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In this paper, we investigate how investors who face both equity risk andcredit risk would optimally allocate their financial wealth in a dynamic continuous-time setup. We model credit risk through the defaultable zero-coupon bond and solve the dynamics of its price after pricing it. Using...
Persistent link: https://www.econbiz.de/10005858554
Richer and healthier agents tend to hold riskier portfolios and spend proportionallyless on health expenditures. Potential explanations include health and wealth eects onpreferences, expected longevity or disposable total wealth. Using HRS data, we perform astructural estimation of a dynamic...
Persistent link: https://www.econbiz.de/10009305104
We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...
Persistent link: https://www.econbiz.de/10005858764
The empirical literature on the asset allocation and medical expenditures ofU.S. households consistently shows that risky portfolio shares are increasing inboth wealth and health whereas health investment shares are decreasing in thesesame variables. Despite this evidence, most of the existing...
Persistent link: https://www.econbiz.de/10005868769
In this paper, we investigate how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup. We model credit risk through the defaultable zero-coupon bond and solve the dynamics of its price after pricing it. Using...
Persistent link: https://www.econbiz.de/10005612064
Paradoxically, high-investment and high-growth developing countries tend toexperience capital outows. This paper shows that this allocation puzzle can beexplained simply by introducing uninsurable idiosyncratic investment risk in theneoclassical growth model. Using a sample of 67 countries...
Persistent link: https://www.econbiz.de/10009522188
We disentangle different driving factors of sovereign bond market integrationby studying yield co-movements of EMU countries, the UK, the US and 16German L¨ander in the last 15 years. At a low frequency of weeks, bondmarket integration has increased gradually in the course of the last 15 years...
Persistent link: https://www.econbiz.de/10005866179
Das Thema der Kapitalallokation und risikoadjustierten Performancesteuerungwird im Finanzdienstleistungssektor intensiv …
Persistent link: https://www.econbiz.de/10005861557
In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A.Read, Jr., propose to use a specific capital allocation method for pricing insurancecontracts. We show that in their model framework no capital allocation to lines ofbusiness is needed for pricing insurance...
Persistent link: https://www.econbiz.de/10005861584
This paper uses statistical model selection criteria and Avramov’s (2002)Bayesian model averaging approach to analyze the sample evidence onstock market predictability in the presence of model uncertainty. Basedon Swiss stock market data, our posterior analysis finds that neither thecumulative...
Persistent link: https://www.econbiz.de/10005862985