Showing 1 - 10 of 128
We examine asset allocation decisions under smooth ambiguity aversion when an investor has a prior degree of belief in an asset pricing model (e.g., the domestic CAPM). Different from the Bayesian portfolio approach, in our model the investor separately relies on the conditional distribution of...
Persistent link: https://www.econbiz.de/10010900761
We study a production economy with regime switching in the conditional mean and volatility of productivity growth. The representative agent has generalized disappointment aversion (GDA) preferences. We show that volatility risk in productivity growth carries a positive and sizable risk premium...
Persistent link: https://www.econbiz.de/10011208555
This paper explicitly solves, in closed form, the optimal consumption and portfolio choice for an ambiguity averse investor in a Merton-type two assets economy where a risk premium follows a mean-reverting process. The investor's preferences are represented by the recursive multiple priors...
Persistent link: https://www.econbiz.de/10010819323
I examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain. Investors with Chen and Epstein's (2002) recursive multiple priors utility possess a set of priors for unobservable investment...
Persistent link: https://www.econbiz.de/10008864844
In this article, we examine both pre- and post-reform economic convergence behaviour in China using the time-series procedures developed in the Hobijn and Franses (2000). Our results are striking: First, we find a number of extremely small convergence clubs for both the pre- and post-reform...
Persistent link: https://www.econbiz.de/10008582814
Persistent link: https://www.econbiz.de/10008673610
Employing a recently developed method-mixed data sampling (MIDAS) approach - to assess the risk-return trade-off for Chinese stock markets, our results are striking. First, we fail to find any evidence of the risk-return trade-off in the first subsample (Jan 1993¨CJan 2001), while we do find...
Persistent link: https://www.econbiz.de/10010934356
Persistent link: https://www.econbiz.de/10005512403
Persistent link: https://www.econbiz.de/10005476156
We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among the Irish stock market, one of the top world performers of the 1990s, and the US and UK stock markets. We find that two regimes, characterized as bear and bull states, are required...
Persistent link: https://www.econbiz.de/10005485186