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245 results on '"Pohlmeier, Winfried"'

3. Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices

Author

Daniele, Maurizio, Pohlmeier, Winfried, and Zagidullina, Aygul

Subjects
Economics - Econometrics, Mathematics - Statistics Theory, Quantitative Finance - Portfolio Management, Statistics - Methodology
Abstract

We propose a novel estimation approach for the covariance matrix based on the $l_1$-regularized approximate factor model. Our sparse approximate factor (SAF) covariance estimator allows for the existence of weak factors and hence relaxes the pervasiveness assumption generally adopted for the standard approximate factor model. We prove consistency of the covariance matrix estimator under the Frobenius norm as well as the consistency of the factor loadings and the factors. Our Monte Carlo simulations reveal that the SAF covariance estimator has superior properties in finite samples for low and high dimensions and different designs of the covariance matrix. Moreover, in an out-of-sample portfolio forecasting application the estimator uniformly outperforms alternative portfolio strategies based on alternative covariance estimation approaches and modeling strategies including the $1/N$-strategy.

Published
2019

11. Life Cycle Labor Supply and Panel Data: A Survey

Author

Koebel, Bertrand, Laisney, François, Pohlmeier, Winfried, Staat, Matthias, Marquez, J., editor, Spanos, A., editor, Adams, F.G., editor, Balestra, P., editor, Dagenais, M.G., editor, Kendrick, D., editor, Paelinck, J.H.P., editor, Pindyck, R.S., editor, Welfe, W., editor, Mátyás, László, editor, and Sevestre, Patrick, editor

Published
2008
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12. Bagged Pretested Portfolio Selection.

Author

Kazak, Ekaterina and Pohlmeier, Winfried

Subjects
YIELD strength (Engineering), INVESTMENT policy, PORTFOLIO performance, CREDIT
Abstract

This article exploits the idea of combining pretesting and bagging to choose between competing portfolio strategies. We propose an estimator for the portfolio weight vector, which optimally trades off Type I against Type II errors when choosing the best investment strategy. Furthermore, we accommodate the idea of bagging in the portfolio testing problem, which helps to avoid sharp thresholding and reduces turnover costs substantially. Our Bagged Pretested Portfolio Selection (BPPS) approach borrows from both the shrinkage and the forecast combination literature. The portfolio weights of our strategy are weighted averages of the portfolio weights from a set of stand-alone strategies. More specifically, the weights are generated from pseudo-out-of-sample portfolio pretesting, such that they reflect the probability that a given strategy will be overall best performing. The resulting strategy allows for a flexible and smooth switch between the underlying strategies and outperforms the corresponding stand-alone strategies. Besides yielding high point estimates of the portfolio performance measures, the BPPS approach performs exceptionally well in terms of precision and is robust against outliers resulting from the choice of the asset space. [ABSTRACT FROM AUTHOR]

Published
2023
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14. To Blank or Not to Blank? A Comparison of the Effects of Disclosure Limitation Methods on Nonlinear Regression Estimates

Author

Lechner, Sandra, Pohlmeier, Winfried, Kanade, Takeo, editor, Kittler, Josef, editor, Kleinberg, Jon M., editor, Mattern, Friedemann, editor, Mitchell, John C., editor, Naor, Moni, editor, Nierstrasz, Oscar, editor, Pandu Rangan, C., editor, Steffen, Bernhard, editor, Sudan, Madhu, editor, Terzopoulos, Demetri, editor, Tygar, Dough, editor, Vardi, Moshe Y., editor, Weikum, Gerhard, editor, Domingo-Ferrer, Josep, editor, and Torra, Vicenç, editor

Published
2004
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44. Tax illusion and labor supply of married women: evidence from German data

Author

Konig, Heinz, Laisney, Francois, Lechner, Michael, and Pohlmeier, Winfried

Subjects
Labor supply -- Management, Working women -- Taxation, Tax rates -- Analysis, Social sciences
Abstract

Married women are usually incorrect in perceiving their marginal tax rate when they formulate their labor supply decisions. Accurate perception does, however, increase with education. Women with children also perceive their tax rate more accurately, although not significantly so. The life-cycle model of quasi-linear preferences is used to obtain the results.

Published
1995

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