Narrow search
Showing 1 - 10 of 8,722
Cover Image
Optimal funding and asset allocation rules for defined-benefit pension plans
Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983
Persistent link: https://www.econbiz.de/10002653682
Cover Image
Das Management von Zinsänderungsrisiken : theoret. Ansätze u. ihre empir. Überprüfung für d. dt. Rentenmarkt
Bußmann, Johannes - 1988
Persistent link: https://www.econbiz.de/10000743472
Cover Image
Shortfall-risk-basierte Portfolio-Strategien : Grundlagen, Anwendungen, Algorithmen
Kaduff, Jochen Volker - 1996
Persistent link: https://www.econbiz.de/10004310203
Cover Image
Uncertain prospects ranking and portfolio analysis under the conditions of partial information
Colson, Gérard; Zelený, Milan - 1980
Persistent link: https://www.econbiz.de/10004021547
Cover Image
An introduction to risk and return from common stocks
Brealey, Richard A. - 1993 - 2. ed., 5. print.
Persistent link: https://www.econbiz.de/10004197976
Cover Image
Financial optimization
Zenios, Stavros Andrea (contributor) - 1993
Persistent link: https://www.econbiz.de/10004149678
Cover Image
Realized Volatility: A Review
McAleer, Michael; Medeiros, Marcelo - In: Econometric Reviews 27 (2008) 1-3, pp. 10-45
This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...
Persistent link: https://www.econbiz.de/10005511988
Cover Image
Dynamic Asset Allocation with Ambiguous Return Predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of Economic Dynamics 17 (2014) 4, pp. 799-823
strategy with Epstein-Zin preferences and risk aversion chosen to match the same average portfolio holdings. This is true in …
Persistent link: https://www.econbiz.de/10010945608
Cover Image
Dynamic Asset Allocation with Ambiguous Return Predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - Department of Economics, Boston University - 2008
We study an investor's optimal consumption and portfolio choice problem when he confronts with two possibly misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive ambiguity model to accommodate the investor's aversion to...
Persistent link: https://www.econbiz.de/10004991559
Cover Image
Dynamic Asset Allocation with Ambiguous Return Predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - Department of Economics, Boston University
We study an investor's optimal consumption and portfolio choice problem when he confronts with two possibly misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive ambiguity model to accommodate the investor's aversion to...
Persistent link: https://www.econbiz.de/10008545858