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Portfolio allocation, income uncertainty and households’ flight from risk
Brown, Sarah; Gray, Dan; Harris, Mark N. - 2016
Persistent link: https://www.econbiz.de/10011585950
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Weak dependence of CRRA on standard deviation in the case of truncated normal distribution of returns
Corradin, Fausto; Sartore, Domenico - 2016
Persistent link: https://www.econbiz.de/10011636658
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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa and Schmeidler (1989) to intertemporal settings. The specific belief dynamics in Epstein and Schneider (2007) rely on the rejection of initial priors that have become...
Persistent link: https://www.econbiz.de/10010424809
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The non-linear trade-off between return and risk : a regime-switching multi-factor framework
Cotter, John; Salvador, Enrique - 2014
Persistent link: https://www.econbiz.de/10010465672
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A general theory of risk apportionment
Gollier, Christian - 2019
Persistent link: https://www.econbiz.de/10012181424
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Market allocations under ambiguity : a survey
Billot, Antoine; Tallon, Jean-Marc; Mukerji, Sujoy - 2019
Persistent link: https://www.econbiz.de/10012233248
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"Catastrophe aversion and risk equity in an interdependent world"
Bernard, Carole; Rheinberger, Christoph M.; Treich, Nicolas - 2017
Persistent link: https://www.econbiz.de/10011731290
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Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
Ñíguez, Trino-Manuel; Payá, Ivan; Peel, David; … - 2015
Persistent link: https://www.econbiz.de/10011796068
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Credit rating and pricing : poles apart
Blöchlinger, Andreas - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-26
. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can …). The linear CAPM beta is insufficient, buyers and sellers need also the same information on non-linear risk to have an …
Persistent link: https://www.econbiz.de/10011857007
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Business cycle uncertainty and economic welfare revisited
Heiberger, Christopher; Maußner, Alfred - 2018 - Preliminary version
Cho, Cooley, and Kim (RED, 2015) (CCK) consider the welfare effects of removing multiplicative productivity shocks from real business cycle models. In a model that admits an analytical solution they argue convincingly that the positive welfare effect of removing uncertainty can be dominated by a...
Persistent link: https://www.econbiz.de/10011881736