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Monetary policy and uncertainty about the natural unemployment rate

Wieland, Volker - 2003

Inflation-targeting central banks have only imperfect knowledge about the effect of policy decisions on inflation. An important source of uncertainty is the relationship between inflation and unemployment. This paper studies the optimal monetary policy in the presence of uncertainty about the...

Persistent link: https://www.econbiz.de/10009765348

Optimal policy and taylor rule cross-checking under parameter uncertainty

Bursian, Dirk; Roth, Markus - 2013

We examine whether the robustifying nature of Taylor rule cross-checking under model uncertainty carries over to the case of parameter uncertainty. Adjusting monetary policy based on this kind of cross-checking can improve the outcome for the monetary authority. This, however, crucially depends...

Persistent link: https://www.econbiz.de/10010226632

Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

Robust product line design

Bertsimas, Dimitris; Mišić, Velibor V. - In: Operations research 65 (2017) 1, pp. 19-37

Persistent link: https://www.econbiz.de/10011648840

Monetary policy, parameter uncertainty and welfare

Traficante, Guido - In: Journal of macroeconomics 35 (2013), pp. 73-80

Persistent link: https://www.econbiz.de/10009723990

Managing ambiguity in asset allocation

Kaya, Hakan - In: The journal of asset management 18 (2017) 3, pp. 163-187

Persistent link: https://www.econbiz.de/10011704212

Beta uncertainty

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 116 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012489243

Mean-variance optimization is a good choice, but for other reasons than you might think

Rigamonti, Andrea - In: Risks : open access journal 8 (2020) 1/29, pp. 1-16

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures … results hold even if the CVaR is used, because all downside risk measures are difficult to estimate. The popularity of … variance as a measure of risk appears therefore to be rationally justified. …

Persistent link: https://www.econbiz.de/10012203653

Bootstrap VAR forecasts : the effect of model uncertainties

Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293

Persistent link: https://www.econbiz.de/10012817747

Long-term dynamic asset allocation under asymmetric risk preferences

Kontosakos, Vasileios E.; Hwang, Soosung; … - In: European journal of operational research : EJOR 312 (2024) 2, pp. 765-782

Persistent link: https://www.econbiz.de/10014456327