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1.
Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat‐tailed errors and leverage 下载免费PDF全文
The portfolio optimization problem is investigated using a multivariate stochastic volatility model with factor dynamics, fat‐tailed errors and leverage effects. The efficient Markov chain Monte Carlo method is used to estimate model parameters, and the Rao–Blackwellized auxiliary particle filter is used to compute the likelihood and to predict conditional means and covariances. The proposed models are applied to sector indices of the Tokyo Stock Price Index (TOPIX), which consists of 33 stock market indices classified by industrial sectors. The portfolio is dynamically optimized under several expected utilities and two additional static strategies are considered as benchmarks. An extensive empirical study indicates that our proposed dynamic factor model with leverage or fat‐tailed errors significantly improves the predictions of the conditional mean and covariances, as well as various measures of portfolio performance. 相似文献
2.
Bert Hofman Min Zhao∗ Yoichiro Ishihara∗ 《Bulletin of Indonesian Economic Studies》2007,43(2):171-200
China's and Indonesia's development strategies have been compared with others, but rarely with each other. Radically different political contexts have produced both similar and distinctly different development patterns. Each using formal planning, Indonesia spurred radical reforms to promote growth, whereas China opted for incremental reforms to ‘grow out of the Plan’, as a political device and to discover what policies and institutions worked. Both strategies produced environments largely conducive to rapid development. Indonesia relied on a few economic technocrats to oversee development; China used decentralisation and party reforms to create a credible environment for non-state investment. Both shared concern for agricultural reform and food security; both opted to open up for trade—China gradually, Indonesia radically. Both did well in growth and poverty reduction following reform. China's growth performance is in a league of its own, especially since Indonesia's Asian crisis setback, but Indonesia had more equitable growth and survived a difficult political transition with, in hindsight, modest costs. 相似文献
3.
Hidehiko Ishihara 《Review of Economic Dynamics》2010,13(4):886-898
In this paper, we study a monetary random-matching model where both goods and money are perfectly divisible, production is costly, and there is no exogenous upper bound on agents' money holdings, information on which is private to the agent. We show that there is a continuum of stationary equilibria where agents have either no money or a set amount, and buyers spend all their money. As in the previous studies, the equilibrium value function is step-like, which emerges as a self-fulfilling prophecy. The endogenous upper bound on agents' money holdings is the result of private information on agents' money holdings. Buyers post an offer that is accepted only by sellers without money, who set a higher value on money. 相似文献
4.
Akifumi Ishihara 《Journal of Economics & Management Strategy》2016,25(4):936-957
We study a repeated contracting model in which the agent has private information and the performance measure is unverifiable. In an optimal stationary contract, when the discount factor is not high, the principal's objective shifts from purely reducing the information rent toward increasing the total surplus to sustain the relational contract. As a result, the total surplus is not monotonically increasing in the discount factor and could decrease when the unverifiable performance measure becomes verifiable. 相似文献
5.
Rise and Fall of Multinational Enterprises in Vietnam: Survival Analysis Using Census Data during 2000–2011* 下载免费PDF全文
This study examined the survival of multinational enterprises (MNE) in Vietnam during 2000–2011 using Cox hazard models. The characteristics and ownership structure of firms and the nationality of foreign partners are found to be associated with the probability of firm exit, with a firm having greater capital share of foreign partners surviving longer. An efficient local government requiring less time for bureaucratic procedures and inspections is found to be associated with a lower probability of MNE exiting. Meanwhile, transparency in business regulations and predictability in implementing central government policies accelerate the survival of highly competitive MNE. 相似文献
6.
“Frequent‐buyer” rewards programmes are commonly used by companies as a marketing tool to compete for market share. They provide a unique environment for studying consumers’ forward‐looking behaviour. The consumer's problem on accumulating reward points can be formulated as a stationary infinite horizon discrete choice dynamic programming model. We show that the parameters of this model, including the discount factor, are well‐identified. In particular, it is possible to identify state‐dependent discount factors (i.e. discount factors can vary with the number of reward points). We discuss how this identification result is related to the goal‐gradient hypothesis studied in the consumer psychology literature. 相似文献
7.
Tsunehiro Otsuki 《Empirical Economics》2013,44(3):1455-1475
This article develops a simple, but informative, approach to measure technical changes by applying the Malmquist index framework using data envelopment analysis (DEA). A set of directional vectors is used to capture complete information regarding the overall shift in the technology frontier; we then visualize the DEA frontiers in the output space. This approach deals with the problems of sample dependence and non-circularity of technical change measures. It allows us to measure output-by-output technical change. Furthermore, the geometric mean of the technical change measures derived using this approach satisfies circularity. The application of Malmquist indices to the panel datasets of agricultural production in the Brazilian Amazon during the period 1975–1995 indicates a non-Hicks-neutral technical change, with intersection of frontiers during both the 1975–1985 and the 1985–1995 sub-periods. We find moderate progress in cattle production and annual crops, and a decline in perennial crops (bananas). Technological progress is a modest 0.7% during the period 1975–1995 on average. In addition, comparisons with the sample-dependent measures in the preceding studies demonstrate that these indices are usually sensitive to the distribution of actual sampled data points. 相似文献
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9.
Akifumi Ishihara 《The Rand journal of economics》2017,48(2):335-357
We study a relational contracting model with two agents where each agent faces multiple tasks: effort toward the agent's own project and helping effort toward another agent's project. We show that the optimal task structure is either specialization without help or teamwork with a substantial amount of help: teamwork with a small amount of help is never optimal. Specialization with high‐powered incentives can be implemented by relative performance evaluation. However, under teamwork, the evaluation scheme must be substantially different to overcome the multitasking problem. Consequently, a small amount of help is dominated by specialization with high powered incentives. 相似文献
10.
Jorge Gómez-Paredes Eiji Yamasue Hideyuki Okumura Keiichi N. Ishihara 《Economic Systems Research》2015,27(4):415-439
As addressing labour becomes crucial in the move towards sustainability, there is the need for assessment tools suitable for current complex economic systems. This article presents an input–output based framework (‘labour footprint’) for evaluating labour issues behind the production of different economic commodities, including entire supply chains. In line with the guidelines of the International Labour Organization, six labour issues are considered: collective bargaining, forced labour, child labour, gender inequality, hazardous work, and social security. This conceptual article sets to (a) define this footprint's labour dimensions, (b) cite relevant data sources, (c) describe its calculation, (d) illustrate its application through a case study, and (e) discuss this framework's relevance from ‘conscious consumption’, ‘supply chain responsibility’, and regulators' standpoints. Since it advances the evaluation of fundamental labour issues and the scope of multi-criteria analyses, this footprint may be a valuable tool for sustainability assessments. 相似文献