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The Return on Investment from Proportional Portfolio Strategies.

Browne, S. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005207586

Arbitrage-Based Pricing when Volatility is Stochastic.

Bossaerts, P.; Ghysels, E.; Gourieroux, C. - Centre Interuniversitaire de Recherche en Économie … - 1996

The paper investigates the pricing of derivative securities with calendar-time maturities.

Persistent link: https://www.econbiz.de/10005133099

Stochastic Dominance and Optimal Portfolio.

Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001

optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an …

Persistent link: https://www.econbiz.de/10005618710

A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets.

Dionne, G.; Gollier, C. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1996

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

Persistent link: https://www.econbiz.de/10005618862

A Dynamic Model of the Liquidity Premium.

Koehl, P.F. - 1996

We compute the optimal investment-consumption policy for an agent that is able to invest upon two non-risky assets, one … where the agents all have Constant Relative Risk Aversion utility functions. …

Persistent link: https://www.econbiz.de/10005640982

Return, Risk Measures and Multicriteria Decision Support for Portfolio Selection.

Hurson, C.; Zopounidis, C. - Groupement de Recherche en Économie Quantitative … - 1996

Risk a basic parameter of portfolio selection and its modelling involves some difficulties. Thus, more and more … permits distinguishing the loss risk (risk to obtain a return below the expected return) from the gain opportunities …

Persistent link: https://www.econbiz.de/10005479075

Intra-Day Market Activity.

Gourieroux, C.; Jasiak, J.; Le Fol, G. - 1996

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.

Persistent link: https://www.econbiz.de/10005671569