Portfolio choice and asset pricing under model uncertainty:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 178 S. graph. Darst. 21 cm |
Internformat
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Datensatz im Suchindex
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| adam_text | Titel: Portfolio choice and asset pricing under model uncertainty
Autor: Wu, Lue
Jahr: 2007
Contents
Part I Summary
Zusammenfassung
Lue Wu .................................................................. 9
Part II Research Papers
Learning or Robust Control
Nicole Branger, Christian Schlag, Lue Wu.................................... 21
Rational Laymen versus Over-Confident Experts: Who Survives in the
Long Run?
Nicole Branger, Christian Schlaq, Lue Wu .................................... 57
Heterogeneous Beliefs and the Term Structure of Interest Rates
Lue Wu .................................................................. 93
Pricing Two Trees When Trees and Investors are Heterogeneous
Nicole Branger, Christian Schlag, Lue Wu .................................... 129
Part III Appendix
Curiculum Vitae......................................................... 177
Ehrenwortliche Erklarung ............................................... 179
List of Figures
Learning or Robust Control
Figure 1. Naive approach: Optimal beliefs 52
Figure 2. Robust control; Utility loss 53
Figure 3. Learning: Utility loss 54
Figure 4. Comparison of naive approach, robust control and learning 55
Rational Laymen vs. Over-Confident Experts:
Who Survives in the Long Run?
Figure 1. Consumption Share for Over-Confident Experts for the Case
of Over-Confidence and Equal Information Quality 8!)
Figure 2. Consumption Share for Fully Rational Experts and Information
Disadvantage for Rational Laymen 90
Figure 3. Indifference Curves for if and on 91
Figure 4. Expected Consumption Share of Over-confident Experts
When Rational Laymen Ignore Their Noisy Signal 92
Heterogeneous Beliefs and the Term Structure of Interest Rates
Figure 1. Yield curve 123
Figure 2. Risk exposure of yields 124
Figure 3. Yield volatility 125
Figure 4. Yield correlation 126
Figure 5. Forward rates and forward rates volatility 127
Pricing Two Trees When Trees and Investors are Heterogeneous
Figure 1. Homogeneous investors: price-dividend ratios of individual stocks 169
Figure 2. Risk exposures in economies with homogeneous investors 170
Figure 3. Homogeneous investors: return volatilities, expected excess returns
and return correlations 171
Figure 4. Heterogeneous investors: stock return volatilities and correlations 172
Figure 5. Optimal portfolios when irrational investors are more pessimistic than
rational investors 173
Figure 6. Heterogeneous investors: rational investors1 consumption share 174
List of Tables
Learning or Robust Control
Table 1. Values for parameters and state variables
Table 2. Certainty equivalents in the benchmark case
Table 3. Naive approach: annualized utility losses
Table 4. Robust control: Annualized utility loss ^0
Table 5. Bayesian learning: annualized utility loss
Rational Laymen vs. Over-Confident Experts:
Who Survives in the Long Run? _________________
Table 1. Values for Parameters and State Variables
Heterogeneous Beliefs and the Term Structure of Interest Rates_______________
199
Table 1. Values for Parameters and State Variables
Pricing Two Trees When Trees and Investors are Heterogeneous_____________
Table 1. Values for parameters and state variables 1
|
| any_adam_object | 1 |
| author | Wu, Lue 1979- |
| author_GND | (DE-588)137105789 |
| author_facet | Wu, Lue 1979- |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Wu, Lue 1979- Verfasser (DE-588)137105789 aut Portfolio choice and asset pricing under model uncertainty vorgelegt von Lue Wu 2007 178 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2007 Allgemeines Gleichgewicht stw Capital Asset Pricing Model stw Entscheidung bei Unsicherheit stw Partielles Gleichgewicht stw Portfolio-Management stw Risiko stw Theorie stw Wertpapieranalyse stw Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Unsicherheit (DE-588)4186957-6 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Portfoliomanagement (DE-588)4115601-8 s Portfolio Selection (DE-588)4046834-3 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Unsicherheit (DE-588)4186957-6 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017362997&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wu, Lue 1979- Portfolio choice and asset pricing under model uncertainty Allgemeines Gleichgewicht stw Capital Asset Pricing Model stw Entscheidung bei Unsicherheit stw Partielles Gleichgewicht stw Portfolio-Management stw Risiko stw Theorie stw Wertpapieranalyse stw Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
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| title | Portfolio choice and asset pricing under model uncertainty |
| title_auth | Portfolio choice and asset pricing under model uncertainty |
| title_exact_search | Portfolio choice and asset pricing under model uncertainty |
| title_full | Portfolio choice and asset pricing under model uncertainty vorgelegt von Lue Wu |
| title_fullStr | Portfolio choice and asset pricing under model uncertainty vorgelegt von Lue Wu |
| title_full_unstemmed | Portfolio choice and asset pricing under model uncertainty vorgelegt von Lue Wu |
| title_short | Portfolio choice and asset pricing under model uncertainty |
| title_sort | portfolio choice and asset pricing under model uncertainty |
| topic | Allgemeines Gleichgewicht stw Capital Asset Pricing Model stw Entscheidung bei Unsicherheit stw Partielles Gleichgewicht stw Portfolio-Management stw Risiko stw Theorie stw Wertpapieranalyse stw Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Unsicherheit (DE-588)4186957-6 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Allgemeines Gleichgewicht Capital Asset Pricing Model Entscheidung bei Unsicherheit Partielles Gleichgewicht Portfolio-Management Risiko Theorie Wertpapieranalyse Portfoliomanagement Portfolio Selection Unsicherheit Capital-Asset-Pricing-Modell Aufsatzsammlung Hochschulschrift |
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