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Author : Santanu Roy
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Risk Preference and Indirect Utility in Portfolio Choice Problems written by Santanu Roy and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Gollier
Publisher : MIT Press
ISBN 13 : 9780262572248
Total Pages : 492 pages
Book Rating : 4.5/5 (722 download)
Download or read book The Economics of Risk and Time written by Christian Gollier and published by MIT Press. This book was released on 2001 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updates and advances the theory of expected utility as applied to risk analysis and financial decision making.
Author : Friedrich Christian Kruse
Publisher : BoD – Books on Demand
ISBN 13 : 3844101853
Total Pages : 222 pages
Book Rating : 4.8/5 (441 download)
Download or read book Predictions, Nonlinearities and Portfolio Choice written by Friedrich Christian Kruse and published by BoD – Books on Demand. This book was released on 2012 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance researchers and asset management practitioners put a lot of effort into the question of optimal asset allocation. With this respect, a lot of research has been conducted on portfolio decision making as well as quantitative modeling and prediction models. This study brings together three fields of research, which are usually analyzed in an isolated manner in the literature: - Predictability of asset returns and their covariance matrix - Optimal portfolio decision making - Nonlinear modeling, performed by artificial neural networks, and their impact on predictions as well as optimal portfolio construction Including predictability in asset allocation is the focus of this work and it pays special attention to issues related to nonlinearities. The contribution of this study to the portfolio choice literature is twofold. First, motivated by the evidence of linear predictability, the impact of nonlinear predictions on portfolio performances is analyzed. Predictions are empirically performed for an investor who invests in equities (represented by the DAX index), bonds (represented by the REXP index) and a risk-free rate. Second, a solution to the dynamic programming problem for intertemporal portfolio choice is presented. The method is based on functional approximations of the investor's value function with artificial neural networks. The method is easily capable of handling multiple state variables. Hence, the effect of adding predictive parameters to the state space is the focus of analysis as well as the impacts of estimation biases and the view of a Bayesian investor on intertemporal portfolio choice. One important empirical result shows that residual correlation among state variables have an impact on intertemporal portfolio decision making.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Louis Eeckhoudt
Publisher : Princeton University Press
ISBN 13 : 1400829216
Total Pages : 245 pages
Book Rating : 4.4/5 (8 download)
Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.
Author : Jeroen Hinloopen
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.F/5 ( download)
Download or read book Comment on Estimation and Interpretation of Empirical Studies in Industrial Economics written by Jeroen Hinloopen and published by . This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chiara Monfardini
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.F/5 ( download)
Download or read book Estimating Stochastic Volatility Models Through Indirect Inference written by Chiara Monfardini and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ákos Valentinyi
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (318 download)
Download or read book Rules of Thumb and Local Interaction written by Ákos Valentinyi and published by . This book was released on 1995 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David F. Hendry
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.F/5 ( download)
Download or read book The Influence of A.W.H. Phillips on Econometrics written by David F. Hendry and published by . This book was released on 1996 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dorte Verner
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (318 download)
Download or read book Can the Variables in an Extended Solow Model be Treated as Exogenous? written by Dorte Verner and published by . This book was released on 1995 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Dow
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.F/5 ( download)
Download or read book Arbitrage, Hedging and Financial Innovation written by James Dow and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jacob Lundquist
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.F/5 ( download)
Download or read book Optimal Allocation of Foreign Debt Solved by a Multivariate GARCH Model Applied to Danish Data written by Jacob Lundquist and published by . This book was released on 1996 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giovanni Nero
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.F/5 ( download)
Download or read book Third Package and Noncooperative Collusion in the European Airline Industry written by Giovanni Nero and published by . This book was released on 1995 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : NA NA
Publisher : Springer
ISBN 13 : 1349741736
Total Pages : 696 pages
Book Rating : 4.3/5 (497 download)
Download or read book The New Palgrave Dictionary of Economics and the Law written by NA NA and published by Springer. This book was released on 2016-04-30 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: A great deal of economics is about law - the functioning of markets, property rights and their enforcement, financial obligations, and so forth - yet these legal aspects are almost never addressed in the academic study of economics. Conversely, the study and practice of law entails a significant understanding of economics, yet the drafting and administration of laws often ignore economic principle. The New Palgrave Dictionary of Economics and the Law is uniquely placed by the quality, breadth and depth of its coverage to address this need for building bridges. Drawn from the ranks of academics, professional lawyers, and economists in eight countries, the 340 contributors include world experts in their fields. Among them are Nobel laureates in economics and eminent legal scholars. First published in 1998 and now available in paperback for the first time, The New Palgrave Dictionary of Economics and the Law has established itself as a classic reference work in this important field.
Author : Pierre Cahuc
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.F/5 ( download)
Download or read book Alternative Time Patterns of Decisions and Dynamic Strategic Interactions written by Pierre Cahuc and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kristina Kostial
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.F/5 ( download)
Download or read book The Fully Modified OLS Estimator as a System Estimator written by Kristina Kostial and published by . This book was released on 1995 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrea Lofaro
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book On the Efficiency of Bertrand and Cournot Competition with Incomplete Information written by Andrea Lofaro and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
