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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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Experiences, demand for risky investments, and implications for price dynamics
Heinke, Steve; Olschewski, Sebastian; Rieskamp, Jörg - In: Journal of behavioral and experimental finance 43 (2024), pp. 1-29
Persistent link: https://www.econbiz.de/10015076700
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Information acquisition and under-diversification
Nieuwerburgh, Stijn van; Veldkamp, Laura - 2008
Persistent link: https://www.econbiz.de/10009505098
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Multi-objective portfolio optimization considering the dependence structure of asset returns
Babaei, Sadra; Sepehri, Mohammad Mehdi; Babaei, Edris - In: European journal of operational research : EJOR 244 (2015) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10010531892
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Relative performance information in asset markets : an experimental approach
Schoenberg, Eric J.; Haruvy, Ernan - In: Journal of economic psychology : research in economic … 33 (2012) 6, pp. 1143-1155
Persistent link: https://www.econbiz.de/10009687439
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110
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Information Acquisition and Under-Diversification
Van Nieuwerburgh, Stijn - 2010
If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the...
Persistent link: https://www.econbiz.de/10012759435
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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Information Acquisition and Under-Diversification
Van Nieuwerburgh, Stijn - 2008
If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the...
Persistent link: https://www.econbiz.de/10012464743