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One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...
Persistent link: https://www.econbiz.de/10014254526
I study optimal monetary policy in a simple New Keynesian model with portfolio adjustment costs. Purchases of long-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate demand and inflation. The central bank chooses the...
Persistent link: https://www.econbiz.de/10012946995
Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the...
Persistent link: https://www.econbiz.de/10014067220
We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...
Persistent link: https://www.econbiz.de/10014154210
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
To avoid the complexity and time consumption of traditional statistical and mathematical programming, intelligent techniques have gained great attention in different financial research areas, especially in banking decisions' optimization. However, choosing optimum bank lending decisions that...
Persistent link: https://www.econbiz.de/10012909817
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Persistent link: https://www.econbiz.de/10003929052
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...
Persistent link: https://www.econbiz.de/10014107616
This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following...
Persistent link: https://www.econbiz.de/10013154051