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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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Aging population, retirement, and risk taking
Levy, Haim - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1415-1430
Persistent link: https://www.econbiz.de/10011487528
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Modifying the mean-variance approach to avoid violations of stochastic dominance
Blavatskyy, Pavlo R. - In: Management science : journal of the Institute for … 56 (2010) 11, pp. 2050-2057
Persistent link: https://www.econbiz.de/10008748062
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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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Comment on "aging population, retirement, and risk taking"
Huang, Rachel J.; Tzeng, Larry Y.; Wang, Jr-Yan; Zhao, Lin - In: Management science : journal of the Institute for … 66 (2020) 6, pp. 2792-2795
Persistent link: https://www.econbiz.de/10012254488
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Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood
Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165
Persistent link: https://www.econbiz.de/10011646360
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Economic implications of nonlinear pricing kernels
Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
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Portfolio choice based on third-degree stochastic dominance
Post, Thierry; Kopa, Miloš - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3381-3392
Persistent link: https://www.econbiz.de/10011760503
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A dynamic mean-variance analysis for log returns
Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108
Persistent link: https://www.econbiz.de/10012505370