19 citations
- Centre National de la Recherche ScientifiqueFR1 paper
- École Supérieure du Commerce ExtérieurFR1 paper
- Institut de Recherche Interdisciplinaire en Sciences SocialesFR1 paper
- NCR (United States)US1 paper
- Paris Jourdan Sciences EconomiquesFR1 paper
- Paris School of EconomicsFR1 paper
- Université Paris Dauphine-PSLFR1 paper
- University of OxfordGB1 paper
- Xavier School of ManagementIN1 paper
8 papers
Do Mutual Funds Make Active and Skilled Liquidity Choices in Portfolio Management? Evidence from India
Pankaj K Agarwal, H K Pradhan, Konark Saxena
This study examines active liquidity management by Indian open-ended equity mutual funds. We find that fund managers respond to inflows by increasing cash holdings, which are later…
Unbiased least squares regression via averaged stochastic gradient descent
Nabil Kahalé
We consider an on-line least squares regression problem with optimal solution and Hessian matrix H, and study a time-average stochastic gradient descent estimator of . F…
Unbiased time-average estimators for Markov chains
Nabil Kahale
We consider a time-average estimator of a functional of a Markov chain. Under a coupling assumption, we show that the expectation of has a limit as the number o…
On the effective dimension and multilevel Monte Carlo
Nabil Kahalé
I consider the problem of integrating a function over the -dimensional unit cube. I describe a multilevel Monte Carlo method that estimates the integral with variance at mos…
The Welfare of Ramsey Optimal Policy Facing Auto-Regressive Shocks
Jean-Bernard Chatelain, Kirsten Ralf
With non-controllable auto-regressive shocks, the welfare of Ramsey optimal policy is the solution of a single Riccati equation of a linear quadratic regulator. The existing theory…
Optimal unbiased estimators via convex hulls
Nabil Kahale
Necessary and sufficient conditions for the square-integrability of recently proposed unbiased estimators are established. A geometric characterization of a distribution that optim…