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Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference
RisksThis study addresses the crucial but under-explored topic of ambiguity aversion, i.e., model misspecification, in the area of environmental, social, and corporate governance (ESG) within portfolio decisions.
Marcos Escobar-Anel, Yiyao Jiao
doaj +1 more source
The international diversification puzzle is not worse than you think [PDF]
This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification ...
Christian Julliard
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates how the personal characteristics of finance ministers influence political budget cycles in Africa. Using a new dataset covering 300 finance ministers across 23 countries from 1980 to 2020, we find that political budget cycles primarily take the form of increased government consumption during election years.
Christine Olivia Strong
wiley +1 more source
CPT: Pharmacometrics & Systems PharmacologyWe address the problem of model misspecification in population pharmacokinetics (PopPK), by modeling residual unexplained variability (RUV) by machine learning (ML) methods in a postprocessing step after conventional model building. The practical purpose
Christos Kaikousidis +2 more
doaj +1 more source
Model misspecification, learning and the exchange rate disconnect puzzle [PDF]
Rational expectations models fail to explain the disconnect between the exchange rate and macroeconomic fundamentals. In line with survey evidence on the behaviour of foreign exchange traders, we introduce model misspecification and learning into a ...
Agnieszka Markiewicz, Vivien Lewis
core
The Inuence of Misspecified Covariance on False Discovery Control when Using Posterior Probabilities
, 2017 This paper focuses on the influence of a misspecified covariance structure on false discovery rate for the large scale multiple testing problem. Specifically, we evaluate the influence on the marginal distribution of local fdr statistics, which are used ...
Habiger, Joshua D. +2 more
core +1 more source
Climate Change Laws and European Stock Markets: An Event Analysis
International Journal of Finance &Economics, EarlyView.ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as ...
Theodoros Bratis +2 more
wiley +1 more source
Forecasting Hong Kong economy using factor augmented vector autoregression [PDF]
This work applies the FAVAR model to forecast GDP growth rate, unemployment rate and inflation rate of the Hong Kong economy. There is no factor model forecasting literature on the Hong Kong economy.
Pang, Iris Ai Jao
core +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT We use foreign trade data on both imports and exports of goods and services among a group of 15 advanced economies to determine the incomes and price elasticities of demand for exports and imports of goods, services and goods and services combined in the long run.
Tjeerd M. Boonman +2 more
wiley +1 more source
Uncertainty quantification for misspecified machine learned interatomic potentials
npj Computational MaterialsThe use of high-dimensional regression techniques from machine learning has significantly improved the quantitative accuracy of interatomic potentials. Atomic simulations can now plausibly target quantitative predictions in a variety of settings, which ...
Danny Perez +3 more
doaj +1 more source