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Robust Consumption and Portfolio Choice forTime-varying Investment Opportunities
Liu, Hening - Manchester Business School - 2009
This paper examines a continuous-time intertemporal consumption and portfoliochoice problem for an investor with Duffie and Epstein (1992a)’s recursive preferenceswho worries about model misspecification (model uncertainty) and wants toseek robust decision rules. The expected excess return of...
Persistent link: https://www.econbiz.de/10005870703
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Robust Stock Option Plans
Korn, Olaf; Paschke, Clemens; Uhrig-Homburg, Marliese - Universität <Göttingen>; Institut für Industrielle … - 2010
change. As companies arenow forced to value their stock options at grant date for accounting purposes,the robustness of … issueby first analyzing certain building blocks of existing stock option plans withregard to their robustness properties …. Based on our analysis, we then showhow robustness of stock option plans can be achieved. The resulting stockoption plans are …
Persistent link: https://www.econbiz.de/10008911535
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Existence and uniqueness of equilibria in the CAPM with a riskless asset
Hens, Thorsten; Löffler, Andreas - Institut für Bank- und Finanzwirtschaft <Berlin> - 1996
In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.
Persistent link: https://www.econbiz.de/10005840237
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On uniqueness of equilibria in the CAPM
Löffler, Andreas; Hens, Thorsten; Laitenberger, Jörg - 2000
In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents´ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is inparticular satisfied with constant...
Persistent link: https://www.econbiz.de/10005840916
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George; Viceira, Luis M. - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.
Persistent link: https://www.econbiz.de/10005843149
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Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?
Cappiello, Lorenzo - 2000
This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).
Persistent link: https://www.econbiz.de/10005843151
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Why Does Implied Risk Aversion Smile?
Ziegler, Alexandre - 2002
This paper shows that preferences alone cannot explain the patterns reported in the literature.
Persistent link: https://www.econbiz.de/10005843337
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LIQUIDITÄT, RISIKOEINSTELLUNG DES KAPITALMARKTES UNDKONJUNKTURERWARTUNG ALS PREISDETERMINANTEN VONCOLLATERALIZED DEBT OBLIGATIONS (CDOS)
GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2009
Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung,Risikoaversion des … Risikoaversion des Kapitalmarktes auf die Marktwerte von CDOs verschiedener Senioritätanalysiert.... …
Persistent link: https://www.econbiz.de/10009418808
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The Demand for Enhanced Annuities
Schumacher, Petra - Universität <München> / Fakultät für Betriebswirtschaft - 2008
In enhanced annuities, the annuity payment depends on one's state ofhealth at some contracted date while in "standard annuities", it does not.The focus of this paper is on an annuity market where "standard" and en-hanced annuities are oered simultaneously. When all insured know equallywell on...
Persistent link: https://www.econbiz.de/10009418812
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Prospect Theory around the World
Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten - National Centre of Competence in Research - Financial … - 2011
We present results from the rst large-scale international surveyon risk preferences, conducted in 45 countries. We show substantialcross-country dierences in risk aversion, loss aversion and probabilityweighting. Moreover, risk attitudes in our sample depend not only oneconomic conditions, but...
Persistent link: https://www.econbiz.de/10009418983