Partial Myopia and Multi-Period Investment in the Presence of Background Risks PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Partial Myopia and Multi-Period Investment in the Presence of Background Risks PDF full book. Access full book title Partial Myopia and Multi-Period Investment in the Presence of Background Risks by Shiji Dai. Download full books in PDF and EPUB format.
Author: Shiji Dai
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
We propose the use of partial myopia as an alternative approach to dynamic programming for solving a multi-period investment problem with background risks. An investor behaves partially myopically if the investor makes his decision as if his total wealth at the end of the next period will be invested at the risk free rates for all subsequent periods. Although dynamic programming is theoretically the optimal method, partial myopia is very simple to apply and places little reliance on future returns information. We show that the partial myopia method could lead to the same optimal solution as the dynamic programming method, even in the presence of background risks, if certain conditions are met. This result is supported by numerical examples in which the certainty equivalent due to the suboptimal partial myopia investment policy is extremely small. Hence, it can be argued that the simplicity of the partial myopia approach outweighs the marginal efficiency loss and is a superior approach for HARA class investor.
Author: Shiji Dai
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
We propose the use of partial myopia as an alternative approach to dynamic programming for solving a multi-period investment problem with background risks. An investor behaves partially myopically if the investor makes his decision as if his total wealth at the end of the next period will be invested at the risk free rates for all subsequent periods. Although dynamic programming is theoretically the optimal method, partial myopia is very simple to apply and places little reliance on future returns information. We show that the partial myopia method could lead to the same optimal solution as the dynamic programming method, even in the presence of background risks, if certain conditions are met. This result is supported by numerical examples in which the certainty equivalent due to the suboptimal partial myopia investment policy is extremely small. Hence, it can be argued that the simplicity of the partial myopia approach outweighs the marginal efficiency loss and is a superior approach for HARA class investor.
Author: John Y. Campbell
Publisher: OUP Oxford
ISBN: 019160691X
Category : Business & Economics
Languages : en
Pages : 272
Get Book Here
Book Description
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.
Author: Robert Bork
Publisher:
ISBN: 9781736089712
Category :
Languages : en
Pages : 536
Get Book Here
Book Description
The most important book on antitrust ever written. It shows how antitrust suits adversely affect the consumer by encouraging a costly form of protection for inefficient and uncompetitive small businesses.
Author: Richard F. Spaide
Publisher: Springer Nature
ISBN: 3030743349
Category : Medical
Languages : en
Pages : 461
Get Book Here
Book Description
Pathologic Myopia is a major cause of severe vision loss worldwide. The mechanisms for vision loss include cataract, glaucoma, retinal detachment, and above all, myopic maculopathy within the posterior staphyloma. The first edition of Pathologic Myopia is one of the only current books to specifically address this disease and discusses recent developments in imaging technologies and various approaches to treatments, such as laser photocoagulation, photodynamic therapy, pharmaco-therapeutic injections in the vitreous, and surgery. This new edition is a timely update to the standard reference in the field, with new chapters on advanced refractive error correction, genetics, developing a classification system, and special surgical approaches for pathologic myopia. Complete with even more high-quality color images and informative tables, this book is written and edited by leaders in the field and is geared towards ophthalmologists, including residents and fellows in training, glaucoma and cataract specialists, and vitreoretinal macula experts.
Author: Helga Kolb
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Christian Gollier
Publisher: MIT Press
ISBN: 9780262572248
Category : Business & Economics
Languages : en
Pages : 492
Get Book Here
Book Description
Updates and advances the theory of expected utility as applied to risk analysis and financial decision making.
Author: Mark Rubinstein
Publisher: John Wiley & Sons
ISBN: 1118161092
Category : Business & Economics
Languages : en
Pages : 393
Get Book Here
Book Description
"This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player." -- Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, Univ. of Pennsylvania; and retired partner, Goldman Sachs A History of the Theory of Investments is about ideas -- where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contributors to some of investment's most influential ideas and models.
Author: Ross Levine
Publisher:
ISBN:
Category : Economic development
Languages : en
Pages : 130
Get Book Here
Book Description
"This paper reviews, appraises, and critiques theoretical and empirical research on the connections between the operation of the financial system and economic growth. While subject to ample qualifications and countervailing views, the preponderance of evidence suggests that both financial intermediaries and markets matter for growth and that reverse causality alone is not driving this relationship. Furthermore, theory and evidence imply that better developed financial systems ease external financing constraints facing firms, which illuminates one mechanism through which financial development influences economic growth. The paper highlights many areas needing additional research"--NBER website
Author: Michel Henry Bouchet
Publisher: John Wiley & Sons
ISBN: 047086818X
Category : Business & Economics
Languages : en
Pages : 286
Get Book Here
Book Description
One of the few books on the subject, Country Risk Assessment combines the theoretical and practical tools for managing international country risk exposure. - Offers a comprehensive discussion of the specific mechanisms that apply to country risk assessment. - Discusses various techniques associated with global investment strategy. - Presents and analyses the various sources of country risk. - Provides an in depth coverage of information sources and country risk service providers. - Gives techniques for forecasting country financial crises. - Includes practical examples and case studies. - Provides a comprehensive review of all existing methods including the techniques on the cutting-edge Market Based Approaches such as KMV, CreditMetrics, CountryMetrics and CreditRisk+.
Author:
Publisher: Elsevier
ISBN: 0444633898
Category : Business & Economics
Languages : en
Pages : 749
Get Book Here
Book Description
Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. - Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics - Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics - Written for those who wish to become quickly acquainted with behavioral economics
