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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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Ratings and Asset Allocation : An Experimental Analysis
McDonald, Robert L. - 2018
effect of categorized ratings in an asset allocation experiment in which subjects make repeated allocation decisions under … experiment. Subjects do not simply invest more in highly rated assets. Rather, rating effects seem to occur when ratings conflict …
Persistent link: https://www.econbiz.de/10012480699
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Information Acquisition and Under-Diversification
Van Nieuwerburgh, Stijn - 2008
If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the...
Persistent link: https://www.econbiz.de/10012464743
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Using Neural Data to Test a Theory of Investor Behavior : An Application to Realization Utility
Frydman, Cary - 2012
utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and …
Persistent link: https://www.econbiz.de/10012460098
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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Mean field portfolio games
Fu, Guanxing; Zhou, Chao - In: Finance and stochastics 27 (2023) 1, pp. 189-231
Persistent link: https://www.econbiz.de/10013489591
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The empirical foundations of the arbitrage pricing theory
Lehmann, Bruce Neal; Modest, David M. - 1985
Persistent link: https://www.econbiz.de/10000687104
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513