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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10001635448
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10011544966
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The Euro-Project at Risk
Hauskrecht, Andreas - 2014
In contrast to Robert Mundell‘s Optimum Currency Area theory and his recommendation of forming monetary union, the …
Persistent link: https://www.econbiz.de/10013069650
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Stress testing by financial intermediaries : implications for portfolio selection and asset pricing
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of financial intermediation 18 (2009) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10003813182
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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497
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Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....
Persistent link: https://www.econbiz.de/10009411461
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Portfolio selection : a technical note
Martins, Ana Paula - 2012
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10011526683
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...
Persistent link: https://www.econbiz.de/10013133587
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Shadow Probability Theory for Asset Pricing under Ambiguity
Izhakian, Yehuda (Yud) - 2011
under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model … space. Risk and risk attitude, on the other hand, apply to the subordinated space, as in classical expected utility theory … the classical asset pricing theory by incorporating ambiguous probabilities. It proposes a well defined ambiguity premium …
Persistent link: https://www.econbiz.de/10013119880