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Estimating economies of scope and scale under price risk and risk aversion
Abdulkadri, Abdullahi O.; Langemeier, Michael R.; … - In: Applied economics 38 (2006) 2, pp. 191-201
Persistent link: https://www.econbiz.de/10003292356
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Impact of policy uncertainty on gold price in India : evidence from multi commodity exchange (MCX) India and World Gold Council prices
Shaikh, Imlak; Vallabh, Priyanka - In: Applied economics 56 (2024) 32, pp. 3837-3855
Persistent link: https://www.econbiz.de/10014529076
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Beta, non-systematic risk and portfolio selection
Dowen, Richard J. - In: Applied economics 20 (1988) 2, pp. 221-228
Persistent link: https://www.econbiz.de/10001047162
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Dual representation of choice and aspirational preferences
Brown, David B.; De Giorgi, Enrico; Sim, Melvyn - 2010
The appendix can be found at: "http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005194 We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except...
Persistent link: https://www.econbiz.de/10003970449
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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
and a convex-concave value function reinforces previous applications of narrow framing and cumulative prospect theory to …
Persistent link: https://www.econbiz.de/10003970464
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Survival and evolutionary stability of the Kelly rule
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009
This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...
Persistent link: https://www.econbiz.de/10003971097
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Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price …
Persistent link: https://www.econbiz.de/10003971106
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Growing wealth with fixed-mix strategies
Dempster, Michael A. H.; Evstigneev, Igor V.; … - 2009
This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...
Persistent link: https://www.econbiz.de/10003971114
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Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10003971310
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An experimental study on real option strategies
Wang, Mei; Bernstein, Abraham; Chesney, Marc - 2009
simulated mean-reverting oil price. Using cluster analysis, participants can be classifi ed into four groups, which we label as …
Persistent link: https://www.econbiz.de/10003971337