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Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects

Kruiniger, Hugo - 2003

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects …. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the … conditional AR(1) panel model with fixed effects under various asymptotic plans. Then we show that when N tends to infinity but T …

Persistent link: https://www.econbiz.de/10014114275

Spatial model for determining the optimum placement of logistics centers in a predefined economic area

Ţarţavulea, Ramona Iulia; Belu, Mihaela Gabriela; … - In: Amfiteatru economic : an economic and business research … 18 (2016) 43, pp. 707-725

The process of globalization has stimulated the demand for logistics services at a level of speed and increased efficiency, which involves using of techniques, tools, technologies and modern models in supply chain management. The aim of this research paper is to present a model that can be used...

Persistent link: https://www.econbiz.de/10011840569

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

An EOQ model for multiple products with varying degrees of substitutability

Eksler, Leonid; Aviram, Roei; Elalouf, Amir; Kamble, Aakash - 2019

In this paper, the authors present an EOQ model with substitutions between products and a dynamic inventory replenishment policy. Their key assumption is that many products in the market are substitutable at different levels, and that, in most cases, a customer who discovers that a desired...

Persistent link: https://www.econbiz.de/10012007407

Bootstap Lr Tests of Sign and Amplitude Asymmetry

Fuertes, Ana-Maria; Coakley, Jerry - 2000

Using threshold autoregressive specifications, this paper extends the Enders and Granger (1998) framework for parametric tests of level asymmetry. In particular it develops bootstrap likelihood ratio statistics to test the symmetry null against sign and amplitude asymmetries or a combination of...

Persistent link: https://www.econbiz.de/10014160955

Discrete Fourier Transforms of Fractional Processes

Phillips, Peter C. B. - 2000

Discrete Fourier transforms (dft's) of fractional processes are studied and an exact representation of the dft is given in terms of the component data. The new representation gives the frequency domain form of the model for a fractional process, and is particularly useful in analyzing the...

Persistent link: https://www.econbiz.de/10014164678

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10013149486