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CRRA utility maximization under risk constraints

Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - 2011

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject … to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete …; furthermore, financial assets are modeled by Itô processes. The dynamic risk constraints (time, state dependent) are generated by …

Persistent link: https://www.econbiz.de/10010281601

Forecast based pricing of weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, … - 2012

meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for … Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is …

Persistent link: https://www.econbiz.de/10010281602

Spatially adaptive density estimation by localised Haar projections

Gach, Florian; Nickl, Richard; Spokoiny, Vladimir - 2011

Given a random sample from some unknown density f0 : R → [0;∞) we devise Haar wavelet estimators for fo with variable resolution levels constructed from localised test procedures (as in Lepski, Mammen, and Spokoiny (1997, Ann. Statist.)). We show that these estimators adapt to spatially...

Persistent link: https://www.econbiz.de/10010281606

Solving DSGE models with a nonlinear moving average

Lan, Hong; Meyer-Gohde, Alexander - 2011

We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of innovations to endogenous variables,...

Persistent link: https://www.econbiz.de/10010286434

Forward-backward systems for expected utility maximization

Horst, Ulrich; Hu, Ying; Imkeller, Peter; Réveillac, … - 2011

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

Persistent link: https://www.econbiz.de/10010286435

The real consequences of financial stress

Mittnik, Stefan; Semmler, Willi - 2013

- similar to Brunnermeier and Sannikov (2010) - adverse asset-price movements and their impact on risk premia and credit spreads …

Persistent link: https://www.econbiz.de/10010318736

Simultaneous statistical inference in dynamic factor models

Dickhaus, Thorsten - 2012

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods …

Persistent link: https://www.econbiz.de/10010318738

Generated covariates in nonparametric estimation: A short review

Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2012

In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...

Persistent link: https://www.econbiz.de/10010318739

Variable selection in Cox regression models with varying coefficients

Honda, Toshio; Härdle, Wolfgang Karl - 2012

We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional...

Persistent link: https://www.econbiz.de/10010318744

Yield curve modeling and forecasting using semiparametric factor dynamics

Härdle, Wolfgang Karl; Majer, Piotr - 2012

Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...

Persistent link: https://www.econbiz.de/10010318745