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Risk-sensitive investment management
Davis, Mark H. A.; Lleo, Sébastien - 2015
Persistent link: https://www.econbiz.de/10013421582
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Self-employment and psychometric measure of risk aversion : a replication and extension
Korhonen, Marko; Svento, Rauli; Vaaramo, Mikko - In: Applied economics letters 27 (2020) 9, pp. 697-702
Persistent link: https://www.econbiz.de/10012205807
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Robustness and ambiguity in continuous time
Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of economic theory 146 (2011) 3, pp. 1195-1223
Persistent link: https://www.econbiz.de/10009261008
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Optimal hedge ratio under a subjective re-weighting of the original measure
Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280
Persistent link: https://www.econbiz.de/10011433130
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10011379506
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Endogenous non-tradable earnings and households' demand for risky assets
Arrondel, Luc; Calvo Pardo, Héctor F. - 2014
Persistent link: https://www.econbiz.de/10010362991
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Allocative downside risk aversion
Watt, Richard; Vazquez, Francisco J. - In: International journal of economic theory 9 (2013) 4, pp. 267-277
Persistent link: https://www.econbiz.de/10010228376
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Hedging with stock index options : a mean-extended Gini approach
Shalit, Haim; Greenberg, Doron - In: Journal of mathematical finance 3 (2013) 1, pp. 119-129
Persistent link: https://www.econbiz.de/10010240815
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Optimal portfolio allocation among REITs, stocks, and long-term bonds : an empirical analysis of US financial markets
Bhuyan, Rafiqul; Kuhle, James L.; Ikromov, Nuriddin; … - In: Journal of mathematical finance 4 (2014) 2, pp. 104-112
Persistent link: https://www.econbiz.de/10010380907
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Construction of risk-averse enhanced index funds
Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719
Persistent link: https://www.econbiz.de/10010203600