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Gollier, Christian - 1997

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are …-Pratt index of absolute tolerance (Tu) be convex. If we allow for a" positive risk-free rate, the necessary and sufficient …" function exhibits constant relative risk aversion …

Persistent link: https://www.econbiz.de/10012472607

The Significance of the Market Portfolio

Athanasoulis, Stefano - 1997

The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...

Persistent link: https://www.econbiz.de/10012472914

Bayesian Inference and Portfolio Efficiency

Kandel, Shmuel - 1993

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012474605

The Delivery of Market Timing Services : Newsletters Versus Market Timing Funds

Kane, Alex - 1991

relative to the risk free rate). We consider two delivery systems. Under the newsletter delivery system market timing …

Persistent link: https://www.econbiz.de/10012475204

Bliss Points in Mean-Variance Portfolio Models

Jones, David S. - 1981

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

Persistent link: https://www.econbiz.de/10012478302

Arbitrage and Mean-Variance Analysis on Large Asset Markets

Chamberlain, Gary - 1981

' result. Hence only a principal components analysis is needed to test the arbitrage pricing theory. Our eigenvalue conditional … the question of when a market with many assets permits so much diversification that risk-free investment opportunities are …

Persistent link: https://www.econbiz.de/10012478411

Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock

Meyer, Jack - 1989

that the efficient set of portfolios for any risk averse expected utility maximizer is contained in the mean …

Persistent link: https://www.econbiz.de/10012476185

Internal Increasing Returns to Scale and Economic Growth

List, John A. - 2007

This study develops a model of endogenous growth based on increasing returns due to firms' technology choices. Particular attention is paid to the implications of these choices, combined with the substitution of capital for labor, on economic growth in a general equilibrium model in which the...

Persistent link: https://www.econbiz.de/10012465661

Smart Money, Noise Trading and Stock Price Behavior

Campbell, John Y. - 1988

" interact with risk-averse "smart money" investors. The model assumes that changes in exponentially detrended dividends and … prices are normally distributed, and that smart money investors have constant absolute risk aversion. In equilibrium, the … stock price is the present value of expected dividends, discounted at the riskless interest rate, less a constant risk …

Persistent link: https://www.econbiz.de/10012476336

Models of income determination

1964

Persistent link: https://www.econbiz.de/10013336447