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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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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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A dynamic mean-variance analysis for log returns
Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108
Persistent link: https://www.econbiz.de/10012505370
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The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
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On the price of risk in a mean-risk optimization model
Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713
Persistent link: https://www.econbiz.de/10012261905
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Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries
Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355
Persistent link: https://www.econbiz.de/10012129516
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Safety first, loss probability, and the cross section of expected stock returns
Cao, Ji; Rieger, Marc Oliver; Zhao, Lei - In: Journal of economic behavior & organization : JEBO 211 (2023), pp. 345-369
Persistent link: https://www.econbiz.de/10014447506
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Risk-adjusted option-implied moments
Brinkmann, Felix; Korn, Olaf - 2014
Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk …
Persistent link: https://www.econbiz.de/10010399367