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Crisis-Robust Bond Portfolios.
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008
Persistent link: https://www.econbiz.de/10009364875
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Subjective Stock Market Expectations and Portfolio Choice.
Arrondel, Luc; Calvo Pardo, Hector; Oliver, Xisco; Tas, … - Université Paris-Dauphine
Persistent link: https://www.econbiz.de/10009189921
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La detention d'actifs risques selon l'age: Une etude econometrique / Aging and the Demand for Risky Assets: An Econometric Study.
Mahieu, Ronan; Lavigne, Anne; El Mekkaoui de Freitas, Najat - Université Paris-Dauphine - 2001
Cet article se propose d’étudier l’influence de l’âge sur la composition des patrimoines, notamment sur la détention d’actifs risqués. En effet, une hypothèse souvent avancée est que, plus l’horizon de vie se raccourcit, plus la détention d’actifs risqués devrait se réduire....
Persistent link: https://www.econbiz.de/10008462734
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Life cycle options and preferences.
Legros, Florence - Université Paris-Dauphine - 2006
Persistent link: https://www.econbiz.de/10009644199
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A conditional approach to hedge fund risks.
Teiletche, Jérôme; Pochon, Florent - Université Paris-Dauphine - 2006
This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal …
Persistent link: https://www.econbiz.de/10008532608
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The properties of equally-weighted risk contributions portfolios.
Teiletche, Jérôme; Roncalli, Thierry; Maillard, Sébastien - Université Paris-Dauphine - 2010
robust. In this paper, we consider a related approach, where the risk contribution from each portfolio components is made … equal, which maximizes diversication of risk (at least on an ex-ante basis). Roughly speaking,the resulting portfolio is … the theoretical properties of such a portfolio and show that its volatility is located between those of minimum variance …
Persistent link: https://www.econbiz.de/10008876085
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A theory of bond portfolios.
Ekeland, Ivar; Taflin, Erik - Université Paris-Dauphine - 2005
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of...
Persistent link: https://www.econbiz.de/10009002747
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An Analysis of Shareholder Agreements.
Ljungqvist, Alexander; Habib, Michel Antoine; Chemla, Gilles - Université Paris-Dauphine - 2007
Shareholder agreements govern the relations among shareholders in privately held firms, such as joint ventures and venture capital-backed companies. We provide an economic explanation for key clauses in such agreements—namely, put and call options, tag-along and drag-along rights, demand and...
Persistent link: https://www.econbiz.de/10009131127
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Behavioral biases and representative agent.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine
In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...
Persistent link: https://www.econbiz.de/10009145292
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Viabilist and Tychastic Approaches to Guaranteed ALM Problem.
Aubin, Jean-Pierre; Chen, Luxi; Dordan, Olivier; … - Université Paris-Dauphine
This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).
Persistent link: https://www.econbiz.de/10009364615