Search Results - subject:"parameter uncertainty"

Monetary Policy and Uncertainty about the Natural Unemployment Rate

Wieland, Volker - Center for Financial Studies - 2003

policy that disregards parameter uncertainty. Exceptions occur when uncertainty is very high and in inflation close to target. …

Persistent link: https://www.econbiz.de/10010958781

Monetary Policy and Uncertainty about the Natural Unemployment Rate

Wieland, Volker - Center for Financial Studies - 2003

policy that disregards parameter uncertainty. Exceptions occur when uncertainty is very high and in inflation close to target. …

Persistent link: https://www.econbiz.de/10005022415

Monetary policy and uncertainty about the natural unemployment rate

Wieland, Volker - 2003

policy that disregards parameter uncertainty. Exceptions occur when uncertainty is very high and in inflation close to target. …

Persistent link: https://www.econbiz.de/10009765348

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

we adopted is well suited for two reasons. It allows us to study in detail the parameter uncertainty problem, i.e., when … that are robust against parameter uncertainty and show that Hermite polynomials are special examples. This is the main …

Persistent link: https://www.econbiz.de/10005100582

TESTING NORMALITY : A GMM APPROACH

BONTEMPS, Christian; MEDDAHI, Nour - Centre Interuniversitaire de Recherche en Économie … - 2002

Persistent link: https://www.econbiz.de/10005729535

Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown

Kinkawa, Takuya; Shinozaki, Nobuo - In: Asia-Pacific Financial Markets 17 (2010) 1, pp. 19-50

Persistent link: https://www.econbiz.de/10008480871

Capacity Sizing Under Parameter Uncertainty: Safety Staffing Principles Revisited

Bassamboo, Achal; Randhawa, Ramandeep S.; Zeevi, Assaf - In: Management Science 56 (2010) 10, pp. 1668-1686

We study a capacity sizing problem in a service system that is modeled as a single-class queue with multiple servers and where customers may renege while waiting for service. A salient feature of the model is that the mean arrival rate of work is random (in practice this is a typical consequence...

Persistent link: https://www.econbiz.de/10009218098

Is Regime Switching in Stock Returns Important in Portfolio Decisions?

Tu, Jun - In: Management Science 56 (2010) 7, pp. 1198-1215

parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of … instead in portfolio decisions irrespective of concerns about model or parameter uncertainty. …

Persistent link: https://www.econbiz.de/10009293043

Bayesian Portfolio Analysis

Avramov, Doron; Zhou, Guofu - In: Annual Review of Financial Economics 2 (2010) 1, pp. 25-47

pricing theories, and security-driving forces can serve as useful priors in selecting optimal portfolios. Moreover, parameter … uncertainty and model uncertainty are practical problems encountered by all investors. The Bayesian framework neatly accounts for …

Persistent link: https://www.econbiz.de/10008835308

Portfolio selection with higher moments

Harvey, Campbell; Liechty, John; Liechty, Merrill; … - In: Quantitative Finance 10 (2010) 5, pp. 469-485

major shortcomings of the traditional Markowitz approach: the ability to handle higher moments and parameter uncertainty. We … where parameter uncertainty is either ignored or accommodated in an ad hoc way, shows that our approach leads to higher …

Persistent link: https://www.econbiz.de/10008675024