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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490
Persistent link: https://www.econbiz.de/10012798425
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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)
Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157
Persistent link: https://www.econbiz.de/10010417168
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w-MPS risk aversion and the CAPM
Boyle, Phelim P.; Ma, Chenghu - In: Theoretical economics letters 3 (2013) 6, pp. 306-316
Persistent link: https://www.econbiz.de/10010257467
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Skewness term structure tests
Lin, Yuehao; Lehnert, Thorsten - 2014
Persistent link: https://www.econbiz.de/10010502924
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Skewness risk premium : theory and empirical evidence
Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014
Persistent link: https://www.econbiz.de/10010502927
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Disappointment aversion and the equity premium puzzle : new international evidence
Xie, Yuxin; Pantelous, Athanasios A.; Florackis, Chris - In: The European journal of finance 22 (2016) 10/12, pp. 1189-1203
Persistent link: https://www.econbiz.de/10011715339
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Variable annuities and aggregate mortality risk
Weale, Martin; Van de Ven, Justin - In: National Institute economic review 237 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011694221
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Equilibrium equity price with optimal dividend policy
Yamazaki, Akira - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011686852
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Home bias and the real estate prices
Chang, Hsiu-yun - In: International journal of financial research 8 (2017) 2, pp. 145-162
Persistent link: https://www.econbiz.de/10011779594
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Asset pricing with horizon-dependent risk aversion
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2014
We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to … depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure … of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the …
Persistent link: https://www.econbiz.de/10010439624