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Weight Bound Constraints in Mean-Variance Models : A Re-examination Based on Machine Learning

Koumou, Gilles Boevi - 2022

foundation of weight bound constraints by offering a new interpretation in terms of robust control theory. Additionally, we …

Persistent link: https://www.econbiz.de/10014085557

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...

Persistent link: https://www.econbiz.de/10011346478

Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up

Dubois, Robert - 2013

Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...

Persistent link: https://www.econbiz.de/10013084090

Breakthrough Technology to Resolve Problems in Annuities Hedging

Izmailov, Alexander - 2016

Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...

Persistent link: https://www.econbiz.de/10013000625

On the Production Function with Variable Elasticity of Factor Substitution

Chilarescu, Constantin - 2018

The main aim of this paper is to prove the existence of a new production function with variable elasticity of factor substitution. The econometric estimates presented in the paper confirm some other results and reinforces the conclusion that the sigma is well-below the Cobb-Douglas value of one

Persistent link: https://www.econbiz.de/10012911976

Further to Asset Price Trend Theory : Decision Making, Optimization, Fears and Aspirations, and Notions of Market Efficiency

Dubois, Robert - 2014

the constraint that assets be fully and continuously invested is inconsistent with basic decision theory, as it disallows … in finance. We herein explore implications for the traditional ‘52'59 Markowitz approach to portfolio theory when the … incomplete Markowitz model. Relative to “Asset Price Trend Theory: Reframing portfolio theory from the ground up” (Dubois [2013 …

Persistent link: https://www.econbiz.de/10013049923

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Quantum technology for economists

Hull, Isaiah; Sattath, Or; Diamanti, Eleni; Wendin, Göran - 2020

Research on quantum technology spans multiple disciplines: physics, computer science, engineering, and mathematics. The objective of this manuscript is to provide an accessible introduction to this emerging field for economists that is centered around quantum computing and quantum money. We...

Persistent link: https://www.econbiz.de/10012385031

The Determinants of Inflation

Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; … - 2022

The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most...

Persistent link: https://www.econbiz.de/10014030604

Level-Slope-Curvature - Fact or Artefact?

Lord, Roger; Pelsser, Antoon - 2005

Persistent link: https://www.econbiz.de/10010325482