The Standard Portfolio Choice Problem In Germany
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The Standard Portfolio Choice Problem In Germany
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Author : Christoph Breunig
language : en
Publisher:
Release Date : 2019
The Standard Portfolio Choice Problem In Germany written by Christoph Breunig and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We study an investment experiment with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable external validity at least in one respect: they predict real-life stock market participation. But many households are unresponsive to an exogenous increase in the risky asset's return. The data analysis and a series of additional laboratory experiments suggest that task complexity decreases the responsiveness to incentives. Modifying the safe asset's return has a larger effect on behaviour than modifying the risky asset's return.
The Standard Portfolio Choice Problem In Germany
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Author : Tobias Schmidt
language : en
Publisher:
Release Date : 2014
The Standard Portfolio Choice Problem In Germany written by Tobias Schmidt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Adequate Decision Rules For Portfolio Choice Problems
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Author : T. Goodall
language : en
Publisher: Springer
Release Date : 2002-04-30
Adequate Decision Rules For Portfolio Choice Problems written by T. Goodall and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-04-30 with Business & Economics categories.
The author presents the theory of portfolio choice from a new perspective, recommending decision rules that have advantages over those currently used in theory and practice. Portfolio choice theory relies on expected values. Goodall argues that this dependence has a historical basis and argues that current decision rules are inadequate for most portfolio choice situations. Drawing on econometric solutions proposed for the problem of forecasting outcomes of a chance experiment, the author defines adequacy criteria, and proposes adequate decision rules for a variety of situations. Goodall's theory combines the problems of prediction and choice, and formulates solutions based on cost functions that fit the underlying decision situation.
Strategic Asset Allocation
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Author : John Y. Campbell
language : en
Publisher: OUP Oxford
Release Date : 2002-01-03
Strategic Asset Allocation written by John Y. Campbell and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-03 with Business & Economics categories.
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Estimation Of Structural Models Using Experimental Data From The Lab And The Field
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Author : Charles Bellemare
language : en
Publisher: Cambridge University Press
Release Date : 2023-02-09
Estimation Of Structural Models Using Experimental Data From The Lab And The Field written by Charles Bellemare and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-09 with Business & Economics categories.
Behavioral economics provides a rich set of explicit models of non-classical preferences and belief formation which can be used to estimate structural models of decision making. At the same time, experimental approaches allow the researcher to exogenously vary components of the decision making environment. The synergies between behavioral and experimental economics provide a natural setting for the estimation of structural models. This Element will cover examples supporting the following arguments 1) Experimental data allows the researcher to estimate structural models under weaker assumptions and can simplify their estimation, 2) many popular models in behavioral economics can be estimated without any programming skills using existing software, 3) experimental methods are useful to validate structural models. This Element aims to facilitate adoption of structural modelling by providing Stata codes to replicate some of the empirical illustrations that are presented. Examples covered include estimation of outcome-based preferences, belief-dependent preferences and risk preferences.
Rethinking Valuation And Pricing Models
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Author : Carsten Wehn
language : en
Publisher: Academic Press
Release Date : 2012-12-17
Rethinking Valuation And Pricing Models written by Carsten Wehn and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new approaches without losing sight of their classical antecedents, this collection of original articles presents a timely perspective on our post-crisis paradigm. Highlights pre-crisis best classical practices, identifies post-crisis key issues, and examines emerging approaches to solving those issues Singles out key factors one must consider when valuing or calculating risks in the post-crisis environment Presents material in a homogenous, practical, clear, and not overly technical manner
Swarm Evolutionary And Memetic Computing
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Author : Bijaya Ketan Panigrahi
language : en
Publisher: Springer
Release Date : 2010-12-06
Swarm Evolutionary And Memetic Computing written by Bijaya Ketan Panigrahi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-06 with Computers categories.
This LNCS volume contains the papers presented at the First Swarm, Evolutionary and Memetic Computing Conference (SEMCCO 2010) held during December 16–– 18, 2010 at SRM University, Chennai, in India. SEMCCO 2010 marked the beginning of a prestigious international conference series that aims at bringing together researchers from academia and industry to report and review the latest progress in the cutting-edge research on swarm, evolutionary, and memetic computing, to explore new application areas, to design new bio-inspired algorithms for solving specific hard optimization problems, and finally to create awareness on these domains to a wider audience of practitioners. SEMCCO 2010 received 225 paper submissions from 20 countries across the globe. After a rigorous peer-review process involving 610 reviews in total, 90 fu- length articles were accepted for oral presentation at the conference. This corresponds to an acceptance rate of 40% and is intended for maintaining the high standards of the conference proceedings. The papers included in this LNCS volume cover a wide range of topics in swarm, evolutionary, and memetic computing algorithms and their real-world applications in problems selected from diverse domains of science and engineering.
Euro Bonds
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Author : Marida Bertocchi
language : en
Publisher: World Scientific
Release Date : 2014
Euro Bonds written by Marida Bertocchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Business & Economics categories.
This presents the most recent developments in the Euro bond market. It discusses the problems of the Euro countries, the proposed solutions advocated by European as well as international institutions and investors. Particular emphasis is given to systemic risk and contagion as well as to specific innovative instruments such as structured financial products which protect various classes of investors.
Research Anthology On Multi Industry Uses Of Genetic Programming And Algorithms
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Author : Management Association, Information Resources
language : en
Publisher: IGI Global
Release Date : 2020-12-05
Research Anthology On Multi Industry Uses Of Genetic Programming And Algorithms written by Management Association, Information Resources and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-05 with Computers categories.
Genetic programming is a new and evolutionary method that has become a novel area of research within artificial intelligence known for automatically generating high-quality solutions to optimization and search problems. This automatic aspect of the algorithms and the mimicking of natural selection and genetics makes genetic programming an intelligent component of problem solving that is highly regarded for its efficiency and vast capabilities. With the ability to be modified and adapted, easily distributed, and effective in large-scale/wide variety of problems, genetic algorithms and programming can be utilized in many diverse industries. This multi-industry uses vary from finance and economics to business and management all the way to healthcare and the sciences. The use of genetic programming and algorithms goes beyond human capabilities, enhancing the business and processes of various essential industries and improving functionality along the way. The Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms covers the implementation, tools and technologies, and impact on society that genetic programming and algorithms have had throughout multiple industries. By taking a multi-industry approach, this book covers the fundamentals of genetic programming through its technological benefits and challenges along with the latest advancements and future outlooks for computer science. This book is ideal for academicians, biological engineers, computer programmers, scientists, researchers, and upper-level students seeking the latest research on genetic programming.
Portfolio Risk Analysis
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Author : Gregory Connor
language : en
Publisher: Princeton University Press
Release Date : 2010-03-15
Portfolio Risk Analysis written by Gregory Connor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-15 with Business & Economics categories.
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.