistent link: https://www.econbiz.de/10011906314
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Chinese pension fund investment efficiency: Evidence from CNCSSF stock holdings
Lang, Gunnar; Shen, Yu; Xu, Xian - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2014
China's pension system is facing a large gap of more than one trillion RMB. The investment efficiency of the social security fund therefore receives widespread attention in academic circles. We collected data of stocks held by the Chinese National Council for Social Security Fund (CNCSSF) from...
Persistent link: https://www.econbiz.de/10010957688