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On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
An Empirical Test of the Athens Exchange New-Sector Indices Predictability Based on Wavelets
Time series forecasting stock market prediction
2010/9/7
A new forecasting method is employed using Haar and Daubechies-4 filters. Backtesting results, using four indices of the Athens Exchange (ATHEX), are benchmarked against an optimised Auto-Regressive ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange
Characteristic function Directional predictability Generalized cross-spectrum Uncovered Interest Parity Market Intervention Currency Crisis Market Contagion
2011/4/6
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets
foreign exchange markets
2011/4/2
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...