Showing 1 - 10 of 37,337
This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns....
Persistent link: https://www.econbiz.de/10010939530
We study the asymptotic properties of a Tikhonov Regularized (TiR) estimator of a functional parameter based on a minimum distance principle for nonparametric conditional moment restrictions. The estimator is computationally tractable and takes a closed form in the linear case. We derive its...
Persistent link: https://www.econbiz.de/10005858341
It is well known that mean-variance portfolio selection is a time-inconsistent optimalcontrol problem in the sense that it does not satisfy Bellman’s optimalityprinciple and therefore the usual dynamic programming approach fails. We developa time-consistent formulation of this problem, which...
Persistent link: https://www.econbiz.de/10009486998
A random variable dominates another random variable with respectto the covariance order if the covariance of any two monotone increasingfunctions of this variable is smaller. We characterize completely thecovariance order, give strong sufficient conditions for it, present a numberof examples in...
Persistent link: https://www.econbiz.de/10005868773
This study explores the information content of HML and SMB by linking the Fama-French factors toshocks in the state variables which predict future investment opportunities. It shows that the HMLfactor contains information about shocks to default spread. Moreover, the Fama-French modelexplains...
Persistent link: https://www.econbiz.de/10005870637
Die klassische, von Markowitz entwickelte, Portfoliotheorie basiert auf spezifischen Risikomaßen, der Renditevarianz bzw. der Renditestandardabweichung. Diese Risikomaße messen primär die Volatilität der Renditeentwicklung...
Persistent link: https://www.econbiz.de/10005842338
This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...
Persistent link: https://www.econbiz.de/10009511728
This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...
Persistent link: https://www.econbiz.de/10010822964
The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...
Persistent link: https://www.econbiz.de/10009375153
We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...
Persistent link: https://www.econbiz.de/10011383108