Results 151 to 160 of about 133,508 (308)
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, EarlyView.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
The optimal liquidity principle with restricted borrowing [PDF]
A model is presented to characterise the (optimal) demand for cash balances in deregulated markets. After the model of James Tobin, 1958, net balances are determined in order to maximise the expected return of a certain portfolio combining risk and ...
Mierzejewski, Fernando
core +1 more source
Asset Pricing and Risk‐Sharing Implications of Alternative Pension Plan Systems
The Journal of Finance, EarlyView.ABSTRACT We show that incorporating defined benefit pension funds in an incomplete markets asset pricing model improves its ability to match the historical equity premium and riskless rate and has important risk‐sharing implications. We document the importance of the pension fund's size and asset demands, and a new risk channel arising from ...
NUNO COIMBRA +3 more
wiley +1 more source
Structured portfolio analysis under SharpeOmega ratio
, 2012 This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure.
Hentati, Rania, Prigent, Jean-Luc
core +1 more source
A Methodology for Computing and Comparing Implied Equity and Corporate Debt Sharpe Ratios
, 2011 Robert S. Goldberg
openalex +1 more source
Institutional Investor Attention
The Journal of Finance, EarlyView.ABSTRACT Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility.
ALAN KWAN, YUKUN LIU, BEN MATTHIES
wiley +1 more source
The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios [PDF]
Can the new investable hedge fund indices (IHF) enhance the performance of optimal passive portfolios made of equities and bonds? How do they compare to funds of hedge funds (FoHF) as well as to other alternative investments such as commodities and ...
Anthony White, Jacques Pezier
core
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, EarlyView.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities [PDF]
, 2008 Erhan Bayraktar +3 more
openalex +1 more source
Journal of Personality, EarlyView.ABSTRACT Introduction Alexithymia refers to difficulties in experiencing and expressing emotions, differentiating them from bodily sensations, restricted imagination, and externally oriented thinking. Mood and affective symptoms are often confounded with alexithymia due to the typical assessment through self‐report.
Jiyeon Seo +4 more
wiley +1 more source