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Optimal investment strategies under affine Markov-switching models : theory, examples and implementation
Neykova, Daniela - 2016
This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...
Persistent link: https://www.econbiz.de/10011475639
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics …
Persistent link: https://www.econbiz.de/10013064149
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Globally evolutionarily stable portfolio rules
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - In: Journal of economic theory 140 (2008) 1, pp. 197-228
Persistent link: https://www.econbiz.de/10003725543
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Handbook of financial markets : dynamics and evolution
Hens, Thorsten (ed.);  … - 2009
Persistent link: https://www.econbiz.de/10003778106
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Globally evolutionarily stable portfolio rules
Evstigneev, Igor V. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003237585
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A financial market with interacting investors : does an equilibrium exist?
Frei, Christoph; Reis, Gonçalo dos - In: Mathematics and financial economics 4 (2011) 3, pp. 161-182
Persistent link: https://www.econbiz.de/10009152552
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A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation
Ahn, Seryoong; Choi, Kyoung Jin; Koo, Hyeng-keun - In: Journal of banking & finance 55 (2015), pp. 9-22
Persistent link: https://www.econbiz.de/10011377843
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Sentiment asset pricing model with consumption
Yang, Chunpeng; Zhang, Rengui - In: Economic modelling 30 (2013), pp. 462-467
Persistent link: https://www.econbiz.de/10009708902
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Asset pricing and asymmetric reasoning
Asparouhova, Elena; Bossaerts, Peter L.; Eguia, Jon; … - 2014
Persistent link: https://www.econbiz.de/10010362564
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Investor sentiment, information and asset pricing model
Yang, Chunpeng; Li, Jinfang - In: Economic modelling 35 (2013), pp. 436-442
Persistent link: https://www.econbiz.de/10010336779