Narrow search
Showing 1 - 10 of 570
Cover Image
Investment decisions with two-factor uncertainty
Compernolle, Tine; Huisman, Kuno J. M.; Kort, Peter M.; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary....
Persistent link: https://www.econbiz.de/10012795555
Cover Image
Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061
Cover Image
Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821
Cover Image
Systematic risk and international portfolio choice
Das, Sanjiv R.; Uppal, Raman - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2809-2834
Persistent link: https://www.econbiz.de/10002503877
Cover Image
Optimal portfolio choice for long-horizon investors with nontradable labor income
Viceira, Luis M. - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 433-470
Persistent link: https://www.econbiz.de/10001604097
Cover Image
Mean-variance utility functions and the demand for risky assets : an empirical analysis using flexible functional forms
Aivazian, Varouj A. - In: Journal of financial and quantitative analysis : JFQA 18 (1983) 4, pp. 411-424
Persistent link: https://www.econbiz.de/10001815100
Cover Image
Investing for the long run when returns are predictable
Barberis, Nicholas - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 225-264
Persistent link: https://www.econbiz.de/10001496991
Cover Image
Performance measurement under asymmetric information and investment constraints
Gendron, Michel - In: The journal of finance : the journal of the American … 45 (1990) 5, pp. 1655-1661
Persistent link: https://www.econbiz.de/10001103787
Cover Image
Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362
Persistent link: https://www.econbiz.de/10001113532
Cover Image
Empirical estimates of beta when investors face estimation risk
Clarkson, Peter M. - In: The journal of finance : the journal of the American … 45 (1990) 2, pp. 431-453
Persistent link: https://www.econbiz.de/10001089799