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Investing for retirement : terminal wealth constraints or a desired wealth target?

Donnelly, Catherine; Khemka, Gaurav; Lim, William - In: European financial management : the journal of the … 28 (2022) 5, pp. 1283-1307

Persistent link: https://www.econbiz.de/10013415831

Portfolio Entropy : Incorporating Investor's Risk Appetite for Long-Term Asset Allocation

Rivera, Ricardo - 2023

context of classical information theory. It addresses a gap between portfolio allocation practice and standard portfolio … theory. The method is based on the principle of maximum entropy. We implement it in portfolios of low-cost, liquid, broad …

Persistent link: https://www.econbiz.de/10014353746

Lifetime asset allocation with long run risk and time various risk aversion

Tang, Tao; Luo, Ronghua; Gu, Jing - In: International review of economics & finance : IREF 86 (2023), pp. 230-251

Persistent link: https://www.econbiz.de/10014431337

Ambiguity and private investors' behavior after forced fund liquidations

Meyer, Steffen; Uhr, Charline - In: Journal of financial economics 156 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015072318

Ambiguity and investor behavior

Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline - 2020

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased...

Persistent link: https://www.econbiz.de/10012387918