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Maastricht University - Limburg Institute of Financial Economics (LIFE)
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This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3062.
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Cost of capital, ICAPM, pricing error, exchange rate exposure
Strategic asset allocation, asset liability management
strategic asset allocation, bayesian vector autoregression, parameter uncertainty
strategic asset allocation, Bayesian vector autoregression, parameter uncertainty, robust portfolio choice
asset pricing, portfolio construction, time-varying betas, shrinkage, panel data
Strategic asset allocation, out-of-sample analysis
conditional asset pricing, time-varying risk, stock market anomalies
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
Price Discovery, Tick Time models, Nasdaq, Ultra-high frequency data, Microstructure
File name: SSRN-id571021.
Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure
Stock returns, Forecasting, Panel data, Industry effects, Individual effects, Time effects
term structure models, parameter uncertainty, extrapolation, insurance supervision
mortgage valuation, partial prepayments, binomial trees
term structure of interest rates, fractional integration, affine models
Term structure of interest rates, fractional integration, affine models
Lookback Option, Life Annuity, Annuity Risk, Defined Contribution, Stochastic Discount Factor
Long-term portfolio choice, Term structure of risk, Fractional integration, Long Memory
G11, C32, long-term portfolio choice, linear processes with fractional integration, term structure of risk
market integration, market efficiency, non-synchronous trading, emerging markets, Kalman filter
File name: SSRN-id874072.
Market integration, non-synchronous trading, emerging markets, market efficiency, Kalman filter
model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall
Model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall
model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model
Model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model
File name: DP3987.
High-frequency data, microstructure, structural time series models
C32, F31, High-frequency data, microstructure, structural time-series models
File name: DP6161.
Mean-variance, model uncertainty, portfolio choice
Institutional Investors, Pension Funds, Asset Allocation, Portfolio Rebalancing
Collective Defined Contribution, Funded Pension System, Overlapping Generations, Intergenerational Risk Sharing
Pension Funds, Asset Allocation, Portfolio Choice
Dynamic Conditional Score, Risk Management, Term Structure
Purchasing power parity, panel test, numeraire, productivity
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