This article presents the initial stages of a new evaluation framework for choosing among retirement income strategies. The investigation includes eight retirement income strategies: constant inflation-adjusted withdrawal amounts, a constant withdrawal percentage of remaining assets, a...

In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for equally weighted and market capitalisation weighted portfolios in the UK Equity Market over 2002 - 2012. We analyse the absolute benefits of risk reduction by testing the...

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...

This paper shows that in financial markets with endogenous asset supply and demand, both rational and noise traders do coexist in the long run. The finding implies that financial markets are neither informationally nor allocationally efficient. While rational traders have a consistently higher...

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ansatz Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und...

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...