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Portfolio Selection with Monotone Mean-Variance Preferences
Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Banca d'Italia - 2008
We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...
Persistent link: https://www.econbiz.de/10005113531
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Teoria dos jogos e seleção de portfólio: uma proposta de adaptação ao modelo minimax e aplicação ao mercado acionário brasileiro
Farias, Christiano Alves; Vieira, Wilson da Cruz; … - In: Revista de Economia e Agronegocio / Brazilian Review of … 2 (2004) 1
The objective of this paper was to compare and to analyze three portfolio selection models: Mean-Variance, Minimax and Minimax Weighted. These models were evaluated using historical data (September 1999 to August 2000, January 2001 to December 2001 and February 2002 to January 2003) obtained...
Persistent link: https://www.econbiz.de/10008555664
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and Stochastics 18 (2014) 3, pp. 545-592
<Para ID="Par1">We develop a theory for a general class of discrete-time stochastic control problems that, in various … special cases of the present theory. We also prove that for every time-inconsistent problem, there exists an associated time … control and value function, respectively for the time-inconsistent problem. To exemplify the theory, we study some concrete …
Persistent link: https://www.econbiz.de/10010997050
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Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European Journal of Operational Research 234 (2014) 3, pp. 743-750
This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more...
Persistent link: https://www.econbiz.de/10010738140
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Competitive investing equilibrium under a procurement mechanism
Zhang, Heng; Yang, Ming; Bao, Jiye; Gong, Pu - In: Economic Modelling 31 (2013) C, pp. 734-738
This paper proposes a procurement mechanism for a research and development (R&D) project, in which the stochastic nature of R&D is incorporated, and the potential agents needed to invest prior to the agent are selected. The incentive contract aims to attract the investment of potential agents...
Persistent link: https://www.econbiz.de/10010636257
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Strategic Thresholds and its Implications
Mishra, Sandhya - Volkswirtschaftliche Fakultät, … - 2011
state (lower trust/social capital). The theory may be used to analyze a variety of social interactions like the ethnic …
Persistent link: https://www.econbiz.de/10008869279
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Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion
Li, Yongwu; Li, Zhongfei - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 86-97
In this paper, we study an insurer’s optimal time-consistent strategies under the mean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a...
Persistent link: https://www.econbiz.de/10011046628
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Large auctions with risk-averse bidders
Fibich, Gadi; Gavious, Arieh - In: International Journal of Game Theory 39 (2010) 3, pp. 359-390
Persistent link: https://www.econbiz.de/10008486626
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The performance of model based option trading strategies
Eraker, Bjørn - In: Review of Derivatives Research 16 (2013) 1, pp. 1-23
This paper analyzes returns to trading strategies in options markets that exploit information given by a theoretical asset pricing model. We examine trading strategies in which a positive portfolio weight is assigned to assets which market prices exceed the price of a theoretical asset pricing...
Persistent link: https://www.econbiz.de/10010989565
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Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result
Briec, Walter; Kerstens, Kristiaan; Woestyne, Ignace Van de - IÉSEG School of Management, Université Catholique de Lille - 2013
the well-known one fund separation theorem from traditional mean-variance portfolio theory. …
Persistent link: https://www.econbiz.de/10010854438