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person:"Blake, David"
~person:"Campbell, John Y."
~person:"Santa-Clara, Pedro"
~subject:"Kapitaleinkommen"
~subject:"Risikoaversion"
~subject:"Risikopräferenz"
~subject:"Schweden"
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Kapitaleinkommen
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154
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Blake, David
Campbell, John Y.
Santa-Clara, Pedro
Zaremba, Adam
38
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32
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26
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Calvet, Laurent E.
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ECONIS (ZBW)
58
EconStor
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41
Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H.
-
2003
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012468578
Saved in:
42
Parametric Portfolio Policies : Exploiting Characteristics in the Cross-Section of Equity Returns
Brandt, Michael W.
-
2010
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...
Persistent link: https://www.econbiz.de/10013151008
Saved in:
43
Measuring the financial sophistication of households
Calvet, Laurent E.
;
Campbell, John Y.
;
Sodini, Paolo
- In:
The American economic review
99
(
2009
)
2
,
pp. 393-398
Persistent link: https://www.econbiz.de/10003854357
Saved in:
44
Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
The review of financial studies
22
(
2009
)
9
,
pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
Saved in:
45
Fight or flight? : Portfolio rebalancing by individual investors
Calvet, Laurent E.
;
Campbell, John Y.
;
Sodini, Paolo
- In:
The quarterly journal of economics
124
(
2009
)
1
,
pp. 301-348
Persistent link: https://www.econbiz.de/10003860736
Saved in:
46
Two trees
Cochrane, John H.
;
Longstaff, Francis A.
;
Santa-Clara, Pedro
- In:
The review of financial studies
21
(
2008
)
1
,
pp. 347-385
Persistent link: https://www.econbiz.de/10003716171
Saved in:
47
Down or out : assessing the welfare costs of household investment mistakes
Calvet, Laurent E.
;
Campbell, John Y.
;
Sodini, Paolo
- In:
Journal of political economy
115
(
2007
)
5
,
pp. 707-747
Persistent link: https://www.econbiz.de/10003618375
Saved in:
48
Down or out: Assessing the welfare costs of household investment mistakes
Calvet, Laurent E.
;
Campbell, John Y.
;
Sodini, Paolo
-
2006
This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky...
Persistent link: https://www.econbiz.de/10010320762
Saved in:
49
Down or out : assessing the welfare costs of household investment mistakes
Calvet, Laurent E.
;
Campbell, John Y.
;
Sodini, Paolo
-
2006
Persistent link: https://www.econbiz.de/10003300165
Saved in:
50
Down or out : assessing the welfare costs of household investment mistakes
Calvet, Laurent E.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003304223
Saved in:
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