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Weak dependence of CRRA on standard deviation in the case of truncated normal distribution of returns
Corradin, Fausto; Sartore, Domenico - 2016
Persistent link: https://www.econbiz.de/10011636658
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Scaling factors in estimation of time-nonseparable utility functions
Ni, Shawn X. - In: The review of economics and statistics 79 (1997) 2, pp. 234-240
Persistent link: https://www.econbiz.de/10001222423
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Stock market returns and health risk
Han, Hyojin; Koh, Kanghyock - In: Applied economics letters 31 (2024) 16, pp. 1584-1589
Persistent link: https://www.econbiz.de/10015075527
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A two-parameter model of dispersion aversion
Chambers, Robert G.; Grant, Simon; Polak, Ben; Quiggin, … - In: Journal of economic theory 150 (2014), pp. 611-641
Persistent link: https://www.econbiz.de/10010360468
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Optimal endowment destruction under Campbell-Cochrane habit formation
Ljungqvist, Lars; Uhlig, Harald - 2009
Persistent link: https://www.econbiz.de/10003822133
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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Skewness-aware asset allocation : a new theoretical framework and empirical evidence
Low, Cheekiat; Pachamanova, Dessislava A.; Sim, Melvyn - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 379-410
Persistent link: https://www.econbiz.de/10009613191
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Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?
Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108
Persistent link: https://www.econbiz.de/10010465138