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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

Investment in a Monopoly with Bayesian Learning

Koulovatianos, Christos; Mirman, Leonard J.; Santugini, Marc - University of Vienna, Department of Economics - 2006

We study how learning affects an uninformed monopolist?s supply and investment decisions under multiplicative uncertainty in demand. The monopolist is uninformed because it does not know one of the parameters deÞning the distribution of the random demand. Observing prices reveals this...

Persistent link: https://www.econbiz.de/10005463505

From Local Theory of Risk Aversion to an Intertemporal Theory of Risks Under Discrete Choices.

Alverez, L.H.R.; Kanniainen, V. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1998

While the well-known Pratt-Arrow measure of risk premium is useful in studying local risks, this paper introduces new measures to cope with non-trivial risks, including default. The premia derived are cast in terms of life-time and instantaneous utilities and required income. the results follow...

Persistent link: https://www.econbiz.de/10005625254

Assessment of the «district effect» through non-radial measures of technical efficiency

Hernández Sancho, Francesc; Soler i Marco, Vicent - In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH (2003) 3, pp. 25-39

The aim of this work is to measure the Industrial Marshallian District (IMD) effect through non-radial measures of technical efficiency. Taking as reference the spatial location of each firm (inside or outside of the IMD), a valuable information can be obtained to assess whether there exist...

Persistent link: https://www.econbiz.de/10010992223

Retail structural dynamics and the forces behind big-box retailing

Munroe, Scott - In: The Annals of Regional Science 35 (2001) 3, pp. 357-373

Recent change on the American retail landscape warrants a revisit to the catastrophe framework originated by Harris and Wilson (1978). A retail revolution, centered around the growth of big-box retailing, is recreating metropolitan retail structure. Alterations to both the sizes and spatial...

Persistent link: https://www.econbiz.de/10005167220

Discrete-Time Approximations of the Holmström-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision

Hellwig, Martin F.; Schmidt, Klaus M. - Volkswirtschaftliche Fakultät, … - 2001

This paper studies the relation between discrete-time and continuoustime principal-agent models. We derive the continuous-time model as a limit of discretetime models with ever shorter periods and show that optimal incentive schemes in the discrete-time models approximate the optimal incentive...

Persistent link: https://www.econbiz.de/10005121221

Late Informed Betting and the Favourite-Longshot Bias

Ottaviani, Marco; Sørensen, Peter Norman - C.E.P.R. Discussion Papers - 2003

According to the favorite-longshot bias observed in pari-mutuel betting, the final distribution of bets overestimates the winning chance of longshots. This Paper proposes an explanation of this bias based on late betting by small privately informed bettors. These bettors have an incentive to...

Persistent link: https://www.econbiz.de/10005504377

The Timing of Bets and the Favorite-Longshot Bias

Ottaviani, Marco; Sørensen, Peter Norman - Økonomisk Institut, Københavns Universitet - 2004

In parimutuel betting markets, it has been observed that proportionally too many bets are placed on longshots, late bets are more informative than early bets, and a sizeable fraction of bets are placed early. We propose an explanation for these facts based on equilibrium incentives of privately...

Persistent link: https://www.econbiz.de/10005750010

Employer-Sponsored Training in Stabilisation and Growth Policy Perspectives

Håkanson, Christina; Johanson, Satu; Mellander, Erik - Institutet för Näringslivsforskning (IFN) - 2003

investments. Using Sweden as example, we discuss two consequences for training. First, the timing: training will be conducted when …

Persistent link: https://www.econbiz.de/10005645324

The Timing and Scale of Investment Under Uncertainty

Small, John P. - Department of Economics, University of Victoria - 1999

investment problem is decomposed into decisions over scale and timing which are influenced by convex adjustment costs and the … in demand and cost uncertainty but has new timing and scale interpretations. The larger is the option value, the more … capital would be installed if delay were not profitable. The timing of investment, however, is controlled by the expected …

Persistent link: https://www.econbiz.de/10005260590