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Prices and portfolio choices in financial markets : theory, econometrics, experiments

Bossaerts, Peter L. (contributor); … - 2007

Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

Persistent link: https://www.econbiz.de/10003549745

Conditioning the information in portfolio optimization

Sala, Carlo; Barone-Adesi, Giovanni - 2015

utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …

Persistent link: https://www.econbiz.de/10011506342

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

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

An evolutionary finance model with a risk-free asset

Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017

interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has … the theory to a class of models with short selling and endogenous asset supply …

Persistent link: https://www.econbiz.de/10011865449