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Brandt, Michael W.

Overview
Works: 15 works in 66 publications in 2 languages and 394 library holdings
Genres: History 
Roles: Author, Creator
Classifications: HB1, 720.943509034
Publication Timeline
Key
Publications about Michael W Brandt
Publications by Michael W Brandt
Most widely held works by Michael W Brandt
A simulation approach to dynamic portfolio choice with an application to learning about return predictability by Michael W Brandt( Book )
10 editions published in 2004 in English and held by 38 libraries worldwide
We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values
Parametric portfolio policies : exploiting characteristics in the cross section of equity returns by Michael W Brandt( Book )
10 editions published in 2004 in English and held by 37 libraries worldwide
"We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. Our approach also provides a new test of the portfolio choice implications of equilibrium asset pricing models. We present an empirical implementation for the universe of all stocks in the CRSP-Compustat dataset, exploiting the size, value, and momentum anomalies"--National Bureau of Economic Research web site
Die Architektur des Klassizismus im Herzogtum Oldenburg und in den Fürstentümern Lübeck und Birkenfeld, 1785-1853 by Michael W Brandt( Book )
4 editions published in 2011 in German and English and held by 34 libraries worldwide
Resolving macroeconomic uncertainty in stock and bond markets by Alessandro Beber( Book )
10 editions published in 2006 in English and held by 27 libraries worldwide
"We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied volatilities of stock and bond options when the economic data is released. We also examine the relationship between our measure of macroeconomic uncertainty and trading activity in stock and bond option markets before and after the announcements. Higher macroeconomic uncertainty is associated with greater reduction in implied volatilities. Higher macroeconomic uncertainty is also associated with increased volume in option markets after the release, consistent with market participants waiting to trade until economic uncertainty is resolved, and with decreased open interest in option markets after the release, consistent with market participants using financial options to hedge macroeconomic uncertainty. The empirical relationships are strongest for long-term bonds and weakest for non-cyclical stocks"--National Bureau of Economic Research web site
Linear approximations and tests of conditional pricing models by Michael W Brandt( Book )
10 editions published in 2006 in English and held by 25 libraries worldwide
We construct a simple reduced-form example of a conditional pricing model with modest intrinsic nonlinearity. The theoretical magnitude of the pricing errors (alphas) induced by the application of standard linear conditioning are derived as a direct consequence of an omitted variables bias. When the model is calibrated to either characteristics sorted or industry portfolios, we find that the alphas generated by approximation-induced specification error are economically large. A Monte Carlo analysis shows that finite-sample alphas are even larger. It also shows that the power to detect omitted nonlinear factors through tests based on estimated risk premiums can sometimes be quite low, even when the effect of misspecification on alphas is large
Das Oldenburger Giebelhaus : Betrachtungen zur "Hundehütte" ( Book )
2 editions published in 1997 in German and held by 24 libraries worldwide
Flight to quality or flight to liquidity? : evidence from the Euro-area bond market by Alessandro Beber( Book )
10 editions published in 2006 in English and held by 24 libraries worldwide
Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, we show that the bulk of sovereign yield spreads is explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by liquidity. We conclude that credit quality matters for bond valuation but that, in times of market stress, investors chase liquidity, not credit quality
Region Ostfriesland, Oldenburger Land by Monika van Lengen( Book )
1 edition published in 2000 in German and held by 10 libraries worldwide
Oldenburg : gestern und heute : eine Gegenüberstellung by Michael W Brandt( Book )
2 editions published in 1997 in German and held by 5 libraries worldwide
Traditional film editing versus electronic nonlinear film editing : a comparison of feature films by Michael W Brandt( Archival Material )
2 editions published in 1994 in English and held by 3 libraries worldwide
Estimating portfolio and consumption choice : a conditional euler equations approach by Michael W Brandt( Archival Material )
1 edition published in 1998 in English and held by 2 libraries worldwide
"Die Sehnsucht, die den Norden beständig zum Süden hinzieht" (Friedrich Overbeck) : zur Geschichte der Italienreise by Michael W Brandt( Article )
1 edition published in 2000 in German and held by 2 libraries worldwide
KulturRouten Niedersachsen ( Book )
1 edition published in 2000 in Undetermined and held by 1 library worldwide
A two-step recursive parameter estimation technique using cross-sectional and time-series data ( Book )
1 edition published in 2004 in English and held by 1 library worldwide
Develops a new method of estimating multi-parameter term-structure models using panel data. This technique involves recursively estimating some parameters along the cross-sectional dimension and the rest of the parameters along the time-series dimension until convergence is achieved
Silberne Strahlenkranzmadonna by Michael W Brandt( Article )
1 edition published in 2010 in German and held by 1 library worldwide
 
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Alternative Names
Brandt, Michael 1958-
Brandt, Michael Werner 1958-
Languages
English (55)
German (10)
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