dynamic hedging portfolio and derive a Partial Differential Equation (PDE) for the value of this option. This key result …

a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investorâ …-shape utility functions in investors, which mean, investors are risk-averse and risk-seeking. In this paper we propose a new …-variance optimization and the mean-downside risk portfolios. Also, we find that the bigger differences happen close to the portfolio of …

this problem is sufficiently general to allow (i) risk aversion to vary independently of intertemporal substitution, (ii …-cycle patterns, and (iv) portfolio adjustment costs. We use Weil's (1993) isoelastic/constant absolute risk averse model as a …

flows. We also find that variations in the equity risk premia account for almost all of the international portfolio flows in … bonds and equities. We argue that both effects arise naturally as a result of increased risk sharing facilitated by greater …

We investigate return predictability and the implied intertemporal hedging demands for stocks and bonds in the U …, including their myopic and intertemporal hedging components, for domestic bills, stocks, and bonds for an investor with an … intertemporal hedging demands for domestic stocks in the U.S. and U.K., while the intertemporal hedging demands for domestic stocks …

averse to risk as logarithmic utility maximizers, may eventually hold more wealth than the agent with correct beliefs. In …