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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

Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter …

Persistent link: https://www.econbiz.de/10014023858

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers

Kaynar, Bahar (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003484052

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers

Kaynar, Bahar (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003484888

Portfoliooptimierung nach Tobin

Specht, Katja; Gohout, Wolfgang - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 38 (2009) 12, pp. 1609-1614

Persistent link: https://www.econbiz.de/10003910605

A dynamic variation of risk aversion approach : a study of momentum and reversal premiums

Aissia, Dorsaf Ben - In: The ICFAI University journal of behavioral finance 6 (2009) 3/4, pp. 7-24

Persistent link: https://www.econbiz.de/10003920577

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

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

Risk preferences, investor sentiment and lottery stocks : a stochastic dominance approach

Fong, Wai-mun - In: The journal of behavioral finance : a publication of … 14 (2013) 1, pp. 42-52

Persistent link: https://www.econbiz.de/10009744996

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