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

Smetters, Kent A. - 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/10013074912

Representing Symmetric Rank Two Updates

Gay, David M. - 2022

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/10013322335

Super Contact and Related Optimality Conditions : A Supplement to Avinashdixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian

Dumas, Bernard - 2021

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/10013239196

Closed-Form Likelihood Expansions for Multivariate Diffusions

Aït-Sahalia, Yacine - 2021

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/10013222630

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

Heckman, James J.; Smith, Jeffrey A. - 2021

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/10013249238

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/10012787560

Multivariate Refression Models for Paned Data

Chamberlain, Gary - 2010

, 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/10012760070

The Sad Truth About Happiness Scales : Empirical Results

Bond, Timothy - 2018

We replicate nine key results from the happiness literature: the Easterlin Paradox, the ‘U-shaped' relation between happiness and age, the happiness trade-off between inflation and unemployment, cross-country comparisons of happiness, the impact of the Moving to Opportunity program on...

Persistent link: https://www.econbiz.de/10012914253

Citations in Economics : Measurement, Uses and Impacts

Hamermesh, Daniel S. - 2021

I describe and compare sources of data on citations in economics and the statistics that can be constructed from them. Constructing data sets of the post-publication citation histories of articles published in the “Top 5” journals in the 1970s and the 2000s, I examine distributions and life...

Persistent link: https://www.econbiz.de/10013224114

The Changing Selectivity of American Colleges

Hoxby, Caroline M. - 2021

This paper shows that although the top ten percent of colleges are substantially more selective now than they were 5 decades ago, most colleges are not more selective. Moreover, at least 50 percent of colleges are substantially less selective now than they were then. This paper demonstrates that...

Persistent link: https://www.econbiz.de/10013239988