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A new paradigm for transport economists has been established: revenues of a welfare-maximising road tax should be employed to reduce the level of a distortionary income tax. An essential assumption to reach this conclusion is that the number of workdays is optimally chosen, whereas daily...
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Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...
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risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
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We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...
Persistent link: https://www.econbiz.de/10011949129
may incur smaller costs when takinga short-position, are less exposed to exchange rate risk, possess better information … quality,have more knowledge about each others information sets, due to asymmetries in tax treatment,or because of the presence …
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advanced traveller information systems (ATIS). We examine the properties of the information market, and in particular, the … relationship between monopoly information pricing and road system efficiency. From model experiments, we find that increasing … information penetration will lead to negative external effects for the already informed drivers. Furthermore, monopoly information …
Persistent link: https://www.econbiz.de/10011334850