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The Colombian Stock Market: 1930-1998

Pareja, Ignacio Vélez - MASTER CONSULTORES - 1999

This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogota Index (Indice de la Bolsa de Bogota, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured by...

Persistent link: https://www.econbiz.de/10010827952

Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?

Posta, Vit - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 5, pp. 450-470

used to estimate the two restrictions. The estimation of the CAPM restriction seems to be favorable to the theoretical …Time-varying risk premiums and CAPM betas for several assets traded on the Prague Stock Exchange are estimated within a …

Persistent link: https://www.econbiz.de/10010600839

Expectations, risk premia and information spanning in dynamic term structure model estimation

Guimarães, Rodrigo - Bank of England - 2014

This article examines the nature of the empirical instability in dynamic term structure models. I show that using survey forecasts is an effective solution because it directly addresses the information imbalance at the heart of the instability: it increases the (cross-section) information on...

Persistent link: https://www.econbiz.de/10010839046

Bayesian Estimation of Risk-Premia in an APT Context

Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2003

Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a …

Persistent link: https://www.econbiz.de/10005650522

Portfolio choice beyond the traditional approach

Penaranda, Francisco - London School of Economics (LSE) - 2007

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always...

Persistent link: https://www.econbiz.de/10010745189

Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment

Morone, Andrea - Max-Planck-Institut für Ökonomik, Max-Planck-Gesellschaft - 2005

theory provides a natural way to establish "measurable utility". In the early 50's Markowitz introduced the Mean …-Variance theory that is the basis of modern portfolio selection theory. Even if both models were analyzed from virtually all possible …

Persistent link: https://www.econbiz.de/10005765197

Expected Utility Theory with “Small Worlds”

Gyntelberg, Jacob; Hansen, Frank - Økonomisk Institut, Københavns Universitet - 2004

We formulate a new theory of expected utility under uncertainty based on the notion of an event-lattice, which is a … standard von Neumann-Savage theory of expected utility. The generalization allows for an intuitive distinction between risk and … providing numerical expressions to the notion of uncertainty. We illustrate the use of the theory for the Ellsberg paradox and …

Persistent link: https://www.econbiz.de/10005750011

Heterogeneous Beliefs in a Continuous-Time Model

Hara, Chiaki - Institute of Economic Research, Kyoto University - 2010

In an exchange economy under uncertainty populated by consumers having constant and equal relative risk aversion but heterogeneous probabilistic beliefs, we analyze the nature of the representative consumer's probabilistic belief and discount rates. We prove a formula that implies that the...

Persistent link: https://www.econbiz.de/10008488927

Labour Contracts, Operating Leverage and Asset Pricing

Danthine, Jean-Pierre; Donaldson, John B - C.E.P.R. Discussion Papers - 1996

This paper studies the pricing of financial assets in a complete general equilibrium set-up. We begin with an asset pricing model à la Lucas grafted on a standard Real Business Cycles model. We provide a new decentralized interpretation of such a model in which firms make meaningful investment...

Persistent link: https://www.econbiz.de/10005504725

Modelling the Risk Premium in the Black-Market Zloty-Dollar Exchange Rate

McMillan, David G; Speight, Alan E H - Centre for Research into Industry, Enterprise, Finance … - 1998

) iterative nonlinear algorithm for estimation of such models, and discrimination between estimated models on the basis of the …

Persistent link: https://www.econbiz.de/10005536790