Publications des institutions partenaires
Can bank supervisors rely on market data? A critical assessment from a Swiss perspective
Institution partenaire
English / 01/01/2007
Anisotropic stable Levy copula processes-analytical and numerical aspects
Institution partenaire
English / 01/01/2007
Managerial Guidance and Analysts' Underreaction
Empirical investigations of analysts forecast surveys concerning earnings realizations find significant time varying biases usually attributed to the analysts liability to cognitive limitations. For example, a positive autocorrelation of analysts forecast errors is commonly explained by analysts underreaction. In this paper we develop a random dynamical system describing the...
Institution partenaire
English / 01/01/2007
Making prospect theory fit for finance
The prospect theory of Kahneman and Tversky (in Econometrica 47(2), 263–291, 1979) and the cumulative prospect theory of Tversky and Kahneman (in J. Risk uncertainty 5, 297–323, 1992) are descriptive models for decision making that summarize several violations of the expected utility theory. This paper gives a survey of applications of prospect theory to the portfolio choice problem...
Institution partenaire
English / 01/09/2006
Pareto-Improving Social Security Reform When Financial Markets Are Incomplete!?
This paper studies an overlapping generations model with stochastic production and incomplete markets to assess whether the introduction of an unfunded social security system leads to a Pareto improvement. When returns to capital and wages are imperfectly correlated a system that endows retired households with claims to labor income enhances the sharing of aggregate risk between...
Institution partenaire
English / 01/06/2006
American Parisian Options
In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the perpetual case, closed-form solutions or approximations are obtained by relying on excursion...
Institution partenaire
English / 01/01/2006
Is public health insurance an appropriate instrument for redistribution?
The share of the public sector in health insurance provision
varies enormously from country to country. It is larger in more redistributive countries. We provide a possible theoretical explanation for these facts: a public health insurance system, fi nanced by taxes, can be an effi cient means of redistribution, complementary to income taxation. This relies on the assumption of...
Institution partenaire
English / 01/01/2006
Risk aversion and planning horizons
A number of empirical studies seem to reject the additive separability of preferences that is assumed in most theoretical models of the life cycle. We show that, when additive separability is abandoned and interactions between consumptions at different dates are taken into account, an interesting relation emerges between risk aversion and length of the planning horizon. Specifically...
Institution partenaire
English / 01/01/2006
The value of tax shields IS equal to the present value of tax shields
Institution partenaire
English / 01/01/2006
Prevention Is Better than Cure: The Role of IPO Syndicates in Precluding Information Acquisition
We treat information acquisition by potential investors in initial public offerings as endogenous. With endogenous information, the critical question is why underwriters would allow investors to spend resources acquiring superior information intended solely to effect a wealth transfer. We show that an investment banking syndicate is an institutional arrangement designed to avoid such...
Institution partenaire
English / 01/01/2006
International Stock Portfolios and Optimal Currency Hedging with Regime Switching
Institution partenaire
English / 01/01/2006
Quantitative Hedge Fund Selection for Fund of Funds
Institution partenaire
English / 01/01/2006
Business Dependencies in Credit Risk Portfolios
Institution partenaire
English / 01/01/2006
Choosing (and reneging on) exchange rate regimes
Institution partenaire
English / 01/01/2006
Value-at-risk prediction: A comparison of alternative strategies
Institution partenaire
English / 01/01/2006
Accurate value-at-risk forecasting based on the Normal-GARCH model
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data...
Institution partenaire
English / 01/01/2006
Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Institution partenaire
English / 01/01/2006
Reply to 'Asset Trading Volume in Innite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment'
In a comment, Peter Bossaerts and William R. Zame [2006. Finance Research Letters. This issue] claim that the main result of our paper [Judd, K.L., Kubler, F., Schmedders, K., 2003. The Journal of Finance 58, 2203–2217], namely the no-trade theorem for the dynamic Lucas infinite horizon economy with heterogeneous agents, is an artifact of the assumption that asset dividends and...
Institution partenaire
English / 01/01/2006
Characterisations of function spaces of generalized smoothness
Institution partenaire
English / 01/01/2006
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