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Loss aversion and wealth allocation between risky and risk-free assets

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003485124

Investors facing risk

Rengifo, Erick W. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003487479

Loss aversion and wealth allocation when utility is derived from consumption and narrowly framed financial investments

Rengifo, Erick W. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003487490

How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application

Rengifo, Erick W.; Trifan, Emanuela - In: The VaR implementation handbook, (pp. 485-512). 2009

Persistent link: https://www.econbiz.de/10003827118

Intra-daily FX optimal portfolio allocation

Bauwens, Luc (contributor); Ben Omrane, Walid (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003326698

Econometric analysis of financial count data and portfolio choice : a dynamic approach

Rengifo, Erick W. - 2005

Persistent link: https://www.econbiz.de/10003987160

Intra-daily FX optimal portfolio allocation

Bauwens, Luc (contributor); Ben Omrane, Walid (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003297047

Dynamic optimal portfolio selection in a VaR framework

Rengifo, Erick W.; Rombouts, Jeroen V. K. - 2004

Persistent link: https://www.econbiz.de/10002347876

Intra-Daily FX Optimal Portfolio Allocation

Bauwens, Luc; Ben Omrane, Walid; Rengifo, Erick W. - 2006

We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the...

Persistent link: https://www.econbiz.de/10014057268