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Information acquisition and under-diversification

Nieuwerburgh, Stijn van; Veldkamp, Laura - 2008

Persistent link: https://www.econbiz.de/10009505098

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

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

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

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

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