Search Results - subject:"Horizon effect"

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Co-skewness across return horizons

Jin, Chenglu; Conlon, Thomas; Cotter, John - In: Journal of financial econometrics 21 (2023) 5, pp. 1483-1518

Persistent link: https://www.econbiz.de/10014444689

Co-skewness across return horizons

Jin, Chenglu; Conlon, Thomas; Cotter, John - 2022

Persistent link: https://www.econbiz.de/10013484727

Rolling horizon policies for multi-stage stochastic assemble-to-order problems

Gioia, Daniele Giovanni; Fadda, Edoardo; Brandimarte, Paolo - In: International journal of production research 62 (2024) 14, pp. 5108-5126

Persistent link: https://www.econbiz.de/10014547450

Co-skewness across return horizons

Conlon, Thomas; Cotter, John; Jin, Chenglu - 2019

Persistent link: https://www.econbiz.de/10012115063

Revisiting the Merton problem : from HARA to CARA utility

Ma, Guiyuan; Zhu, Song-Ping - In: Computational economics 59 (2022) 2, pp. 651-686

Persistent link: https://www.econbiz.de/10013169029

Time horizon of government and public goods investment : evidence from Japan

Yamasaki, Junichi - In: Journal of development economics 146 (2020)

Persistent link: https://www.econbiz.de/10012503931

Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs

Okou, Cédric; Jacquier, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2014

The horizon effect in the long-run predictive relationship between market excess return and historical market variance …

Persistent link: https://www.econbiz.de/10011183722

Horizon effects that are larger than you think : dynamic allocation with a representative investor

O'Brien, Thomas J. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 39-50

Persistent link: https://www.econbiz.de/10011700673

Discrete-time behavioral portfolio selection under cumulative prospect theory

Shi, Yun; Cui, Xiangyu; Li, Duan - In: Journal of economic dynamics & control 61 (2015), pp. 283-302

Persistent link: https://www.econbiz.de/10011589538

Does the forward premium puzzle disappear over the horizon?

Snaith, Stuart; Coakley, Jerry; Kellard, Neil - In: Journal of Banking & Finance 37 (2013) 9, pp. 3681-3693

This paper provides the first comprehensive study of the horizon effect in tests of the forward rate unbiasedness … results confirm a clear horizon effect in that the slope coefficient approaches unity as the forward contract maturity is …

Persistent link: https://www.econbiz.de/10010682607

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