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Closing down the shop : optimal health and wealth dynamics near the end of life
Hugonnier, Julien; Pelgrin, Florian; St.-Amour, Pascal - 2017
, accelerating the fall in wealth. Whereas standard explanations emphasize inevitable aging processes, we propose a com- plementary … live, individuals optimally deplete their health and wealth towards levels associated with high death risk and indifference …
Persistent link: https://www.econbiz.de/10011627127
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Portfolio selection with options and transaction costs
Malamud, Semyon - 2014
I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean-variance effi cient portfolio is played by the "Greek...
Persistent link: https://www.econbiz.de/10010337963
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Portfolio selection with exploration of new investment opportunities
Sornette, Didier; Strub, Moris Simon - 2020
limited to these assets, the agent has the option to devote a part of his/her wealth for exploring new investment … increasing in the initial wealth of the agent indicating that richer agents can make better use of new investment opportunities …
Persistent link: https://www.econbiz.de/10012271124
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Empirical Asset Pricing via Ensemble Gaussian Process Regression
Filipović, Damir; Pasricha, Puneet - 2022
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...
Persistent link: https://www.econbiz.de/10014236083
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Housing and its role in the household portfolio in Colombia
Serrano, Camilo; Hoesli, Martin - 2009
the house value to net wealth ratio. The high rate of home ownership and low rates of investment in financial assets … indicate that households allocate most of their wealth to housing. Our results suggest that actual allocations are suboptimal … plays a positive role in efficient portfolio allocation when the housing to net wealth ratio is less than 1.5, but when the …
Persistent link: https://www.econbiz.de/10003968758
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An intergenerational cross-country swap
Padovani, Miret; Vanini, Paolo - 2009
This paper addresses the issue of intergenerational and international sharing of longevity and growth risks. Current research on worldwide demographic changes highlights the importance of longevity risk on financial markets and the need to devise optimal hedging vehicles. We present a potential...
Persistent link: https://www.econbiz.de/10003970417
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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
function generates new wealth eff ects that are consistent with empirical observations on stock market participation …
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
stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics …
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, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...
Persistent link: https://www.econbiz.de/10003971106