Narrow search
Showing 1 - 10 of 10,732
Cover Image
Application of Genetic Algorithms to Quantitative Asset Allocation Models
Phillip, Andrew - 2013
This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....
Persistent link: https://www.econbiz.de/10013084579
Cover Image
Limited capital market participation and human capital risk
Berk, Jonathan B.; Walden, Johan - 2010
"The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain …
Persistent link: https://www.econbiz.de/10003934682
Cover Image
Pareto optimal financial trades with risky and not risky assets
Falbo, Paolo; Grassi, Rossana - In: Financial modelling : proceedings of the 23rd Meeting …, (pp. 77-101). 1999
Persistent link: https://www.econbiz.de/10001739665
Cover Image
Tax arbitrage, separation and irrelevance : a general model for tax effects in the securities market
Behrendt, Joachim - 1998 - 2. draft
Persistent link: https://www.econbiz.de/10001362499
Cover Image
Limited Capital Market Participation and Human Capital Risk
Berk, Jonathan; Walden, Johan - 2021
The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain …
Persistent link: https://www.econbiz.de/10013225024
Cover Image
Limited capital market participation and human capital risk
Berk, Jonathan B.; Walden, Johan - In: Review of asset pricing studies 3 (2013) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010188877
Cover Image
Limited Capital Market Participation and Human Capital Risk
Berk, Jonathan - 2010
The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain …
Persistent link: https://www.econbiz.de/10012462943
Cover Image
Portfolio optimization on Croatian capital market
Ivanovic, Zoran; Baresa, Suzana; Bogdan, Sinisa - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 269-282
Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory …
Persistent link: https://www.econbiz.de/10010222861
Cover Image
When Prospect Theory Preference Meets Mean-Reverting Asset Returns : A Dynamic Asset Allocation Model
Gao, Jianjun - 2019
prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory … results demonstrate that the combination of prospect theory and mean reversion can generate the disposition effect close to … seriously misleading if the prospect theory allocation framework ignores time-variation in expected returns such as mean …
Persistent link: https://www.econbiz.de/10012899580
Cover Image
Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10014210945