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Parametric Portfolio Policies (PPP) estimate optimal portfolio weights directly as functions of observable signals by maximizing expected utility, bypassing the need to model asset returns and covariances. However, PPP ignores policy risk. We show that this is consequential, leading to an overstatement of expected utility and an understatement of portfolio risk. We develop Bayesian Parametric Portfolio Policies (BPPP…
The integration of Central and Eastern European (CEE) countries into the European Economic Area serves as a valuable experiment for the regional economic development theory. The long-lasting convergence of these economies with more advanced Western Europe exhibits a few standard features and varying policies implemented. Even the Baltic countries, which started from very similar starting positions, demonstrate their …
This research focuses on the study of relationships between public and private equity investors in France. In this regard, we need to apprehend the formal or informal nature of interactions that can sometimes take place within traditional innovation networks (Djellal \& Gallouj, 2018). For this, our article mobilizes a public-private partnerships approach (PPPs) and the resource-based view theory. These perspectives …
Purchasing Power Parity — Long-horizon FX anchor based on relative price levels, often slow to converge.
Long undervalued currencies and short overvalued ones versus purchasing-power parity or real-rate gaps — FX value, slow and mean-reverting.