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Risk exchange as a market or production game
Borglin, Anders; Flåm, Sjur Didrik - Institutt for Økonomi, Universitetet i Bergen - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance …
Persistent link: https://www.econbiz.de/10008876396
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MULTI CRITERIA DECISION MAKING MODELS: AN OVERVIEW ON ELECTRE METHODS
Lima, Antonieta; Salazar Soares, Salazar Soares , Vasco - Centro de Investigação em Gestão e Economia (CIGE), … - 2011
In portfolio analysis, there are a few models that can be used. Therefore, the aim of this paper is to make an overview on multi criteria decision making models, in particular, on ELECTRE methods. We discuss the different versions of ELECTRE, which exist and why they exist. So, when speaking...
Persistent link: https://www.econbiz.de/10009291629
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Portfolio Selection – A Technical Note
Martins, Ana Paula - Economics and Econometrics Research Institute (EERI) - 2012
assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …
Persistent link: https://www.econbiz.de/10010860050
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Portfolio Selection – A Technical Note
Martins, Ana Paula - In: Journal of Economics and Econometrics 55 (2012) 3, pp. 78-99
assets only, the constrained one, and the presence of a risk-free asset. The use of a generalised form for the budget … – and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …
Persistent link: https://www.econbiz.de/10011078542
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The Evolution of Portfolio Rules and the Capital Asset Pricing Model
Sciubba, E. - Faculty of Economics, University of Cambridge - 1999
The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …
Persistent link: https://www.econbiz.de/10005489334
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Risk Exchange as a Market or Production Game
Borglin, Anders; Flåm, Sjur - Nationalekonomiska Institutionen, Ekonomihögskolan - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance …
Persistent link: https://www.econbiz.de/10005645107
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …
Persistent link: https://www.econbiz.de/10011259339
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Efficient Skewness/Semivariance Portfolios
Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015
This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness …
Persistent link: https://www.econbiz.de/10011206302
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On efficiency of mean-variance based portfolio selection in DC pension schemes
Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2010
difficult problem of selecting the individual's risk aversion coefficient into the easiest task of choosing an appropriate … but not trivial results that the mean-variance inefficiency decreases with the risk aversion of the individual and …
Persistent link: https://www.econbiz.de/10008682809
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Mean-variance target-based optimisation in DC plan with stochastic interest rate
Menoncin, Francesco; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2013
financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a …
Persistent link: https://www.econbiz.de/10010862060