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A Sharper Ratio : A General Measure for Correctly Ranking Non-Normal Investment Risks

Smetters, Kent - 2013

While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over … ranking measure which, under a regularity condition, correctly ranks risks relative to the original investor problem for a … probability distributions. This paper also explores the theoretical foundations of risk ranking, including proving a key …

Persistent link: https://www.econbiz.de/10012459163

Representing Symmetric Rank Two Updates

Gay, David M. - 1976

Various quasi-Newton methods periodically add a symmetric "correction" matrix of rank at most 2 to a matrix approximating some quantity A of interest (such as the Hessian of an objective function). In this paper we examine several ways to express a symmetric rank 2 matrix [delta] as the sum of...

Persistent link: https://www.econbiz.de/10012479003

Coordination and Bandwagon Effects of Candidate Rankings : Evidence from Runoff Elections

Pons, Vincent - 2019

5.9pp), than those who barely ranked second. The effects are even larger for ranking second instead of third (23.5, 9 ….9, and 6.9 to 12.2pp), and also present for ranking third instead of fourth (14.6, 2.2, and 3.0 to 5.0pp). The impact of …

Persistent link: https://www.econbiz.de/10012480543

Super Contact and Related Optimality Conditions : A Supplement to AvinashDixits

Dumas, Bernard - 1989

Dixit (1988) observed that the mathematical construct of "regulated Brownian motion" developed by Harrison (1985) had proved useful in economic models of decision-making under uncertainty. In a recent note he provided a number of methods for calculating expected discounted payoff functions based...

Persistent link: https://www.econbiz.de/10012476138

Closed-Form Likelihood Expansions for Multivariate Diffusions

Ait-Sahalia, Yacine - 2002

This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis....

Persistent link: https://www.econbiz.de/10012469758

A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012470152

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben G. - 2000

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...

Persistent link: https://www.econbiz.de/10012471288

The Pre-Program Earnings Dip and the Determinants of Participation in a Social Program : Implications for Simple Program Evaluation Strategies

Heckman, James J. - 1999

The key to estimating the impact of a program is constructing the counterfactual outcome representing what would have happened in its absence. This problem becomes more complicated when agents self-select into the program rather than being exogenously assigned to it. This paper uses data from a...

Persistent link: https://www.econbiz.de/10012471825

Multivariate Refression Models for Paned Data

Chamberlain, Gary - 1980

, and so we provide a theory of inference for linear approximations. It rests on obtaining the asymptotic distribution of …

Persistent link: https://www.econbiz.de/10012478543

Can Ranking Hospitals on the Basis of Patients' Travel Distances Improve Quality of Care?

Kessler, Daniel P. - 2005

" the system by avoiding sick and/or seeking healthy patients. In this paper, I propose an alternative approach: ranking … hospitals on the basis of the travel distances of their Medicare patients. At least in theory, a distance report card could …

Persistent link: https://www.econbiz.de/10012467260