Efficiency gains, bounds, and risk in finance

  • Cisil Sarisoy Cisil Sarisoy

The first chapter of this thesis, essentially equivalent to the working paper under the same title co–authored with Peter de Goeij and Bas J.M. Werker, concerns the estimation of expected returns, which is, perhaps, one of the longest standing questions in finance. Expected returns are not only interesting in the sense of single quantities for individual assets but they are also crucial inputs for theoretical formulations of problems in various subfields of finance.

The second chapter of the thesis, essentially equivalent to the manuscript under the same title co–authored with Eric Renault and Bas J.M. Werker (accepted at Econometric Theory), is situated in a fast growing area of research: the study of high frequency data which is, perhaps, likely to become an overarching theme in the field of finance ranging from risk management over derivative pricing to portfolio management from both empirical and theoretical perspective.

The third chapter of the thesis is on a slightly different topic than the other two. It focuses on a topic that has been very active recently: monetary policy and risk in financial markets. The aim of U.S. monetary policy is defined in terms of macroeconomic aggregates, in particular price stability, maximum employment and output. The policy maker, here the Federal Reserve, takes actions through instruments which are at best indirectly geared towards achieving those goals. The naturally arising challenge is to resolve the form of connecting links, if any, between these three variables 1.) policy making decisions, 2.) asset prices, and 3.) economic activity.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.

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