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over mean-variance optimization. The second is that, for all three risk measures, semi-parametric estimation of the optimal … portfolio offers a very significant improvement over non-parametric estimation. The results are robust to as the choice of … target return and the estimation period.Chapter 4 searches for improvements in portfolio risk measurement by addressing …
Persistent link: https://www.econbiz.de/10009440952
This thesis presents a methodology to incorporate reservoir uncertainties and estimate the loss in project value when facility planning decisions are based on erroneous estimates of input variables. We propose a tank model along with integrated asset development model to simulate the concept...
Persistent link: https://www.econbiz.de/10009429339
Deterministische Discounted Cash Flow Modelle (DCF-Modelle) greifen im Rahmen der Unternehmensbewertung lediglich auf einwertige Größen zurück. Bei stochastischen Modellen werden einzelne Plangrößen hingegen mehrwertig dargestellt, indem aus Wahrscheinlichkeitsverteilungen verschiedene...
Persistent link: https://www.econbiz.de/10009451171
This dissertation studies the question of nonlinearities in the Phillips curve relationshipin France, Germany and Italy. The implications from the theoretical models are that themechanisms that make the Phillips curve nonlinear can work through different channels.Therefore, this thesis not just...
Persistent link: https://www.econbiz.de/10009471618
This thesis is composed of two parts. The first parts deals with a technique for pricing American-style contingent options. The second part details a statistical arbitrage model using statistical process control approaches.We propose a novel simulation approach for pricing American-style...
Persistent link: https://www.econbiz.de/10009476018
This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...
Persistent link: https://www.econbiz.de/10009481456
A new approach is proposed to select a predetermined number of ?reasonable" (the best in a certain sense) alternatives from the considerable (maybe a vast) set of initial alternatives according to an arbitrary number of optimization criteria and accounting for uncertainty factors. The approach...
Persistent link: https://www.econbiz.de/10009482362
elasticities and scale economies measurements, when data available for estimation features typical realistic problems. We design … parameters as well as to calibrate the dataset to yield realistic magnitudes of noise. This noise introduced in the estimation by …
Persistent link: https://www.econbiz.de/10009444351
Random Utility Models of recreation demand are widely used to relate demand and value to the characteristics of recreation sites. Although some kinds of endogeneity problems have been studied in previous literature, no study has addressed the potential problem with site characteristics that are...
Persistent link: https://www.econbiz.de/10009446505
Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...
Persistent link: https://www.econbiz.de/10009433722